Revisiting the link between output growth and volatility: panel GARCH analysis
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Date
2021
Journal Title
Journal ISSN
Volume Title
Publisher
Physica-Verlag Gmbh & Co
Access Rights
info:eu-repo/semantics/closedAccess
Abstract
This paper explores the link between output growth and volatility using several macroeconomic variables for a panel of countries for the period of 1971-2014. Using an augmented panel GARCH-M model, we allow for the first time in the literature for independent variables to be part of the conditional equations. The paper is also novel in terms of encompassing an extensive number of countries and country groups. The relationship between output growth and volatility is observed to vary between different country groups. Empirical findings regarding the effect of exogeneous variables suggest that trade openness contributes to economic growth and institutional quality lowers economic volatility.
Description
Keywords
Growth, Volatility, Panel Garch-M Model, Economic-Growth, Cross-Country, Uncertainty, Institutions, Inflation, Trade, Variability, Openness, Real, Integration
Journal or Series
Empirical Economics
WoS Q Value
Q3
Scopus Q Value
Q1
Volume
61
Issue
2
