The relationship between the monetary regime and output volatility: a multivariate GARCH-M model of the Japanese experience, 1919

The relationship between the monetary regime and output volatility: a multivariate GARCH-M model of the Japanese experience, 1919–1996

Published:2000-01 Issue:1 Volume:12 Page:49-69
ISSN:0922-1425
Container-title:Japan and the World Economy
language:en
Short-container-title:Japan and the World Economy

Author:

Kim Jongwoo

Publisher

Elsevier BV

Subject

Political Science and International Relations,Economics and Econometrics,Finance

Reference22 articles.

1. Baba, Yoshi, Robert, F. Engle, Dennis, F. Kraft, Kenneth, F. Kroner, 1991. Multivariate Simultaneous Generalized ARCH. Unpublished manuscript, Department of Economics, University of California, San Diego.

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3. Business cycles, stylized facts, and the exchange-rate regime: evidence from the US;Baxter;Journal of International Money and Finance,1991

4. Bollerslev, Tim, 1990. Modeling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model, The Review of Economics and Statistics, 499–505.

5. ARCH modeling in finance;Bollerslev;Journal of Econometrics,1992

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