Apergis, Nicholas; Miller, Stephen - In: Journal of Economic Studies 32 (2005) October, pp. 511-523
Purpose – To investigate whether monetary volatility in the US exerts any asymmetric impact on output volatility over the period 1974-2002. Design/methodology/approach – For the empirical purposes, the analysis makes use of the multi-variable GARCH (MVGARCH), which allows not only the...