Volatility and Growth

• 발행기관: 한국외국어대학교 영미연구소
• 저자명: 김장열(Jang-Ryoul Kim) 임기영(Gie-Young Lim)
• 간행물 정보: 『영미연구』제22집, 247~264쪽, 전체 18쪽
• 주제분류: 어문학 > 영어와문학
• 파일형태: PDF
• 발행일자: 2010.06.30

영문 초록

Prior research on the relationship between output volatility and growth has produced mixed results, lacking clear empirical evidence on the sign of the relationship. This paper investigates volatility-growth relationship from a different angle, with the conjecture that the sign of the volatility-growth relation changes across the business cycle phases. If the conjecture is right, then empirical investigations of data without taking this feature into account will fail to recover non-trivial relation between volatility and growth. We estimate a series of ARCH-type models with the real GDP data of the U.S. and the U.K., and find strong evidence suggesting that the volatility-growth relation is positive when the economy is in expansion, while higher volatility lowers growth rate in the contraction phase.

목차

I. Introduction and Motivation

II. Volatility vs. Growth : Pretests with ARCH-type Models

III. Business Cycle Dependence of the Volatility-Growth Relation

IV. Results for the U.K. GDP

V. Conclusion

키워드

변동성 성장 경기변동 국면 전환 Volatility Growth Business Cycles Regime Switching