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Alternative Characterisation of the Volatility in the Growth Rate of Real Gdp
| Content Provider | Semantic Scholar |
|---|---|
| Author | Bhar, Ramaprasad |
| Copyright Year | 2002 |
| Abstract | This paper has investigated an alternative characterization of the volatility in the growth rate of real GDP for Japan, U.K. and the U.S.A. A regime-switching approach has been explored to model the volatility process in the growth rate of real GDP. It has been motivated by recent evidence of change in the variance in GDP growth rate e.g. McConnell and Quiros (2000). Using a Markov switching specification with two states, it is found that the model does a credible job in capturing the different episodes. The residual diagnostics are all supportive of the proposed specification. The economic intuition behind different volatility regimes is also given in addition to the slightly different behavior of these three OECD members. JEL classification number: E32; E37 |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://bf.banking.unsw.edu.au/staff/profiles/rbhar/ref_jrnl/ref_01_gdp_vol.pdf |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Guanosine Diphosphate Intuition Markov chain Organisation for Economic Co-Operation and Development Sample Variance Specification Volatility |
| Content Type | Text |
| Resource Type | Article |
