The Link between Output Growth and Output Volatility in Five Crisis-Affected Asian Countries

摘要

This article tests the Black’s hypothesis in five crisis-affected Asian countries(India, Japan, Malaysia, South Korea, and Thailand). The hypothesis posits that economiesface a positive relationship between output growth and output volatility. Using monthly data of the industrial production indices in the five economies and applying theARCH/GARCH models to generate a measure of output volatility to conduct the two-step approach, the results show that output volatility positively Granger causes output growth in two economies, Japan, and South Korea. The results indicate that countries with specialized technology are compensated for associated risk. In addition, the impact of the 1997 Asian financial crisis is minimal such that it will not alter the volatility and growth relationship.