{"title":"Econometric history of the growth–volatility relationship in the USA: 1919–2017","authors":"Amélie Charles, Olivier Darné","doi":"10.1007/s11698-020-00209-y","DOIUrl":null,"url":null,"abstract":"<p>In this paper, we investigate the relationship between output volatility and growth using the standard GARCH-M framework and the US monthly industrial production index (IPI) for the period January 1919–December 2017, by taking into account the presence of shocks and variance changes. The results show that the IPI growth is strongly affected by large shocks which are associated with strikes in some industries, recessions, World War II and natural disasters. We also identify several subperiods with different level of volatility where the volatility declines along the subperiods, with the pre-WWII period (1919–1946) the highest volatile period and the aftermath period of the GFC (2010–2017) the lowest volatile period. We find no evidence of relationship between output volatility and its growth during the full sample 1919–2017 and also for all the subperiods. From a macroeconomic point of view, this implies that economic performances, as measured by IPI growth, do not depend on the uncertainty as measured by IPI volatility.</p>","PeriodicalId":44951,"journal":{"name":"Cliometrica","volume":null,"pages":null},"PeriodicalIF":1.5000,"publicationDate":"2020-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Cliometrica","FirstCategoryId":"98","ListUrlMain":"https://doi.org/10.1007/s11698-020-00209-y","RegionNum":1,"RegionCategory":"历史学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
In this paper, we investigate the relationship between output volatility and growth using the standard GARCH-M framework and the US monthly industrial production index (IPI) for the period January 1919–December 2017, by taking into account the presence of shocks and variance changes. The results show that the IPI growth is strongly affected by large shocks which are associated with strikes in some industries, recessions, World War II and natural disasters. We also identify several subperiods with different level of volatility where the volatility declines along the subperiods, with the pre-WWII period (1919–1946) the highest volatile period and the aftermath period of the GFC (2010–2017) the lowest volatile period. We find no evidence of relationship between output volatility and its growth during the full sample 1919–2017 and also for all the subperiods. From a macroeconomic point of view, this implies that economic performances, as measured by IPI growth, do not depend on the uncertainty as measured by IPI volatility.
期刊介绍：
Cliometrica provides a leading forum for exchange of ideas and research in all facets, in all historical periods and in all geographical locations of historical economics. The journal encourages the methodological debate, the use of economic theory in general and model building in particular, the reliance upon quantification to buttress the models with historical data, the use of the more standard historical knowledge to broaden the understanding and suggesting new avenues of research, and the use of statistical theory and econometrics to combine models with data in a single consistent explanation. The highest standards of quality are promoted. All articles will be subject to Cliometrica''s peer review process. On occasion, specialised topics may be presented in a special issue.
Officially cited as: Cliometrica
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