Autoregressive (SVAR) methodology is applied incorporating realized volatility as an indicator of oil price uncertainty to …

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 …

link between oil shocks and the volatility of economic growth. A new measure of oil shocks is developed and shown to be … volatility to oil price changes. Uncertainty about future growth is considerably lower compared to a benchmark AR(1) model when …

This paper considers the linkages between output growth and output volatility for the sample of G7 countries over the … volatility are highly intertwined, with spillovers taking place into all four directions; ii) the importance of spillovers has … been the largest transmitter of output and volatility shocks to other countries. Generalized impulse response analyses …

This study provides analytical insight on modelling macroeconomic and oil price volatility in Nigeria. Mainly, the … GARCH - M); and oil price is a major source of macroeconomic volatility in Nigeria. By implication, the Nigerian economy is … vulnerable to both internal shocks (interest rate volatility, real GDP volatility) and external shocks (exchange rate volatility …

In this paper, we challenge the traditional assumption of a linear relationship between exchange rate volatility and … volatility positively and significantly influences economic growth when growth in government spending is below 6 percent. Above … this 6 percent threshold, volatility exerts an insignificant effect on economic growth. In light of the adoption of a free …