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The Fischer Black Hypothesis: Some Time‐Series Evidence
Author(s) -
Caporale Tony,
McKiernan Barbara
Publication year - 1998
Publication title -
southern economic journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.762
H-Index - 58
eISSN - 2325-8012
pISSN - 0038-4038
DOI - 10.1002/j.2325-8012.1998.tb00093.x
Subject(s) - econometrics , impulse response , economics , standard deviation , business cycle , series (stratigraphy) , mathematics , growth rate , statistics , macroeconomics , mathematical analysis , paleontology , geometry , biology
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.