全部 标题 作者
关键词 摘要

OALib Journal期刊
ISSN: 2333-9721
费用:99美元

查看量下载量

相关文章

更多...

GDP Growth and the Interdependency of Volatility Spillovers

Keywords: GDP Volatility , MGARCH Models , Diagonal VECH Model , Constant Conditional Correlation Model

Full-Text   Cite this paper   Add to My Lib

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.

Full-Text

Contact Us

service@oalib.com

QQ:3279437679

WhatsApp +8615387084133