Revisiting the link between output growth and volatility: panel GARCH analysis

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dc.authoridDeniz, Pinar/0000-0001-5693-1144
dc.authorwosidYazgan, Ege/GPG-1135-2022
dc.authorwosidDeniz, Pinar/AAC-3440-2021
dc.contributor.authorDeniz, Pinar
dc.contributor.authorStengos, Thanasis
dc.contributor.authorYazgan, M. Ege
dc.date.accessioned2024-07-18T20:40:25Z
dc.date.available2024-07-18T20:40:25Z
dc.date.issued2021
dc.departmentİstanbul Bilgi Üniversitesien_US
dc.description.abstractThis paper explores the link between output growth and volatility using several macroeconomic variables for a panel of countries for the period of 1971-2014. Using an augmented panel GARCH-M model, we allow for the first time in the literature for independent variables to be part of the conditional equations. The paper is also novel in terms of encompassing an extensive number of countries and country groups. The relationship between output growth and volatility is observed to vary between different country groups. Empirical findings regarding the effect of exogeneous variables suggest that trade openness contributes to economic growth and institutional quality lowers economic volatility.en_US
dc.identifier.doi10.1007/s00181-020-01878-4
dc.identifier.endpage771en_US
dc.identifier.issn0377-7332
dc.identifier.issn1435-8921
dc.identifier.issue2en_US
dc.identifier.scopus2-s2.0-85085333753en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.startpage743en_US
dc.identifier.urihttps://doi.org/10.1007/s00181-020-01878-4
dc.identifier.urihttps://hdl.handle.net/11411/7105
dc.identifier.volume61en_US
dc.identifier.wosWOS:000534860400001en_US
dc.identifier.wosqualityQ3en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherPhysica-Verlag Gmbh & Coen_US
dc.relation.ispartofEmpirical Economicsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectGrowthen_US
dc.subjectVolatilityen_US
dc.subjectPanel Garch-M Modelen_US
dc.subjectEconomic-Growthen_US
dc.subjectCross-Countryen_US
dc.subjectUncertaintyen_US
dc.subjectInstitutionsen_US
dc.subjectInflationen_US
dc.subjectTradeen_US
dc.subjectVariabilityen_US
dc.subjectOpennessen_US
dc.subjectRealen_US
dc.subjectIntegrationen_US
dc.titleRevisiting the link between output growth and volatility: panel GARCH analysis
dc.typeArticle

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