Karunanayake, Indika; Valadkhani, Abbas; O'Brien, Martin

Author(s)

Karunanayake, Indika

Valadkhani, Abbas

O'Brien, Martin

Publication Date

2012

Abstract

This paper examines the dynamics of cross-country GDP volatility transmission and their conditional correlations. We use quarterly data (1961-2008) for Australia, Canada, the UK and the US to construct and estimate a multivariate generalised autoregressive conditional heteroskedasticity (MGARCH) model. According to the results from the mean growth equations, we identified significant cross-country GDP growth spillover among these countries. Furthermore, the growth volatility between the US and Canada indicates the highest conditional correlation. As expected, we also found that the shock influences are mainly exerted by the larger economies onto the smaller economies.

Citation

Australasian Accounting Business and Finance Journal, 6(1), p. 83-96

ISSN

1834-2019

1834-2000

Link

https://hdl.handle.net/1959.11/13363

Publisher

University of Wollongong, School of Accounting, Economics and Finance

Title

GDP Growth and the Interdependency of Volatility Spillovers

Type of document

Journal Article

Entity Type

Publication

Author(s)	Karunanayake, Indika Valadkhani, Abbas O'Brien, Martin
Publication Date	2012
Abstract	This paper examines the dynamics of cross-country GDP volatility transmission and their conditional correlations. We use quarterly data (1961-2008) for Australia, Canada, the UK and the US to construct and estimate a multivariate generalised autoregressive conditional heteroskedasticity (MGARCH) model. According to the results from the mean growth equations, we identified significant cross-country GDP growth spillover among these countries. Furthermore, the growth volatility between the US and Canada indicates the highest conditional correlation. As expected, we also found that the shock influences are mainly exerted by the larger economies onto the smaller economies.
Citation	Australasian Accounting Business and Finance Journal, 6(1), p. 83-96
ISSN	1834-2019 1834-2000
Link	https://hdl.handle.net/1959.11/13363
Publisher	University of Wollongong, School of Accounting, Economics and Finance
Title	GDP Growth and the Interdependency of Volatility Spillovers
Type of document	Journal Article
Entity Type	Publication

GDP Growth and the Interdependency of Volatility Spillovers

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