Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.chieco.2004.06.011
Title: Analysis of real GDP growth rates of greater China: An asymmetric conditional volatility approach
Authors: Ho, K.Y.
Tsui, A.K.C. 
Keywords: Conditional heteroskedasticity
EGARCH model
Real GDP growth rates
Issue Date: 2004
Source: 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
URI: http://scholarbank.nus.edu.sg/handle/10635/19969
ISSN: 1043951X
DOI: 10.1016/j.chieco.2004.06.011
Appears in Collections:Staff Publications

Show full item record
Files in This Item:
There are no files associated with this item.

SCOPUSTM   
Citations

9
checked on Dec 7, 2017

WEB OF SCIENCETM
Citations

8
checked on Nov 23, 2017

Page view(s)

299
checked on Dec 11, 2017

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.