Growth and volatility

• 成果类型: Article
• 署名作者: Imbs, Jean
• 署名单位: Swiss Finance Institute (SFI)
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2006.08.001
• 发表日期: 2007
• 页码: 1848-1862
• 关键词: sectors; GROWTH; volatility

摘要

Growth and volatility correlate negatively across countries, but positively across sectors. Analytically, whether or not sectoral growth and volatility are correlated positively is irrelevant in the aggregate. Cross-country estimates identify the detrimental effects of macroeconomic volatility on growth, but they cannot be used to dismiss theories implying a positive growth-volatility coefficient, which appear to hold in sectoral data. In particular, volatile sectors command high investment rates, as they would in a mean variance framework. (c) 2006 Elsevier B.V. All rights reserved.