On The Link Between The Volatility And Skewness Of Growth
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On The Link Between The Volatility And Skewness Of Growth
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Author : Geert Bekaert
language : en
Publisher:
Release Date : 2012
On The Link Between The Volatility And Skewness Of Growth written by Geert Bekaert and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Economics categories.
In a sample of 110 countries over the period 1960-2009, we document a positive relation between the volatility and skewness of growth in the cross-section. The relation holds regardless of initial level of economic development and of subsequent long-run growth rate. We argue that this novel stylized fact is related to two distinct phenomena: sudden growth spurts in mostly emerging markets, and rare and abrupt crises in mostly developed economies. The former phenomenon is driven by industrialization, macroeconomic stabilization, and the exploitation of natural resources. The latter is consistent with recent theories of financial frictions. The positive relation between volatility and skewness in the cross-section is in sharp contrast with a negative relation between the two in panel data with country fixed effects which is fully driven by business cycle variation in rich countries.
On The Link Between The Volatility And Skewness Of Growth
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Author : Geert Bekaert
language : en
Publisher:
Release Date : 2020
On The Link Between The Volatility And Skewness Of Growth written by Geert Bekaert and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
In a sample of 110 countries over the period 1960-2009, we document a positive relation between the volatility and skewness of growth in the cross-section. This novel stylized fact is related to two distinct mechanisms: sudden growth spurts in emerging markets, and sharp financial crises-driven recessions in developed economies. The former phenomenon is driven by industrialization, macroeconomic stabilization, and the exploitation of natural resources. The latter is consistent with recent theories of financial frictions. The cross-sectional pattern contrasts with a negative relation between volatility and skewness in panel data with country fixed effects in the top quartile of countries in terms of beginning-of-period GDP per capita.
On The Link Between The Volatility And Skewness Of Growth
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Author : Geert Bekaert
language : en
Publisher:
Release Date : 2018
On The Link Between The Volatility And Skewness Of Growth written by Geert Bekaert and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
In a sample of 110 countries over the period 1960-2009, we document a positive relation between the volatility and skewness of growth in the cross-section. This novel stylized fact is related to two distinct mechanisms: sudden growth spurts in emerging markets, and sharp financial crises-driven recessions in developed economies. The former phenomenon is driven by industrialization, macroeconomic stabilization, and the exploitation of natural resources. The latter is consistent with recent theories of financial frictions. The cross-sectional pattern contrasts with a negative relation between volatility and skewness in panel data with country fixed effects in the top quartile of countries in terms of beginning-of-period GDP per capita.
Volatility And Growth
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Author : Viktoria Hnatkovska
language : en
Publisher: World Bank Publications
Release Date : 2004
Volatility And Growth written by Viktoria Hnatkovska and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Business cycles categories.
The Effects Of Business Cycles On Growth
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Author : Antonio Fatás
language : en
Publisher:
Release Date : 2002
The Effects Of Business Cycles On Growth written by Antonio Fatás and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
Cross Country Evidence On The Link Between Volatility And Growth
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Author : Garey Ramey
language : en
Publisher:
Release Date : 1994
Cross Country Evidence On The Link Between Volatility And Growth written by Garey Ramey and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Business cycles categories.
This paper presents empirical evidence against the standard dichotomy in macroeconomics that separates growth from the volatility of economic fluctuations. In a sample of 92 countries as well as a sample of OECD countries, we find that countries with higher volatility have lower growth. The addition of standard control variables strengthens the negative relationship. We also find that government spending-induced volatility is negatively associated with growth even after controlling for both time- and country-fixed effects.
Why The Link Between Volatility And Growth Is Both Positive And Negative
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Author : Jean Imbs
language : en
Publisher:
Release Date : 2002
Why The Link Between Volatility And Growth Is Both Positive And Negative written by Jean Imbs and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Economic development categories.
Volatility And Growth
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Author : Viktoria Hnatkovska
language : en
Publisher:
Release Date : 2013
Volatility And Growth written by Viktoria Hnatkovska and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
The authors study the empirical, cross-country relationship between macroeconomic volatility and long-run economic growth. They address four central questions: 1) Does the volatility-growth link depend on country and policy characteristics, such as the level of development or trade openness? 2) Does this link reflect a statistically and economically significant causal effect from volatility to growth? 3) Has this relationship been stable over time and has it become stronger in recent decades? 4) Does the volatility-growth connection actually reveal the impact of crises rather than the overall effect of cyclical fluctuations? The authors find that macroeconomic volatility, and long-run economic growth are indeed negatively related. This negative link is exacerbated in countries that are poor, institutionally underdeveloped, undergoing intermediate stages of financial development, or unable to conduct counter-cyclical fiscal policies. They find evidence that this negative relationship actually reflects the harmful effect from volatility to growth. Furthermore, the authors find that the negative effect of volatility on growth has become considerably larger in the past two decades, and that it is mostly due to large recessions rather than normal cyclical fluctuations.
The Link Between Economic Growth And Growth Volatility
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Author : Dong-Hyeon Kim
language : en
Publisher:
Release Date : 2014
The Link Between Economic Growth And Growth Volatility written by Dong-Hyeon Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
This paper investigates the relationship between economic growth and growth volatility through simultaneous equations system. By employing the identification through heteroskedasticity method of Rigobon (2003, Review of Economics and Statistics 85: 777-792) and using a panel of 158 countries over the period 1960-2010, we find that output volatility is detrimental to economic growth, suggesting that stabilization policies to mitigate short-run economic fluctuations contribute to long-run economic growth. And economic growth accelerates output variability, supporting the feedback effects from growth to the volatility. The evidence is robust to a number of sensitivity tests.
Volatility And Growth
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Author : Philippe Aghion
language : en
Publisher: OUP Oxford
Release Date : 2005-07-28
Volatility And Growth written by Philippe Aghion and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-07-28 with Business & Economics categories.
It has long been recognized that productivity growth and the business cycle are closely interrelated. Yet, until recently, the two phenomena have been investigated separately in the economics literature. This book provides the first consistent attempt to analyze the effects of macroeconomic volatility on productivity growth, and also the reverse causality from growth to business cycles. The authors show that by looking at the economy through the lens of private entrepreneurs, who invest under credit constraints, one can go some way towards explaining persistent macroeconomic volatility and the effects of volatility on growth. Beginning with an analysis of the effects of volatility on growth, the authors argue that the lower the level of financial development in a country the more detrimental the effect of volatility on growth. This prediction is confirmed by cross-country panel regressions. The data also suggests that a fixed exchange rate regime or more countercyclical budgetary policies are growth-enhancing in countries with a lower level of financial development. The former reduce aggregate volatility whereas the latter reduce the negative effects of volatility on long-term productivity-enhancing investment by firms. The book concludes with an investigation into how the interplay between credit constraints and pecuniary externalities is sufficient to generate persistent business cycles and to explain the occurrence of currency crises.