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RELATIONSHIP BET WEEN OUTPUT VOLATILIT Y AND OUTPUT IN OECD COUNTRIES REVISITED.
- Source :
- Prague Economic Papers; 2022, Vol. 31 Issue 6, p509-537, 29p
- Publication Year :
- 2022
-
Abstract
- This study revisits the empirical relationship between output volatility and output for twelve OECD countries. An extended AR-EGARCH-M model was used to identify the structural break, asymmetric effect, jump effect and spillover effect. In addition to the classical logarithmic definition of growth, the study uses the Hodrick-Prescott filter to compute the deviations from the long-term trend as the output gap. The empirical results show that (i) the effect of output volatility on output differs across countries under the same model specifications; and (ii) while the in-mean effect and spillover effect are stronger for the output gap-based models, the jump effect has a major effect on output volatility under the classical logarithmic definition. [ABSTRACT FROM AUTHOR]
- Subjects :
- COUNTRIES
EMPIRICAL research
BUSINESS cycles
Subjects
Details
- Language :
- English
- ISSN :
- 12100455
- Volume :
- 31
- Issue :
- 6
- Database :
- Supplemental Index
- Journal :
- Prague Economic Papers
- Publication Type :
- Academic Journal
- Accession number :
- 163151568
- Full Text :
- https://doi.org/10.18267/j.pep.812