Grier, K.B.; Henry, O.T.; Olekalns, N. - Department of Economics, Faculty of Business and Economics - 2001
We study the effects of growth volatility and inflation volatility on average rates of output growth and inflation for postwar U.S. data in a multivariate asymmetric GARCH-M model. Our statistical model differs from other work in that we allow the conditional covariance of inflation and growth...
