文章基本信息

标题：GDP Growth and the Interdependency of Volatility Spillovers
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作者：Karunanayake, Indika ; Valadkhani, Abbas ; O’Brien, Martin 等
期刊名称：Australasian Accounting, Business and Finance Journal
印刷版ISSN：1834-2000
电子版ISSN：1834-2019
出版年度：2012
卷号：6
期号：1
页码：83-96
出版社：University of Wollongong
摘要：This paper examines the dynamics of cross-country GDP volatility transmission and their conditional correlations. We use quarterly data (1961-2008) for Australia, Canada, the UK and the US to construct and estimate a multivariate generalised autoregressive conditional heteroskedasticity (MGARCH) model. According to the results from the mean growth equations, we identified significant cross-country GDP growth spillover among these countries. Furthermore, the growth volatility between the US and Canada indicates the highest conditional correlation. As expected, we also found that the shock influences are mainly exerted by the larger economies onto the smaller economies.
关键词：GDP Volatility; MGARCH Models; Diagonal VECH Model; Constant Conditional Correlation Model