Please use this identifier to cite or link to this item:
|Title:||Analysis of real GDP growth rates of greater China: An asymmetric conditional volatility approach|
Real GDP growth rates
|Citation:||Ho, K.Y., Tsui, A.K.C. (2004). Analysis of real GDP growth rates of greater China: An asymmetric conditional volatility approach. China Economic Review 15 (4) : 424-442. ScholarBank@NUS Repository. https://doi.org/10.1016/j.chieco.2004.06.011|
|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.©2004 Elsevier Inc. All rights reserved.|
|Source Title:||China Economic Review|
|Appears in Collections:||Staff Publications|
Show full item record
Files in This Item:
There are no files associated with this item.
checked on Aug 11, 2018
WEB OF SCIENCETM
checked on Jul 25, 2018
checked on Jul 28, 2018
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.