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A re-examination of growth and growth uncertainty relationship in a stochastic volatility in the mean model with time-varying parameters

机译：具有时变参数的平均模型中随机挥发性的生长和生长不确定性关系的重新研究

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摘要

By means of stochastic volatility in the mean model to allow for time-varying parameters in the conditional mean and quarterly data for the G7 countries, this article examines the dynamic nexus between the volatility of output and economic growth for the G7 countries. This approach allows us to model parameter time-variation so as to reflect changes in the effect of volatility appearing in both the conditional mean and the conditional variance. The evidence in this article indicates that the effect of output volatility on output growth is strongly time-varying and quite analogues for all the G7 countries, with a break around 1973. The effect of output volatility on growth becomes more negative after 1973, with negative and statistically significant estimates after 1973 or early 1990s. Our estimates show a reversal of the declining trend and a significant increase in output volatility in the late-2000s, indicating that the Subprime Crisis brought a temporary break in the Great Moderation. However, the Great Moderation seems to be generally restored by the mid-2010s. The effect of output growth on output volatility is insignificant for all countries except for Italy and the US, for which the estimates are positive and statistically significant. Our estimates also show that output volatility is counter-cyclical for all countries.
机译：通过平均模型中的随机波动，允许在G7国家的条件均值和季度数据中允许时变参数，本文审查了G7国家的产量和经济增长波动之间的动态Nexus。该方法允许我们建模参数时间变化，以反映在条件均值和条件方差中出现的波动率的影响变化。本文中的证据表明，所有G7国家的产出波动性对产出增长的影响强烈，1973年左右突破。在1973年后，产出波动性对增长的影响变得更加负面1973年或20世纪90年代初期后统计上大幅估计。我们的估计表明，2000年代后期逆转趋势下降和产出波动显着增加，表明次贷危机带来了暂时的休息。然而，似乎似乎在2010年中期通常恢复。除意大利和美国外，产量增长对产出波动的影响是微不足道的，估计是积极和统计学意义的。我们的估计还表明，所有国家的输出波动都是反周期性的。

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