Pinno, Karl; Serletis, Apostolos - Department of Economics, University of Calgary - 2013
We estimate a bivariate GARCH-in-Mean VAR with a BEKK variance speciÂ…fication, to investigate whether oil price volatility affects real economic activity. We use the same data set of thirty seven, aggregate and disaggregate, industrial production indices used by Herrera et al. (2011) as a...