Document Type
Article
Publication Date
1-1998
Publication Source
Southern Economic Journal
Abstract
We estimate an ARCH-M model to analyze the relationship between the conditional standard deviation of real gross national product (GNP) and its growth rate for the period 1871-1993. We find that variability significantly increases output growth rates. In addition, impulse response functions show that the effect of variability on growth rates is dynamic. These results provide evidence in favor of Black's (1987) business cycle hypothesis.
Inclusive pages
765-771
ISBN/ISSN
0038-4038
Document Version
Published Version
Copyright
Copyright © 1998, Southern Economic Association.
Publisher
Southern Economic Association
Place of Publication
Chattanooga, TN
Volume
64
Peer Reviewed
yes
Issue
3
eCommons Citation
Caporale, Tony and McKiernan, Barbara, "The Fischer Black Hypothesis: Some Time-Series Evidence" (1998). Economics and Finance Faculty Publications. 1.
https://ecommons.udayton.edu/eco_fac_pub/1
Included in
Business Administration, Management, and Operations Commons, Economic History Commons, Economic Theory Commons, Finance Commons, Finance and Financial Management Commons, International Economics Commons
Comments
Permission documentation is on file.