On the Link Between the Volatility and Skewness of Growth / Geert Bekaert, Alexander Popov.

Format:

Book

Author/Creator:

Bekaert, Geert.

Contributor:

National Bureau of Economic Research.

Popov, Alexander.

Series:

Working Paper Series (National Bureau of Economic Research) no. w18556.

NBER working paper series no. w18556

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2012.

Summary:

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.

Notes:

Print version record

November 2012.