Does Black's output variability hypothesis hold for Mexico?

Joseph Macri, Dipendra Sinha

Research output: Contribution to journalArticlepeer-review


We study, using two data series, namely GDP and the index of industrial production, the relationship between output variability and the growth rate of output for Mexico. Ng-Perron unit root test shows that the growth rate of GDP is non-stationary but the growth rate of industrial output is stationary. Therefore, we use the ARCH-M model for the monthly data of industrial output. A number of specifications (with and without a dummy variable) are used. In all cases, the results show that output variability for Mexico has a negative but insignificant effect on the growth rate of output.
Original languageEnglish
Pages (from-to)1105-1111
Number of pages7
JournalThe Empirical economics letters
Issue number11
Publication statusPublished - 2009


  • economic growth
  • volatility
  • variability
  • business cycle fluctuations
  • ARCH models


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