Jiranyakul, Komain (2011): The Link between Output Growth and Output Volatility in Five CrisisAffected Asian Countries. Published in: Middle Eastern Finance and Economics No. 12 (2011): pp. 101108.

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Abstract
This article tests the Black’s hypothesis in five crisisaffected Asian countries(India, Japan, Malaysia, South Korea, and Thailand). The hypothesis posits that economies face a positive relationship between output growth and output volatility. Using monthly data of the industrial production indices in the five economies and applying the ARCH/GARCH models to generate a measure of output volatility to conduct the twostep approach, the results show that output volatility positively Granger causes output growth in two economies, Japan, and South Korea. The results indicate that countries with specialized technology are compensated for associated risk. In addition, the impact of the 1997 Asian financial crisis is minimal such that it will not alter the volatility and growth relationship.
Item Type:  MPRA Paper 

Original Title:  The Link between Output Growth and Output Volatility in Five CrisisAffected Asian Countries 
Language:  English 
Keywords:  Output volatility, output growth, ARCH/GARCH model, causality 
Subjects:  C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C22  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C51  Model Construction and Estimation C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C52  Model Evaluation, Validation, and Selection E  Macroeconomics and Monetary Economics > E3  Prices, Business Fluctuations, and Cycles > E32  Business Fluctuations ; Cycles 
Item ID:  46068 
Depositing User:  Dr. Komain Jiranyakul 
Date Deposited:  11. Apr 2013 11:32 
Last Modified:  15. Jul 2013 14:08 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/46068 