Analysis of real GDP growth rates of greater China: an asymmetric conditional volatility approach

Author(s)

Ho, Kin-Yip; Tsui, Albert K.

Abstract

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 year

2004

Publication type

Journal article

Source

China Economic Review, Vol. 15, no. 4 (2004), pp. 424-442

ISSN

1043-951X

Publisher

Elsevier

Copyright

Copyright © 2004 Elsevier Inc.

Details