Scaling of Growth Rate Volatility for Six Macroeconomic Variables

نویسندگان
چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Term Structure of Interest Rate Volatility and Macroeconomic Uncertainty ∗

We propose a new model of the yield curve to capture both the dynamics of their conditional mean and the term structure of interest rate volatilities. The new class of affine term structure models exhibits multiple unpriced stochastic volatility factors without imposing constraints on the conditional mean of yields. The common movement in the volatilities extracted from the model provides a new...

متن کامل

Scaling the volatility of GDP growth rates

The distribution of shocks to GDP growth rates is found to be exponential rather than normal. Their standard deviation b scales with GDP where b 5 2 0.1560.03. These macroeconomic results place restrictions on the microeconomic structure of interactions between agents.  1998 Elsevier Science S.A.

متن کامل

Dualism and Macroeconomic Volatility

This paper develops a simple macroeconomic model that shows that combining capital market imperfections together with unequal access to investment opportunities across individuals can generate endogenous and permanent fluctuations in aggregate GDP, investment, and interest rates. Reducing inequality of access may be a necessary condition for macroeconomic stabilization. Moreover, countercyclica...

متن کامل

Uncertainty, Volatility, and Growth Rate

This paper examines two related models, which permit analytical investigation, to gain some insights into a relationship between endogenous growth and business cycle. Using two simple models which incorporate Fisher Black’s idea that a significant part of business cycle fluctuations is a consequence of an economy’s choice, we obtained a negative relationship between uncertainty and growth. Henc...

متن کامل

The Effect of Exchange Rate Volatility on Iran’s Bilateral Trade in Six Major Countries

The main aim of this study is to investigate the effect of exchange rate uncertainty on trade balance between Iran and countries which are major  trading partner of Iran, using the EGARCH method and the ARDL model (to examine the coherency and short- and long-term dynamics of the model). The data used in this paper includes quarterly data in the period of 1995 to 2017 for the real effective exc...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Contemporary Economics

سال: 2012

ISSN: 2084-0845

DOI: 10.5709/ce.1897-9254.45