GDP Growth and the Interdependency of Volatility Spillovers

Karunanayake, Indika and Valadkhani, Abbas and O’Brien, Martin (2012): GDP Growth and the Interdependency of Volatility Spillovers. Published in: Australasian Accounting Business and Finance Journal , Vol. 6, No. 1 (0212): pp. 83-96.

Abstract

This paper examines the dynamics of cross-country GDP volatility transmission and their conditional correlations. We use quarterly data (1961-2008) for Australia, Canada, the UK and the US to construct and estimate a multivariate generalised autoregressive conditional heteroskedasticity (MGARCH) model. According to the results from the mean growth equations, we identified significant cross-country GDP growth spillover among these countries. Furthermore, the growth volatility between the US and Canada indicates the highest conditional correlation. As expected, we also found that the shock influences are mainly exerted by the larger economies onto the smaller economies.

• Item Type: MPRA Paper
• Language: English
• Keywords: GDP Volatility, MGARCH Models, Diagonal VECH Model, Constant Conditional Correlation Model.
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C59 - Other; F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F43 - Economic Growth of Open Economies; O - Economic Development, Innovation, Technological Change, and Growth > O4 - Economic Growth and Aggregate Productivity > O47 - Empirical Studies of Economic Growth ; Aggregate Productivity ; Cross-Country Output Convergence

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