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Does Black’s Hypothesis for Output Variability Hold for Mexico?

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  • Macri, Joseph
  • Sinha, Dipendra

Abstract

Using two data series, namely GDP and the index of industrial production, we study the relationship between output variability and the growth rate of output. Ng-Perron unit root test shows that the growth rate of GDP is non-stationary but the growth rate of industrial output is stationary. Thus, 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 has a negative but insignificant effect on the growth rate of output.

Suggested Citation

  • Macri, Joseph & Sinha, Dipendra, 2007. "Does Black’s Hypothesis for Output Variability Hold for Mexico?," MPRA Paper 4021, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:4021
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    References listed on IDEAS

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    Cited by:

    1. Muhammad Shahbaz & Talat Afza & Muhammad Shahbaz Shabbir, 2013. "Does Defence Spending Impede Economic Growth? Cointegration And Causality Analysis For Pakistan," Defence and Peace Economics, Taylor & Francis Journals, vol. 24(2), pages 105-120, April.

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    More about this item

    Keywords

    economic growth; volatility; variability; business cycle fluctuations; GARCH models;
    All these keywords.

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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