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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
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.
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
ISSN: 1043951X
DOI: 10.1016/j.chieco.2004.06.011
Appears in Collections:Staff Publications

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