Relationship between output volatility and output in OECD countries revisited
Relationship between output volatility and output in OECD countries revisited

Summary/Abstract: This study revisits the empirical relationship between output volatility and output fortwelve OECD countries. An extended AR-EGARCH-M model was used to identifythe structural break, asymmetric effect, jump effect and spillover effect. In addition to theclassical logarithmic definition of growth, the study uses the Hodrick-Prescott filter tocompute the deviations from the long-term trend as the output gap. The empirical resultsshow that (i) the effect of output volatility on output differs across countries under the samemodel specifications; and (ii) while the in-mean effect and spillover effect are strongerfor the output gap-based models, the jump effect has a major effect on output volatilityunder the classical logarithmic definition.

• Details
• Contents