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Modeling the volatility of real GDP growth: The case of Japan revisited

Author

Listed:
  • Fang, WenShwo
  • Miller, Stephen M.
Abstract
Previous studies [e.g., Hamori, S., 2000. Volatility of real GDP: some evidence from the United States, the United Kingdom and Japan. Japan and the World Economy 12, 143-152; Ho, K.Y., Tsui, A.K.C., 2003. Asymmetric volatility of real GDP: some evidence from Canada, Japan, the United Kingdom and the United States. Japan and the World Economy 15, 437-445; Fountas, S., Karanasos, M., Mendoza, A., 2004. Output variability and economic growth: the Japanese case. Bulletin of Economic Research 56, 353-363] find high volatility persistence of economic growth rates using generalized autoregressive conditional heteroskedasticity (GARCH) specifications. This paper reexamines the Japanese case, using the same approach and showing that this finding of high volatility persistence reflects the Great Moderation, which features a sharp decline in the variance as well as two falls in the mean of the growth rates identified by Bai and Perron's [Bai, J., Perron, P., 1998. Estimating and testing linear models with multiple structural changes. Econometrica 66, 47-78; Bai, J., Perron, P., 2003. Computation and analysis of multiple structural change models. Journal of Applied Econometrics 18, 1-22] multiple structural change test. Our empirical results provide new evidence. First, excess kurtosis drops substantially or disappears in the GARCH or exponential GARCH model that corrects for an additive outlier. Second, using the outlier-corrected data, the integrated GARCH effect or high volatility persistence remains in the specification once we introduce intercept-shift dummies into the mean equation. Third, the time-varying variance falls sharply, only when we incorporate the break in the variance equation. Fourth, the ARCH in mean model finds no effects of our more correct measure of output volatility on output growth or of output growth on its volatility.

Suggested Citation

  • Fang, WenShwo & Miller, Stephen M., 2009. "Modeling the volatility of real GDP growth: The case of Japan revisited," Japan and the World Economy, Elsevier, vol. 21(3), pages 312-324, August.
    • Handle: RePEc:eee:japwor:v:21:y:2009:i:3:p:312-324
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    2. WenShwo Fang & Stephen M. Miller & ChunShen Lee, 2008. "Cross‐Country Evidence On Output Growth Volatility: Nonstationary Variance And Garch Models," Scottish Journal of Political Economy, Scottish Economic Society, vol. 55(4), pages 509-541, September.
    3. Amélie Charles & Olivier Darné & Laurent Ferrara, 2018. "Does The Great Recession Imply The End Of The Great Moderation? International Evidence," Economic Inquiry, Western Economic Association International, vol. 56(2), pages 745-760, April.
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    5. Amélie Charles & Olivier Darné & Laurent Ferrara, 2018. "Does The Great Recession Imply The End Of The Great Moderation? International Evidence," Economic Inquiry, Western Economic Association International, vol. 56(2), pages 745-760, April.
    6. Steven Trypsteen, 2014. "Cross-Country Interactions, the Great Moderation and the Role of Output Volatility in Growth," Discussion Papers 2014/10, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
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    11. Tunio, Mohsin Waheed, 2023. "What Explains the Volatility in Pakistan’s Sovereign Bond Yields?," MPRA Paper 116030, University Library of Munich, Germany.
    12. Jorge M. Andraz & Nélia M. Norte, 2017. "Gross domestic product growth, volatility and regime changes nexus: the case of Portugal," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 16(1), pages 1-16, April.
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    14. Dejan Živkov & Jovan Njegic & Marko Pecanac, 2014. "Bidirectional linkage between inflation and inflation uncertainty – the case of Eastern European countries," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 14(1-2), pages 124-139, December.
    15. Steven Trypsteen, 2014. "The Importance of a Time-Varying Variance and Cross-Country Interactions in Forecast Models," Discussion Papers 2014/15, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
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    17. Kushal Banik Chowdhury & Nityananda Sarkar, 2019. "Regime Dependent Effect Of Output Growth On Output Growth Uncertainty: Evidence From Oecd Countries," Bulletin of Economic Research, Wiley Blackwell, vol. 71(3), pages 257-282, July.
    18. Mehmet Balcilar & Zeynel Abidin Ozdemir, 2020. "A re-examination of growth and growth uncertainty relationship in a stochastic volatility in the mean model with time-varying parameters," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 47(3), pages 611-641, August.
    19. Dejan Živkov & Jovan Njegić & Vera Mirović, 2016. "Dynamic Nexus between Exchange Rate and Stock Prices in the Major East European Economies," Prague Economic Papers, Prague University of Economics and Business, vol. 2016(6), pages 686-705.
    20. Ahmed, Walid M.A., 2017. "On the dynamic interactions between energy and stock markets under structural shifts: Evidence from Egypt," Research in International Business and Finance, Elsevier, vol. 42(C), pages 61-74.
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    22. Viorica CHIRILA, 2011. "The Modelling of the Volatility of Business cycles in Romania," EuroEconomica, Danubius University of Galati, issue 30, pages 138-147, November.
    23. Davide De Gaetano, 2018. "Forecast Combinations for Structural Breaks in Volatility: Evidence from BRICS Countries," JRFM, MDPI, vol. 11(4), pages 1-13, October.

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    More about this item

    Keywords

    Japan Real GDP growth The Great Moderation Outlier Structural changes IGARCH effect;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • O40 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General

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