Econometric history of the growth–volatility relationship in the USA: 1919–2017 - Audencia Access content directly
Journal Articles Cliometrica Year : 2021

Econometric history of the growth–volatility relationship in the USA: 1919–2017

Abstract

In this paper, we investigate the relationship between output volatility and growth using the standard GARCH-M framework and the US monthly industrial production index (IPI) for the period January 1919–December 2017, by taking into account the presence of shocks and variance changes. The results show that the IPI growth is strongly affected by large shocks which are associated with strikes in some industries, recessions, World War II and natural disasters. We also identify several subperiods with different level of volatility where the volatility declines along the subperiods, with the pre-WWII period (1919–1946) the highest volatile period and the aftermath period of the GFC (2010–2017) the lowest volatile period. We find no evidence of relationship between output volatility and its growth during the full sample 1919–2017 and also for all the subperiods. From a macroeconomic point of view, this implies that economic performances, as measured by IPI growth, do not depend on the uncertainty as measured by IPI volatility.
Fichier principal
Vignette du fichier
Charles-Darne_HAL.pdf (227.97 Ko) Télécharger le fichier
Origin : Files produced by the author(s)

Dates and versions

hal-03186891 , version 1 (06-04-2021)

Identifiers

Cite

Amélie Charles, Olivier Darné. Econometric history of the growth–volatility relationship in the USA: 1919–2017. Cliometrica, 2021, 15, pp.419 - 442. ⟨10.1007/s11698-020-00209-y⟩. ⟨hal-03186891⟩
63 View
179 Download

Altmetric

Share

Gmail Facebook X LinkedIn More