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Home List of Titles Analysis of real GDP growth rates of greater China: an asymmetric conditional volatility approach
Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.3/62035
- Analysis of real GDP growth rates of greater China: an asymmetric conditional volatility approach
- Ho, Kin-Yip; Tsui, Albert K.
- Most empirical studies of real gross domestic product (GDP) growth rates exclude the dimension of conditional volatility shocks. In this paper, we search for evidence of conditional volatility in the quarterly real GDP of greater China, which comprises the economies of Mainland China, the Hong Kong Special Administrative Region (SAR), and Taiwan. The widely accepted exponential GARCH model of Nelson [Econometrica 59 (1991) 347-370] is employed to capture the possible existence of asymmetric conditional volatility in real GDP. It is found that negative real GDP shocks may induce a greater impact on future volatilities compared with positive shocks of the same magnitude. Policy implications from our findings are discussed.
- Publication type
- Journal article
- China Economic Review, Vol. 15, no. 4 (2004), pp. 424-442
- Publication year
- Conditional heteroscedasticity; EGARCH model; Heteroscedasticity; Real GDP growth rates; Yen-dollar exchange rate
- Publisher URL
- Copyright © 2004 Elsevier Inc. All rights reserved.
- Peer reviewed