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Cross-Country Interactions, the Great Moderation and the Role of Output Volatility in Growth
| Content Provider | Semantic Scholar |
|---|---|
| Author | Trypsteen, Steven |
| Copyright Year | 2014 |
| Abstract | This paper investigates the effect of output volatility and the great moderation on growth in a model that simultaneously accounts for cross-country interactions, structural breaks and heterogeneous effects. This is done by augmenting the univariate GARCH-M model of growth for each G7 country with cross-country weighted averages of growth and shift dummies. I find that volatility affects growth positively, that there is a great moderation in five of the G7 countries and that the great moderation has a negative effect on growth in all G7 countries. A simulation exercise shows that cross-country interactions are important in estimating the volatility effect. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | https://www.nottingham.ac.uk/cfcm/documents/papers/cfcm-2014-10.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
