Article
The Fischer Black Hypothesis: Some Time-Series Evidence
Southern Economic Journal
Document Type
Article
Publication Date
1-1-1998
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
Peer Reviewed
Yes
Disciplines
Citation Information
Tony Caporale and Barbara McKiernan. "The Fischer Black Hypothesis: Some Time-Series Evidence" Southern Economic Journal Vol. 64 Iss. 3 (1998) Available at: http://works.bepress.com/tony_caporale/23/
Permission documentation is on file.