RELATIONSHIP BETWEEN OUTPUT VOLATILITY AND OUTPUT IN OECD COUNTRIES REVISITED

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Ekinci A.

Prague Economic Papers, cilt.31, sa.6, ss.509-537, 2022 (SSCI, Scopus) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 31 Sayı: 6
  • Basım Tarihi: 2022
  • Doi Numarası: 10.18267/j.pep.812
  • Dergi Adı: Prague Economic Papers
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, International Bibliography of Social Sciences, Periodicals Index Online, EconLit, PAIS International, Political Science Complete, Worldwide Political Science Abstracts
  • Sayfa Sayıları: ss.509-537
  • Anahtar Kelimeler: asymmetric effect, business cycle, EGARCH, Output gap, volatility, wavelet
  • Açık Arşiv Koleksiyonu: AVESİS Açık Erişim Koleksiyonu
  • Samsun Üniversitesi Adresli: Hayır

Özet

This study revisits the empirical relationship between output volatility and output for twelve OECD countries. An extended AR-EGARCH-M model was used to identify the structural break, asymmetric effect, jump effect and spillover effect. In addition to the classical logarithmic definition of growth, the study uses the Hodrick-Prescott filter to compute the deviations from the long-term trend as the output gap. The empirical results show that (i) the effect of output volatility on output differs across countries under the same model specifications; and (ii) while the in-mean effect and spillover effect are stronger for the output gap-based models, the jump effect has a major effect on output volatility under the classical logarithmic definition.