Macri, Joseph and Sinha, Dipendra (2007): Does Black’s Hypothesis for Output Variability Hold for Mexico?
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Using two data series, namely GDP and the index of industrial production, we study the relationship between output variability and the growth rate of output. Ng-Perron unit root test shows that the growth rate of GDP is non-stationary but the growth rate of industrial output is stationary. Thus, we use the ARCH-M model for the monthly data of industrial output. A number of specifications (with and without a dummy variable) are used. In all cases, the results show that output variability has a negative but insignificant effect on the growth rate of output.
|Item Type:||MPRA Paper|
|Institution:||Macquarie University, Australia and Ritsumeikan Asia Pacific University, Japan|
|Original Title:||Does Black’s Hypothesis for Output Variability Hold for Mexico?|
|Keywords:||economic growth; volatility; variability; business cycle fluctuations; GARCH models|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations; Cycles
|Depositing User:||Dipendra Sinha|
|Date Deposited:||12. Jul 2007|
|Last Modified:||19. Feb 2013 00:24|
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