We examine the relationship between output variability and the growth rate for South Korea by using quarterly data. We use two data series: GDP and the index of industrial production. We test for stationarity using Ng-Perron unit root tests. We find that the growth rate of GDP is non-stationary but the growth rate of industrial production is stationary. Thus, we use the ARCH-M model for the growth of industrial production. A number of specifications of the ARCH-M model are used. In all cases, the results show that the output variability has a positive but insignificant effect on the growth rate of output.
|Number of pages||10|
|Journal||Asian-African Journal of Economics and Econometrics|
|Publication status||Published - 2006|
- economic growth
- business cycles
- GARCH models