the variance of monetary shocks has a negative effect on growth, while output volatility is good for growth as a positive …

of monetary shocks has a negative effect on growth, while output volatility is good for growth as a positive relationship …

volatility over the period 1947 to 2006. First, we consider the possible effects of structural change in the volatility process …. In so doing, we employ GARCH-M and ARCH-M specifications of the process describing output growth rate and its volatility … with and without a one-time structural break in volatility. Second, our data analyses and empirical results suggest no …

This paper examines long memory volatility in international stock markets. We show that long memory volatility is … memory in volatility than emerging and frontier countries and that stock market jumps are negatively correlated with long … memory of volatility. Overall, our results provide some evidence of a link between stock market uncertainty and macroeconomic …