Skip to main content

Global output growth and volatility spillovers

Journal Article


Abstract


  • This article examines discernable patterns of real Gross Domestic Product

    (GDP) growth co-movements across 29 countries, using consistent time

    series data (1912–2008). Of these countries, only 12 are found to form three

    statistically significant groupings (i.e. G6-six Organization for Economic

    Co-operation and Development (OECD) European countries, G4-four

    Anglo-Saxon countries, and G2-two major Asian countries). One may then

    conclude that, inter alia, geographical proximity, cultural ties, and the level

    of socio-economic and financial ties among countries determine the global

    systematic co-movements of growth rates. Our results indicate that any

    recession in the US initially engulfs other Anglo-Saxon countries as well as

    G6 and G2 countries, before exerting its adverse knock-on effects to the

    rest of the world. A Multivariate Generalized Autoregressive Conditional

    Heteroscedasticity (MGARCH) model is also used to examine the

    transmission of GDP growth across these three groups and their

    corresponding volatility spillovers. We find significant bi-directional

    cross-mean spillovers between the G4 and G6 blocs. In terms of

    cross-volatility spillovers, the estimated persistence varies from a

    maximum 0.959 (G4–G6) to a minimum of 0.832 (G2–G4).

UOW Authors


  •   Valadkhani, Abbas (external author)
  •   Harvie, Charles
  •   Karunanayake Athukoralalage, Indika P. (external author)

Publication Date


  • 2013

Citation


  • Valadkhani, A., Harvie, C. & Karunanayake Athukoralalage, I. (2013). Global output growth and volatility spillovers. Applied Economics, 45 (5), 637-649.

Scopus Eid


  • 2-s2.0-84857884314

Ro Metadata Url


  • http://ro.uow.edu.au/commpapers/2813

Number Of Pages


  • 12

Start Page


  • 637

End Page


  • 649

Volume


  • 45

Issue


  • 5

Place Of Publication


  • http://www.tandfonline.com/loi/raec20

Abstract


  • This article examines discernable patterns of real Gross Domestic Product

    (GDP) growth co-movements across 29 countries, using consistent time

    series data (1912–2008). Of these countries, only 12 are found to form three

    statistically significant groupings (i.e. G6-six Organization for Economic

    Co-operation and Development (OECD) European countries, G4-four

    Anglo-Saxon countries, and G2-two major Asian countries). One may then

    conclude that, inter alia, geographical proximity, cultural ties, and the level

    of socio-economic and financial ties among countries determine the global

    systematic co-movements of growth rates. Our results indicate that any

    recession in the US initially engulfs other Anglo-Saxon countries as well as

    G6 and G2 countries, before exerting its adverse knock-on effects to the

    rest of the world. A Multivariate Generalized Autoregressive Conditional

    Heteroscedasticity (MGARCH) model is also used to examine the

    transmission of GDP growth across these three groups and their

    corresponding volatility spillovers. We find significant bi-directional

    cross-mean spillovers between the G4 and G6 blocs. In terms of

    cross-volatility spillovers, the estimated persistence varies from a

    maximum 0.959 (G4–G6) to a minimum of 0.832 (G2–G4).

UOW Authors


  •   Valadkhani, Abbas (external author)
  •   Harvie, Charles
  •   Karunanayake Athukoralalage, Indika P. (external author)

Publication Date


  • 2013

Citation


  • Valadkhani, A., Harvie, C. & Karunanayake Athukoralalage, I. (2013). Global output growth and volatility spillovers. Applied Economics, 45 (5), 637-649.

Scopus Eid


  • 2-s2.0-84857884314

Ro Metadata Url


  • http://ro.uow.edu.au/commpapers/2813

Number Of Pages


  • 12

Start Page


  • 637

End Page


  • 649

Volume


  • 45

Issue


  • 5

Place Of Publication


  • http://www.tandfonline.com/loi/raec20