Journal articles on the topic 'GDP growth volatility'
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1
Moro, Alessio. "Structural Change, Growth, and Volatility." American Economic Journal: Macroeconomics 7, no. 3 (July 1, 2015): 259–94. http://dx.doi.org/10.1257/mac.20130057.
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I construct a two-sector general equilibrium model of structural change to study the impact of sectoral composition of gross domestic product (GDP) on cross-country differences in GDP growth and volatility. For an empirically relevant parametrization of sectoral production functions, an increase in the share of services in GDP reduces both aggregate total factor productivity (TFP) growth and volatility, thus reducing GDP growth and volatility. When the model is calibrated to the US manufacturing and service sector, the rise of the service sector occurring as income grows can account for a large fraction of the differences in per capita GDP growth and volatility between high-income economies and upper middle income economies. (JEL E23, E25, E32, L60, L80)
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Bartak, Jakub, Łukasz Jabłoński, and Agnieszka Jastrzębska. "Examining GDP Growth and Its Volatility: An Episodic Approach." Entropy 23, no. 7 (July 13, 2021): 890. http://dx.doi.org/10.3390/e23070890.
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In this paper, we study economic growth and its volatility from an episodic perspective. We first demonstrate the ability of the genetic algorithm to detect shifts in the volatility and levels of a given time series. Having shown that it works well, we then use it to detect structural breaks that segment the GDP per capita time series into episodes characterized by different means and volatility of growth rates. We further investigate whether a volatile economy is likely to grow more slowly and analyze the determinants of high/low growth with high/low volatility patterns. The main results indicate a negative relationship between volatility and growth. Moreover, the results suggest that international trade simultaneously promotes growth and increases volatility, human capital promotes growth and stability, and financial development reduces volatility and negatively correlates with growth.
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Colin, Simanjuntak Ronald, and Febrio Nathan Kacaribu. "Pengaruh Volatilitas Makroekonomi terhadap Alokasi Kredit Bank." Jurnal Ekonomi dan Pembangunan Indonesia 21, no. 2 (October 24, 2021): 257–76. http://dx.doi.org/10.21002/jepi.v21i2.1311.
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This study discusses the impact of macroeconomic volatility on bank credit allocation. The hypothesis built that macroeconomic volatility will influence banks to careful in issuing new loans. This study uses panel data with a sample of 10 banks using Baum model. This study uses the macroeconomic volatility as bebast variables. This study uses a generalized method of moment regression test to examine the relationship between dependent and bebast variables. The results of this study indicate negative relationship between inflation volatility and volatility in GDP growth with lending, whereas the volatility of exchange rate depreciation does not have effect on lending. ----------------------------------------------------- Penelitian ini membahas dampak volatilitas makroekonomi terhadap alokasi kredit bank. Hipotesis yang dibangun bahwa volatilitas makroekonomi akan memengaruhi bank bersikap hati-hati dalam menerbitkan kredit baru. Penelitian ini menggunakan data panel dengan sampel sepuluh bank dengan menggunakan Model Baum. Penelitian ini menggunakan volatilitas makro ekonomi sebagai variabel bebas. Penelitian ini menggunakan uji regresi generalized method of moment untuk meneliti hubungan antara variabel dependen dan bebas. Hasil dari penilitian ini menunjukkan adanya hubungan negatif antara volatilitas inflasi dan volatilitas pertumbuhan GDP dengan penyaluran kredit, sedangkan untuk volatilitas depresiasi nilai tukar tidak memiliki pengaruh terhadap penyaluran kredit.
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Ky, Yaya, and François Joseph Cabral. "Innovation and volatility of the GDP growth rate: case of the economies of sub-Saharan Africa." Journal of African Development 19, no. 1 (April 1, 2017): 88–112. http://dx.doi.org/10.5325/jafrideve.19.1.0088.
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Abstract The objective of this research is to assess the impact of innovation on the volatility of GDP growth rate in the economies of Sub —Saharan African (SSA) countries. Using a dynamic panel model, a volatility index that we built and an innovation index produced by United Nations Industrial Development Organization (UNIDO), we show that innovation reduces the volatility of growth rates of GDP. In other words, the likelihood to control the volatility of GDP growth rate is an increasing function of innovation. There is a threshold effect of innovation effect on volatility depending to GDP per capita. Indeed, innovation reduces volatility but until a certain level of GDP per capita. This threshold is estimated at US $ 671 with a confidence level of 90% equal to US $ 600 - US $ 740. The effect of innovation on volatility is more efficient in a politically stable environment. Local innovation and innovation imported (foreign direct investment) have different behavior. The first reduces volatility while the second increases it.
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Brzozowski, Michał. "Credit volatility and productivity growth." Equilibrium 13, no. 2 (June 30, 2018): 215–32. http://dx.doi.org/10.24136/eq.2018.011.
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Research background: The issues of finance-growth nexus and financial instability have attracted considerable attention, but have been studied in isolation. This paper aims at filling this gap by providing insights into the implications of financial instability for long term productivity growth.
Purpose of the article: This paper sheds light on the relationship between credit-to-GDP ratio volatility and the total factor productivity (TFP) growth rate. The impact of systemic banking crises and financial depth on productivity growth is also studied.
Methods: The System GMM estimation of panel data for over 100 countries and spanning the period of 1970–2009 is used. The decomposition of credit-to-GDP ratio into trend and cyclical component is performed using the Hodrick-Prescott filter and a regression analysis with country-specific intercepts and slopes. The data on TFP comes from the Penn World Tables database.
Findings & Value added: TFP growth is negatively affected by credit volatility, mainly in less technologically advanced countries, while financial depth exerts a negative influence on TFP growth in economies with superior technology. Systemic banking crises and the concomitant credit crunches have a negative impact on productivity growth, regardless of the level of technological development. Moreover, the level of human capital, patents and globalization fuel productivity growth. Macroeconomic instability, measured by the rate of inflation, hampers TFP growth.
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Canning, D., L. A. N. Amaral, Y. Lee, M. Meyer, and H. E. Stanley. "Scaling the volatility of GDP growth rates." Economics Letters 60, no. 3 (September 1998): 335–41. http://dx.doi.org/10.1016/s0165-1765(98)00121-9.
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Abosedra, Salah, Mahmoud Arayssi, Bernard Ben Sita, and Crispin Mutshinda. "Exploring GDP growth volatility spillovers across countries." Economic Modelling 89 (July 2020): 577–89. http://dx.doi.org/10.1016/j.econmod.2019.11.015.
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Stevanović, Suzana, Ivan Milenković, and Sladjana Paunović. "Effects of the implementation of the inflation targeting regime on economic growth." Ekonomski horizonti 24, no. 3 (2022): 297–311. http://dx.doi.org/10.5937/ekonhor2203297s.
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This research study is focused on the examination of the influence of the introduction and implementation of the monetary Inflation Targeting (IT) regime: the level of the inflation rate and the Gross Domestic Product (GDP) growth rate, as well as inflation and the GDP volatility. Conditional variance is calculated by fitting an empirical Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model to an annualized quarterly date for the period from 1993Q1 to 2020Q3, all in order to assess volatility. The results of the regression model showed that there was a positive statistical significance between the instability of inflation and the instability of the growth rate of the GDP in the three analyzed countries (namely in Albania, Turkey and the Republic of Serbia). The result of introducing the IT regime when the GDP growth rate volatility is concerned is statistically significant in Serbia and Turkey and led to reduction in the GDP volatility and stabilization. However, the applied regression model indicated that, in the case of Albania and Romania, the introduction of the IT regime did not have a statistically significant impact on the GDP growth rate volatility.
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EHIEDU, Victor C. Ph.D. "TAX REVENUE VOLATILITY AND ITS IMPLICATION ON THE NIGERIA ECONOMIC GROWTH." Finance & Accounting Research Journal 4, no. 4 (November 2, 2022): 109–28. http://dx.doi.org/10.51594/farj.v4i4.395.
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The study examined the analysis of the impact of tax revenue (TR) volatility on economic growth (EG) in Nigeria between the periods of 1994-2021, which is a period of 28years. This was done using the measures TR volatility, namely; Petroleum Profit Tax Volatility (PPTV), Value Added Tax Volatility (VATV), Company Income Tax Volatility (CITV) and Custom and Excise Duties Volatility (CEDV) in relation to economic growth proxied with Gross Domestic Product (GDP). The data was sourced from the CBN Statistical Bulletin and Annual Report and analyzed with descriptive statistics, correlation matrix, unit root test, Auto-regressive Distributed Lag (ARDL) Bound Co-integration test, and ARDL Co-integrating and Long form. The findings showed that PPTV has a p-value of 0.0089 and a p-value of 0.0051 on the short and long run (S&LR) respectively. Hence, PPTV had a considerable effect on GDP in the S&LR; VATV has a p-value of 0.0067 and 0.0001 both on the S&LR. Thus, VATV had a considerable effect on GDP in the S&LR; CITV has a p-value of 0.1838 and a p-value of 0.1892 in the S&LR respectively. Thus, CITV had an inconsequential effect on GDP in the S&LR and CEDV has p-values of 0.0253 and 0.0021 both on the S&LR. Hence, CEDV has a considerable effect on GDP in the L&SR. It is evident that measures of tax revenue volatility used have mixed effects of RGDP. It is only PPTV, VATV and CEDV that have considerable effects on GDP in S&LR while CITV exerts inconsequential effect on RGDP in S&LR. Hence, the study concluded that TR volatility had considerable effects on EG. It is advised that government should restructure the country's petroleum industry by stepping up efforts to process crude oil and solely exporting processed oil to the global market.
Keywords: Tax, Revenue, Volatility, Inconsequential Effect, Considerable Effects.
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Bisio, L., and L. Ventura. "Growth and Volatility Reconsidered: Reconciling Opposite Views." ISRN Economics 2013 (September 15, 2013): 1–17. http://dx.doi.org/10.1155/2013/381368.
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Many contributions in the recent literature have investigated over the relationship between GDP growth and its volatility without getting a clear and unambiguous answer. Besides reassessing the well-known effect of output volatility on growth as benchmark analysis, this study aims at looking into the “black box” of the business cycle volatility by disentangling the impacts of volatility of GDP major components—that is, private consumption, private investment and government expenditure—on growth, simultaneously considered. Our empirical analysis unveils a remarkably robust and strong negative correlation of consumption volatility with mean growth and a positive one with volatility of investment and of public expenditure. If these findings shed some additional light on the (still controversial) relationship between economic fluctuations and growth, they will also make it possible to compare the relative impact of each component, with possibly relevant policy implications. Importantly, this might reconcile opposite views about the issue that different empirical results might originate from the relative importance across empirical studies of the various components of volatility.
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Burren, Daniel, and Klaus Neusser. "The decline in volatility of US GDP growth." Applied Economics Letters 17, no. 16 (October 28, 2010): 1625–31. http://dx.doi.org/10.1080/13504850903085050.
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Adrian, Tobias, Nina Boyarchenko, and Domenico Giannone. "Vulnerable Growth." American Economic Review 109, no. 4 (April 1, 2019): 1263–89. http://dx.doi.org/10.1257/aer.20161923.
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We study the conditional distribution of GDP growth as a function of economic and financial conditions. Deteriorating financial conditions are associated with an increase in the conditional volatility and a decline in the conditional mean of GDP growth, leading the lower quantiles of GDP growth to vary with financial conditions and the upper quantiles to be stable over time. Upside risks to GDP growth are low in most periods while downside risks increase as financial conditions become tighter. We argue that amplification mechanisms in the financial sector generate the observed growth vulnerability dynamics. (JEL C53, E23, E27, E32, E44)
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Algaeed, Abdulaziz H. "Government Spending Volatility and Real Economic Growth: Evidence From a Major Oil Producing Country, Saudi Arabia, 1970 to 2018." SAGE Open 12, no. 2 (April 2022): 215824402210899. http://dx.doi.org/10.1177/21582440221089948.
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The objective of this paper is to examine the effect of government spending volatility on economic growth in an oil producing country—Saudi Arabia. The Hodrick–Prescott (HP) filtering approach was applied to decompose the data series into cyclical and trend components. The ordinary least squares, and nonlinear autoregressive distributed lag were also used, and the results confirm the negative effect of government spending volatility on real GDP growth in an oil-based economy. Moreover, the estimated coefficients of the nonlinear ARDL models indicate that changes in government spending have a significant short run and long run impact on real GDP growth, and real GDP growth responds asymmetrically to movements in government spending. Moreover, the more trade openness and credit fluctuate, the more volatile real economic growth is. Although the magnitude of government spending volatility is acceptable, the result proves that the exclusion of oil-based economies from the test of government spending volatility was inappropriate and unjustified. These results suggest that controlling the sources of instability in real GDP growth depends on the external sector and domestic credit. However, the successes of other countries should be presented and studied in order to choose appropriate policies that mitigate public spending volatility and contribute to sustainable economic growth.
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Mallick, Debdulal. "FINANCIAL DEVELOPMENT, SHOCKS, AND GROWTH VOLATILITY." Macroeconomic Dynamics 18, no. 3 (March 25, 2013): 651–88. http://dx.doi.org/10.1017/s1365100512000569.
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This paper uses spectral theory to develop the following two testable hypotheses in a unified framework for the predictions of business-cycle and endogenous growth models: (i) financial development affects only business-cycle volatility; and (ii) shocks affect both business-cycle volatility and long-run volatility of GDP growth. In other words, volatility caused by shocks is more persistent than that caused by financial underdevelopment. We decompose the business-cycle and long-run volatility by the spectral method and then test the hypotheses at the cross-country level. Empirical evidence provides support for both hypotheses. Higher private credit, a bank-based measure of financial development, dampens business-cycle volatility but not long-run volatility. Volatility of shocks, as measured by the volatility of changes in the terms of trade, magnifies both business-cycle and long-run volatility. The results are robust to accounting for endogeneity, a market-based measure of financial development, and an alternative method of volatility decomposition.
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He, Ling T. "Unexpected inflation and cyclic impacts of policy tools on key economic variables – revealed by the assessment ratio." Journal of Financial Economic Policy 11, no. 4 (November 4, 2019): 470–84. http://dx.doi.org/10.1108/jfep-09-2018-0126.
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Purpose The purpose of this paper is twofold, first, to develop an effective tool to assess the performance of the overall economy by creating an assessment ratio that reflects the two top priorities of monetary policy, promoting economic growth and maintaining price stability, and second, to use the annual assessment ratios to build two subsamples, outperformance (better than the historical average) and underperformance, to examine and compare the changes in impacts of monetary and fiscal policy tools on important economic variables in different economic conditions, instead of different time periods. Design/methodology/approach The assessment ratio is defined as the gross domestic product (GDP) gap/standard deviation of inflation. Essentially, this Growth/Volatility ratio quantifies the price volatility-adjusted long-term output growth, that is, the long-term output growth given 1 per cent of the standard deviation of inflation. The growth has a positive impact on the ratio, while the effect of price volatility is negative. The ratio reflects not only the Fed’s dual goal but also the fundamental economic conditions. A higher value of the ratio indicates that the economy can better handle inflation risk in driving the long-term output growth. As the inflation level is adjusted in the numerator (GDP gap), not the denominator, no matter the Fed is engaging in the fight against inflation, or for reflation (promoting inflation) to prevent deflation and pursue price stability (Bernanke, 2002), the ratio remains consistent with the Fed’s dual goal and prefers a higher value. Findings Results of this study suggest that impacts of monetary and fiscal policy tools on key economic variables may be cyclic as the economic condition changes. The policy tools can significantly affect inflation volatility and the price volatility-adjusted long-term real output growth in the subpar economic conditions identified with lower assessment ratios. The effects become insignificant when the general economic performance exceeds the historical average. More importantly, results of this study indicate that the funds rate can effectively lower the price volatility, while the fiscal tools can promote long-term real output growth in the subpar economic conditions. Therefore, when inflation volatility spikes and the real output growth slows, the decisive and timely monetary and fiscal policy decisions become necessary to enhance policy effectiveness. Originality/value The assessments of effectiveness of monetary policy in the literature are based on some or all of four descriptive statistics: inflation, inflation volatility, output growth, and growth volatility. Each of them measures only one aspect of an economic phenomenon and cannot reflect the well-known conflicting relationship between maintaining price stability and promoting economic growth. For instance, from the policy perspective, a higher price volatility combined with a higher GDP growth rate for one period may or may not outperform another period with lower price volatility and growth rate. However, the assessment ratio created in this study considers both price volatility and economic growth simultaneously and can, therefore, be used as an effective measure of the overall economic performance.
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., Ghulam Mohey-ud-din, and Muhammad Wasif Siddiqui. "Determinants of GDP Fluctuations in Selected South Asian Countries: A Macro-Panel Study." Pakistan Development Review 55, no. 4I-II (December 1, 2016): 483–97. http://dx.doi.org/10.30541/v55i4i-iipp.483-497.
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Now a days, the issue of volatility in GDP is becoming a fundamental development concern due to the undeniable connections between volatility and lack of development. In addition, the recognition of the negative link between short-term fluctuations and long-term growth not only signifies the importance of exploring this link but also stresses the importance of studying the determinants of the GDP fluctuations so that the efforts to manage these fluctuations can be made. Therefore, keeping in view, the importance of studying the factor causing fluctuations in GDP, the present study aims at exploring the determinants of GDP fluctuations using macro panel approach in a panel of five selected South Asian countries (SSAC) including Bangladesh, India, Nepal, Pakistan and Sri Lanka over the period of 1980- 2010. For this purpose, modern non-stationary panel techniques such as cross section dependence test, second generation unit root test under cross sectional dependence, panel cointegration and Group Mean Fully Modified OLS (GM-FMOLS) estimation are applied. The results of the group mean FMOLS estimates show that aid dependence (AIDGDP), trade openness (OPEN), volatility in the price level (PRIVOL), reliance on agriculture (AGRGDP) and political stability (POLSTB) are the significant determinants of the GDP fluctuations. Thus, it is suggested that these determinants may be managed to reduce the volatility in GDP growth rate. JEL Classification: E32, F44, N15 Keywords: Determinants of GDP Fluctuations, Determinants of GDP Volatility, South Asia, Group Mean FMOLS, Panel Cointegration, Macro Panel, Business Cycle Fluctuations
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Shaukat, Rubina, Irfan Hussain Khan, Hasan Raza Jafri, and Nighat Hanif. "Relationship between Volatility of Economics Variables and Economics Growth." World Journal of Social Science Research 6, no. 3 (September 2, 2019): p375. http://dx.doi.org/10.22158/wjssr.v6n3p375.
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Economic growth of an economy is defined as the steady state path through which the productivity of an economy is improved and increases the levels of national output and income. The government consumption expenditures and investment play a key role in the process of investigating the macroeconomic performance of an economy and determinants of economic growth. The countries which grow quickly, invest a substantial fraction of their GDP for consumption expenditures as well for the sources which encourage private investment. The objective of this study to calculate the volatility in economics growth in Pakistan. The annual time series data are used from 1975 to 2014 from WDI, Economics survey of Pakistan and Hand Book of Statistics. GARCH model has been used to measure volatility of all variables. The empirical results of the study confirmed that the volatility of the different variables (volatility of inflation, volatility of interest rate, volatility of political instability, volatility of GDP, and volatility of foreign direct investment) significant affect the government consumption expenditures and private investment in the economy of Pakistan. The study analyzed data by using the autoregressive distributive lag model which is mainly used in time series data Econometrics to estimate the non-stationary models with mix order of integration. The estimated results of the study evaluated that volatility of the inflation lead to uncertainty which is also suggested by the Able (1980) and negatively affect the economy consumption expenditures as well as private investment in the economy of Pakistan. Because uncertainty directly affects the cost of capital as well as reduce private investor confidence.
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Moses, Tule Kpughur, Oboh Ugbem Victor, Ebuh Godday Uwawunkonye, Onipede Samuel Fumilade, and Gbadebo Nathaniel. "Does Exchange Rate Volatility Affect Economic Growth in Nigeria?" International Journal of Economics and Finance 12, no. 7 (June 22, 2020): 54. http://dx.doi.org/10.5539/ijef.v12n7p54.
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This study used monthly data from 2003 to 2017 to analyze the effects of USD/NG₦ exchange-rate volatility on Nigeria’s economic growth. The results from generalized autoregressive conditional heteroscedasticity (GARCH) and vector error correction model (VECM) analyses indicated that USD/NG₦ volatility had a significant effect on the country’s gross domestic product (GDP) growth. The results of the Granger causality/block exogeneity Wald tests and impulse-response functions also indicated that USD/NG₦ volatility had a significant negative effect on the country’s GDP growth. Moreover, USD/NG₦ exchange-rate volatility was found to exhibit short-term unidirectional causality for economic growth. However, a bidirectional relationship was confirmed between narrow money supply and economic growth. Yet, it was also found that the interbank exchange rate, which is a semiofficial Forex window, had little effect on Nigeria’s economic growth—a strong indication that a large portion of the productive sector lacks access to this Forex platform.
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Edwards, Jeffrey A., and Frank C. Thames. "The Effects of Economic and Political Development on GDP Growth Volatility." Global Economy Journal 9, no. 2 (March 2009): 1850163. http://dx.doi.org/10.2202/1524-5861.1452.
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The existing literature argues that both higher levels of political and economic development can dampen real GDP growth volatility. The problem, however, is that both forms of development are thought to be highly correlated. Using a dataset of 94 countries, we address this problem and find that not only does economic and political development have non-linear relationships with volatility, but that the effect of the former is more substantively significant than that of political development after a certain level of development is attained.
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Nugroho, Adin, and Nasrudin Nasrudin. "Study of Exchange Rate Volatility and Its Effect on Indonesian Economic Indicators With Potential Exchange Rate Crisis." Proceedings of The International Conference on Data Science and Official Statistics 2021, no. 1 (January 4, 2022): 436–47. http://dx.doi.org/10.34123/icdsos.v2021i1.108.
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Exchange rate volatility occurred when exchange rate movement was wildly fluctuating which could depict uncertainty. Since Indonesia used an open economy, exchange rate fluctuation became important to be maintained due to crisis potential. This research was conducted to analyze the effect or impact of exchange rate volatility on the Indonesian economy in general and few related case using time series analysis. ARIMA (Autoregressive Integrated Moving Average) and EGARCH (Exponential Generalized Autoregressive Conditional Heteroscedasticity) were used for measuring the volatility in the period between 1997-2021. Then, regressions were applied to analyze the impact of exchange rate volatility on few macroeconomic indicators. The result shows that exchange rate volatility yielded a significant negative effect on GDP Growth rate, export, and import. Logistic regression was used to analyze the factors that were affecting the crisis potential. The result showed only a negative GDP growth rate and high volatility that gave more risk which could lead to crisis. Therefore, it is important to keep exchange rate volatility stable.
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Miladinov, Goran. "Effects of remittance's inflow and measuring the impact of remittances on GDP per capita growth: Application of ARCH/GARCH and logit model." Remittances Review 6, no. 1 (May 26, 2021): 55–73. http://dx.doi.org/10.33182/rr.v6i1.1242.
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This research aims to explore the dynamics of remittances and their volatility, applying the ARCH/GARCH model in the countries of the Balkans (Bosnia and Herzegovina, Macedonia, Croatia and Albania). Furthermore, the comparative aspect of remittance’s effect on the probability of GDP per capita growth using ML Logit Binary model within these countries including Serbia as well was also investigated. UN and World Bank annual aggregate data on personal remittances inflow as % of GDP and GDP per capita from 1998-2019 were used. The volatility spillover within the countries can be noticed. It means that remittance’s inflow volatility in these countries is influenced by its own ARCH and GARCH factors or own shocks. The separate results from Logit models show that the probability of GDP per capita growth as a function of remittances for the period (1998-2019 and 2007-2019 for Serbia) has been under positive significant effect only for Albania at 5% level and for Bosnia and Herzegovina at 10% level.
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Carlston, Benjamin. "Can stock market liquidity and volatility predict business cycles?" Studies in Economics and Finance 35, no. 1 (March 5, 2018): 81–96. http://dx.doi.org/10.1108/sef-05-2016-0131.
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Purpose The purpose of this paper is to predict real gross domestic product (GDP) growth and business cycles by using information from both liquidity and volatility measures. Design/methodology/approach The paper estimates liquidity and volatility measures from over 5,000 NYSE rms and extracts a common factor, which the paper calls uncertainty. In-sample and out-of-sample forecasting tests are used to determine the ability of the uncertainty factor to predict growth in real GDP, industrial production, consumer price index, real consumption and changes in real investment. Findings The paper finds that on average, positive shocks to the uncertainty factor occur in the quarters preceding and at the beginning of a recession. During the quarters toward the end of recessions, there are negative shocks to uncertainty on average. Originality/value Previous research has explored using either liquidity or volatility to forecast economic activity. The paper bridges the two branches of research and finds a link to real GDP growth and business cycles.
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Grimes, Arthur. "A smooth ride: Terms of trade, volatility and GDP growth." Journal of Asian Economics 17, no. 4 (October 2006): 583–600. http://dx.doi.org/10.1016/j.asieco.2006.06.005.
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Folorunso Sunday Ayadi and Olubunmi Elizabeth Oluwagbemi. "Oil Export Earnings, Exchange Rate Variability, and Economic Growth in Nigeria." International Journal of Sustainable Economies Management 3, no. 4 (October 2014): 11–23. http://dx.doi.org/10.4018/ijsem.2014100102.
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This paper investigates oil revenue and exchange rate volatility and as well as their impacts on Nigerian economic growth which is examined from 1980 – 2010. Exchange rate volatility was captured using standard deviationof monthly nominal effective exchange rate. During this period, Nigeria recorded high levels of volatility (in oil receipt and effective exchange rate) as can be seen from the Autoregressive Conditional Heteroskedasticity (ARCH) and the General Autoregressive Conditional Heteroskedasticity (GARCH) - ARCH/GARCH results. Also, the Augmented Dickey-Fuller test indicate that some of the variables exhibit unit root, this research further makes use of vector autoregressive process (VAR) using the variance decomposition of Choleski factorisation in which forecast error variance of some systems of equations has innovations which is credited to each variable and the method of impulse response function. The authors established that exchange rate in Nigeria due to its volatility causes revenue volatility from oil and this has a daring consequence on Nigeria's economic growth (being a monoculture economy). They found that change in oil price index, change in interest rate, proportion of export to GDP and exchange rate variability bears some negative impacts on change in the rate of output growth in Nigeria. Moreover, government size and exchange rate variability created some disturbances to change in the rate of output, these changes were not as substantial as those created by change in interest rate, ratio of oil export to GDP and change in oil price index. In addition, change in output responds negatively for some time horizon to one-standard deviation shocks in change in oil price index, change in interest rate, oil export to GDP and exchange rate variability. The authors recommend economic diversification and sound macroeconomic management among others.
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Ogundipe, Adeyemi. "Commodity price volatility and economic growth in Africa: the mitigating role of trade policy." Problems and Perspectives in Management 18, no. 3 (October 5, 2020): 350–61. http://dx.doi.org/10.21511/ppm.18(3).2020.29.
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The extreme volatile behavior of Africa’s output and consumption is strongly related to the extent of exposure to external shocks in its trade earnings. The volatility of export earnings inherent in African economies depicts trade and export structure not diversified, and the need for development managers in easing the over-arching dependence on commodity exports earnings as a major source of budget financing. This study investigates the effect of commodity price volatility on real GDP using a longitudinal data covering fifty-three African commodity-dependent countries for the period 1970–2017. The theoretical framework is premised on the neoclassical growth model, and the system generalized method of moments (SGMM) estimation technique was adopted. The results from the estimation procedure indicate a negative contemporaneous relationship between commodity price volatility and growth. However, the intervention of policy instruments such as contrasting openness degree signals short-run relief for commodity export-dependent economies, as trade policy mitigates the adverse effect of commodity price volatility on growth.
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Tcheunta, Joseph Nzomo, and Dany Rostand Dombou Tagne. "STOCK MARKETS, VOLATILITY AND ECONOMIC GROWTH." PANORAMA ECONÓMICO 12, no. 24 (September 28, 2017): 31. http://dx.doi.org/10.29201/pe-ipn.v12i24.165.
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This study examines in one hand the relationship between stock market return volatility and economic growth, and, in the other one, how stock market development can influence economic growth. The methods used in this paper are Generalized Autoregressive Conditional Heteroscedasticity (GARCH) framework to apprehend return volatility and VAR framework to capture any link between stock market and economic growth. Time series quarterly data used are from 2000 to 2015 for both Nigeria and Ivory Coast and from 2008 to 2015 for Cameroon. The study reveals that: 1) DSX results are not significant causing economic growth, neither the converse, showing how desperately Cameroon market needs to be boosted if the country wishes to reach an acceptable economic situation in 2035. The study also reveals, 2) none significant causality link going from stock market development to GDP in Ivory Coast and Nigeria; it also found that, 3) main macroeconomic variables influencing (or influenced by) stock market are Inflation and Money supply. The research finally reveals that, 4) NSE is more volatile than BRVM or DSX.
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Saady Mahmood Abaas, Mlaabdal, Olena Chygryn, Oleksandr Kubatko, and Tetyana Pimonenko. "Social and economic drivers of national economic development: the case of OPEC countries." Problems and Perspectives in Management 16, no. 4 (November 2, 2018): 155–68. http://dx.doi.org/10.21511/ppm.16(4).2018.14.
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This paper examines the economic relationships between oil price volatility and socially-economic development of 14 Organization of the Petroleum Exporting Countries (OPEC) using the annual panel data for the period 1990–2014 obtained from the World Bank (WB) statistical data sets. Hausman specification test has been performed to choose the method of panel data analysis, and the results were in favor of fixed effects estimation. The main findings indicate the direct relationship between economic growth and oil price volatility. The research supports the hypothesis that an increase in crude oil prices is positively related to GDP, and a 10% increase in oil prices correlates with 0.6-4% GDP improvements. Structural changes in employment in favor of service sector are negatively correlated with GDP per capita. Changes in GDP structure in favor of oil rents on 10% lead to the shrinking of GDP on 1%. Life expectancy at birth, as an indirect indicator of health, positively influences the economic growth indicators and an improvement in life expectancy on one percentage leads on average to 1% growth in GDP and 0.5-1.33% growth in GDP per capita. Energy efficiency improvements are positive drivers of GDP values at OPEC, and our findings suggest that a 10% increase at GDP per unit of energy use leads to 3% increase of GDP itself. The study recommends investing in energy efficiency, human capital, and capital formation to guarantee long-run economic development and prosperity of OPEC counties.
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Dagume, Albert Mbulaheni. "Exchange Rate Volatility and Macroeconomic Variables in South Africa." International Journal of Economics and Financial Issues 12, no. 6 (November 23, 2022): 1–14. http://dx.doi.org/10.32479/ijefi.13446.
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The significance of the exchange rate in determining a country's macroeconomic performance is indisputable. Thisstudy investigated the impact of exchange rate volatility on macroeconomic variables in South Africa using time series data from 1979 to 2019. Only six macroeconomic variables have been included in this study: GDP, FDI, growth rate, INFR, INT, and trade openness. These variables were chosen as dependent variables, with real exchange rate volatility as the independent variable. The GARCH model was used to generate real exchange rate volatility, and the Ordinary Least Square regression technique was employed to analyze the relationship between dependent and independent variables in this study. The impact of exchange rate volatility on macroeconomic variables in South Africa was substantiated by this study's findings. It is also concluded that exchange rate volatility has a positive impact on growth, inflation, and interest rates (INT) while having a negative impact on FDI, GDP, and trade openness (OPENN). The results suggest that to increase trade and foreign direct investment, South African authorities should consider the existence and level of exchange rate volatility as well as the expected effects of the exchange rate on each macroeconomic variable.
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Marcellino, Massimiliano, and Vasja Sivec. "NOWCASTING GDP GROWTH IN A SMALL OPEN ECONOMY." National Institute Economic Review 256 (2021): 127–61. http://dx.doi.org/10.1017/nie.2021.13.
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Nowcasting, that is, forecasting the current economic conditions, is a key ingredient for decision making, but it is complex, even more so for a small open economy, due to the higher volatility of its GDP. In this paper, we review the required steps, taking Luxembourg as an example. We consider both standard and alternative indicators, used as inputs in several nowcasting methods, including various factor and machine learning models. Overall, mixed frequency dynamic factor models and neural networks perform well, both in absolute terms and in relative terms with respect to a benchmark autoregressive model. The gains are larger during problematic times, such as the financial crisis and the recent Covid period.
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Tambari, Ishaya, and Pierre Failler. "Determining If Oil Prices Significantly Affect Renewable Energy Investment in African Countries with Energy Security Concerns." Energies 13, no. 24 (December 21, 2020): 6740. http://dx.doi.org/10.3390/en13246740.
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As concerns regarding the adverse impacts of energy production and consumption on the environment grow, countries across the world are now charged with developing effective strategies that provide energy security and protect the environment. This means that efforts to generate significant investments and business opportunities to boost the growth of renewable energy need to increase rapidly. However, there are limited studies on what will facilitate the increase of renewable energy investment in Africa. The main factor considered in this study relates to the sensitivity to changes in oil prices, gross domestic product (GDP), interest rate and oil price volatility’s impact on the renewable energy investment (REI) in countries with energy security concerns and if there is any significant influence from oil price shocks. With the help of an unrestricted vector retrogressive model and an annual panel data approach that covers the period 1990–2018, this paper examines the link between renewable energy investment and three macroeconomic variables: oil prices, GDP growth-adjusted interest rates and oil price volatility. The results indicate that REI exhibited immediate positive responses to oil shocks. However, renewable energy investment continued to fluctuate negatively in response to GDP. The results also show that the REI responded positively to interest rates in Africa and it exhibited immediate negative responses to oil price volatility but became positive after the second period.
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Nikonenko, Uliana, Solomiia Hanushchyn, Galyna Boikivska, Yuliia Andriichuk, and Vasyl Kokhan. "INFLUENCE OF WORLD COMMODITY PRICES ON THE DYNAMICS OF INCOME OF EXPORTING COUNTRIES OF NATURAL RESOURCES UNDER GLOBALIZATION." Business: Theory and Practice 21, no. 1 (June 22, 2020): 440–51. http://dx.doi.org/10.3846/btp.2020.12202.
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A feature of modern globalization processes is their vulnerability to the volatility of short-term capital flows, which, combined with the growing volatility of commodity prices, have created serious difficulties for the economic policies of commodity-oriented countries. Therefore, the study of the impact of world commodity prices on the dynamics of economic growth of countries with commodity exports and the development of an appropriate methodology based on modern economic and mathematical tools is an urgent task. The purpose of the study is the impact of volatility and the level of world commodity prices on income dynamics (GDP and industrial production) using three groups of countries with different levels of economic development as an example. Functional dependencies were studied for three groups of countries: industrial countries exporting raw materials, countries – commodity exporters of low income and commodity countries of the former Soviet Union. The analysis is based on quarterly data for the period 1980–2018 using the Two-Step Least Squares (2SLS) method. We developed a methodology for the economic and statistical analysis of the functional dependencies of the commodity economy, which provides for the simultaneous accounting of the level of world commodity prices and their volatility, allows us to empirically evaluate the mechanisms of the macroeconomic influence of commodity prices on the dynamics of economic growth, primarily income (GDP and industrial production). It has been established that rising world prices for raw materials improves the dynamics of GDP and industrial production of countries exporting primary resources, while the consequences of high volatility of price indices are predominantly negative. If the impact on the economic growth of the exporting countries of raw materials of individual price indices coincides, then the corresponding estimates for volatility can differ significantly.
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Hall, Viv B., and C. John McDermott. "THE NEW ZEALAND BUSINESS CYCLE." Econometric Theory 25, no. 4 (August 2009): 1050–69. http://dx.doi.org/10.1017/s0266466608090403.
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Our paper is in the spirit of Rex Bergstrom's interests and research in cyclical growth models and his meticulous attention to underlying data series. We develop a new quarterly real GDP series for post–World War II New Zealand, derive a new “benchmark” set of classical business cycle turning points, and establish nonparametric classical cycle characteristics. Markov-switching models, estimated by Gibbs-sampling methods, are used to derive mean growth rate and volatility regimes and to add to existing knowledge. The resulting properties, involving cycle asymmetries, volatility, diversity and duration dependence, and differing mean growth rate and volatility regimes, can be used to underpin a next generation of cyclical growth models for New Zealand, in the Bergstrom tradition.
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Duasa, Jarita, and Salina H. Kassim. "Foreign Portfolio Investment and Economic Growth in Malaysia." Pakistan Development Review 48, no. 2 (June 1, 2009): 109–23. http://dx.doi.org/10.30541/v48i2pp.109-123.
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This study examines the relationship between foreign portfolio investment (FPI) and Malaysia’s economic performance. In particular, the study analyses the relationship between FPI and real gross domestic product (GDP) using the widely adopted Granger causality test and the more recent Toda and Yamamoto’s (1995) non-causality test to establish the direction of causation between the two variables. Similar method is also applied on the relationship between volatility of FPI and real GDP. Additionally, the study uses an innovation accounting by simulating variance decompositions and impulse response functions for further inferences. Using quarterly data covering the period from 1991 to 2006, the study finds evidence that economic growth causes changes in the FPI and its volatility and not vice versa.. The findings suggest that economic performance is the major pull factor in attracting FPI into the country. Thus, it must be ensured that the Malaysian economy remains on a healthy and sustainable growth path so as to maintain investor confidence in the economy. JEL classification: G15, C32, C12 Keywords: Foreign Portfolio Investment, Economic Growth, Granger Causality, Toda-Yamamoto Non-causality, Variance Decomposition
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San Vicente Portes, Luis. "Aggregate Gains of International Diversification through Foreign Direct Investment: An Inquiry into the Moderation of U.S. Business Cycles." Global Economy Journal 7, no. 4 (October 2007): 1850120. http://dx.doi.org/10.2202/1524-5861.1284.
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Over the last 20 years the U.S. economy has experienced a strong reduction in the volatility of GDP growth. This paper documents and models the rapid growth of multinational corporations as a source of gradual decline in output and investment volatility. The paper introduces internationally diversified multinational firms into the financial accelerator framework; where international operations provide multinational firms with smoother paths of net worth that result in less volatile financing costs, investment and production. Model simulations suggest that larger multinational corporations can account for up to a 19 percent and 27 percent decline in output and investment volatility, respectively.
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Nguyen, Liem Thanh, and Khoa Chi Pham. "INCOME STRUTURE, CAPITAL STRUCTURE, BANK COMPETITION AND ECONOMIC INSTABILITY." Science and Technology Development Journal 18, no. 2 (June 30, 2015): 56–67. http://dx.doi.org/10.32508/stdj.v18i2.1118.
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The paper examines the impact of factors belonging to banking system and their interaction with real and monetary shocks on economic volatility. Using panel data on 71 economies from 1998 - 2011, we provide evidence that the lower (higher) the bank competition is, the higher (lower) the impact of inflation (terms-of-trade) volatility on GDP growth volatility is. Banks with high shareholder equity ratios enjoy lower impact of inflation volatility on economic instability. Meanwhile, the extent of bank diversification in operations has no ability in adjusting the impact of the two sock types.
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Makau, Anthony. "Multivariate Regression Analysis of Oil Price Volatility on GDP Growth in Kenya." American Journal of Theoretical and Applied Statistics 6, no. 1 (2017): 44. http://dx.doi.org/10.11648/j.ajtas.20170601.16.
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Bhar, Ramaprasad, and Shigeyuki Hamori. "Alternative characterization of the volatility in the growth rate of real GDP." Japan and the World Economy 15, no. 2 (April 2003): 223–31. http://dx.doi.org/10.1016/s0922-1425(02)00012-9.
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Fang, WenShwo, and Stephen M. Miller. "Modeling the volatility of real GDP growth: The case of Japan revisited." Japan and the World Economy 21, no. 3 (August 2009): 312–24. http://dx.doi.org/10.1016/j.japwor.2008.10.002.
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Berardi, Andrea, and Alberto Plazzi. "Inflation Risk Premia, Yield Volatility, and Macro Factors." Journal of Financial Econometrics 17, no. 3 (February 14, 2018): 397–431. http://dx.doi.org/10.1093/jjfinec/nby004.
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Abstract We incorporate a latent stochastic volatility factor and macroeconomic expectations in an affine model for the term structure of nominal and real rates. We estimate the model over 1999–2016 on U.S. data for nominal and TIPS yields, the realized and implied volatility of T-bonds, and survey forecasts of GDP growth and inflation. We find relatively stable inflation risk premia averaging at 40 basis points at the long-end, and which are strongly related to the volatility factor and conditional mean of output growth. We also document real risk premia that turn negative in the post-crisis period, and a non-negligible variance risk premium.
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Gadea, María Dolores, Ana Gómez-Loscos, and Gabriel Pérez-Quirós. "The decline in volatility in the US economy. A historical perspective." Oxford Economic Papers 72, no. 1 (April 10, 2019): 101–23. http://dx.doi.org/10.1093/oep/gpz030.
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Abstract In this paper, we analyse the volatility of US GDP growth using quarterly series starting in 1875. We find structural breaks in volatility at the end of World War II and at the beginning of the Great Moderation period. We show that the Great Moderation volatility reduction is only linked to changes in expansions, whereas that after World War II is due to changes in both expansions and recessions. We also propose several methodologies to date the US business cycle in this long period. We find that taking volatility into account improves the characterization of the business cycle.
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Gurvich, E. "Macroeconomic Role of Russia's Oil and Gas Sector." Voprosy Ekonomiki, no. 10 (October 20, 2004): 4–31. http://dx.doi.org/10.32609/0042-8736-2004-10-4-31.
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The paper analyzes, first, the contribution of hydrocarbon sector to GDP, export proceeds, and budget revenues, and, second, the impact of volatility of international oil prices on the Russian economy. It is found that the importance of the oil and gas sector for the Russian economy adjusted for changes in oil prices is steadily declining since 2000. The potential impact of hydrocarbon prices volatility on the Russian monetary situation is weakening. It is demonstrated that 6% to 11% of GDP is shifted from the oil and gas sector to the trade sector via transfer pricing mechanism. Taking this fact into account alters crucially estimated tax burden for the hydrocarbon sector: it is found to be below that for the rest of the industry until 2001, and close to the latter subsequently. The contribution of oil and gas taxes to the budget does not differ much from the share of this sector in the GDP. Recent increase in the share of windfall oil revenues taken to the budget has not been supported with adequate fiscal policies. Current fiscal situation remains robust, but continuation of these trends may make the budget vulnerable to external volatility. The oil sector has played a critical role in the recent economic growth. Still the effect of favorable terms of trade on growth has not been significant, as its possible impact has been damped down with measures taken by the monetary authorities to smooth the effect of external volatility.
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Hosny, Amr. "Remittances, Remittance Concentration, and Volatility: Is Africa Different from the Middle East?" Business and Economic Research 9, no. 3 (July 26, 2019): 114. http://dx.doi.org/10.5296/ber.v9i3.14994.
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This paper makes a new contribution to the empirical literature on the macroeconomic consequences of remittances using data over 1970-2015 period for 56 African and Middle Eastern countries to study the impact of (i) large remittance inflows and (ii) high concentration of origin of remittance on the volatilities of real GDP growth, exports-to-GDP ratio, nominal exports growth and nominal exchange rate depreciation. We find that (i) large remittances can reduce all types of volatility, especially in African countries, and (ii) high remittance concentration, by itself, has been associated with higher volatilities in African but not Middle Eastern countries, and that having both high remittances, but also high concentration aggravates all types of volatility in both regions, although results for the Middle East are not always conclusive.
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Williamson, Jeffrey G. "Globalization, de-industrialization and underdevelopment in the third world before the modern era." Revista de Historia Económica / Journal of Iberian and Latin American Economic History 24, no. 1 (2006): 9–36. http://dx.doi.org/10.1017/s0212610900000458.
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AbstractBetween 1810 and 1940, a large GDP per capita gap appeared between the industrial core and the poor periphery, the latter producing, increasingly, primary products. Over the same period, the terms of trade facing the periphery underwent a secular boom then bust, peaking in the 1870s or 1890s. These terms of trade trends appear to have been exogenous to the periphery. Additionally, the terms of trade facing the periphery exhibited relatively high volatility. Are these correlations spurious, or are they causal? This Figuerola Lecture, to be given at Carlos III University (Madrid), argues that they are causal, that secular growth and volatility in the terms of trade had asymmetric effects on core and periphery. On the upswing, the secular rise in its terms of trade had powerful de-industrialization effects in the periphery. Over the full cycle 1810–1940, terms of trade volatility suppressed accumulation and growth in the periphery as well.
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Kengatharan, Lingesiya, and Jeyan Suganya Dimon Ford. "Factors determining the share price volatility: Evidence from listed companies in Sri Lanka." Indonesian Management and Accounting Research 18, no. 2 (January 17, 2021): 105–26. http://dx.doi.org/10.25105/imar.v18i2.6196.
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The objective of this study is to investigate the factors determining the share price volatility of listed companies in Colombo Stock Exchange (CSE), Sri Lanka. A sample of 72 listed non -financial firms from CSE in Sri Lanka is examined using panel data analysis for a five years period from 2013 to 2017. Dividend payout ratio, dividend yield, dividend per share, sales growth, leverage, exchange rate, firm size, earnings volatility and GDP are considered as explanatory variables. According to the fixed effect regression analysis, only 22% of the movements in share prices are explained by the explanatory variables considered in this study. Dividend yield shows significant positive impact on share price volatility whereas dividend per share shows the significant negative impact on share price movements. Exchange rate and firm size illustrate significant negative influence on share price volatility by indicating if firm size is large share price volatility will be high. But, dividend pay-out, financial leverage, earnings volatility and GDP are not significantly convince the share price volatility in this study. Therefore, it is concluded that dividend yield, dividend per share, exchange rates and firm size have significant impact on price volatility in Sri Lankan context. Dividend policy can be considered as the protective mechanism to maintain share price volatility in order to enhance the shareholders wealth.
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Mofema, Victor Mbua, and Gisele Mah. "An empirical analysis of volatility in South African oil prices." Journal of Energy in Southern Africa 32, no. 3 (September 19, 2021): 67–75. http://dx.doi.org/10.17159/2413-3051/2021/v32i3a8852.
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Volatility of the oil price has been around since the 1970s and an understanding of how it evolves provides insight into solving macroeconomic challenges. The main objective of this study was to analyse the volatility of South African oil prices using quarterly time series data from 2000 to 2020. The effect of growth in gross domestic product per capita, interest rate, inflation and money supply growth on oil price changes was assessed. Generalised autoregressive conditional heteroscedasticity (GARCH) was estimated and diagnostic tests – namely ARCH, normality and autocorrelation tests – were conducted. The GARCH (1,2) model was the best fit, based on the Alkaike information criterion. The result revealed that interest rates and money supply growth have a significant positive effect on oil price changes in South Africa, while growth in GDP per capita and inflation has an insignificant impact. Past one and two-quarters’ oil price volatility increases and decreases the current oil price volatility respectively. Based on the findings, a contractionary monetary policy is recommended in order to reduce the volatility of South African oil prices.
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Azid, Toseef, Naeem Khaliq, and Muhammad Jamil. "Sectoral Volatility, Development, and Governance: A Case Study of Pakistan." Pakistan Development Review 45, no. 4II (December 1, 2006): 797–817. http://dx.doi.org/10.30541/v45i4iipp.797-817.
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Development of overall economy of any country largely depends upon the characteristics of different prominent sectors such as agriculture, industry, services, etc. Sharp structural change in prominent sectors are experienced by the Pakistan’s economy during the last four decades, in which industrial and service sector have exhibited an extra ordinary rate of growth, while the agricultural sector did not shown that rate of growth which was experienced during the time of green revolution. Due to these structural changes in the prominent sectors volatility of growth rate has been experienced by the economy. To the extent that most of the recent volatility in growth rate of GDP can be attributed to the increasing share of the some volatility of the some prominent sectors, the analysis of their volatility can be useful in providing some enlightenment on the factors behind this phenomenon and its implications for the formulation of the policy in the future.
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Portilla, Jhonatan, Gabriel Rodríguez, and Paul Castillo B. "Evolution of Monetary Policy in Peru: An Empirical Application Using a Mixture Innovation TVP-VAR-SV Model." CESifo Economic Studies 68, no. 1 (January 11, 2022): 98–126. http://dx.doi.org/10.1093/cesifo/ifab013.
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Abstract This article discusses the evolution of monetary policy (MP) in Peru in 1996Q1–2019Q4 using a mixture innovation time-varying parameter vector autoregressive (VAR) model with stochastic volatility (TVP-VAR-SV) as proposed by Koop, Leon-Gonzales and Strachan. The main empirical results are: (i) the VAR coefficients and volatilities change more gradually than the contemporaneous coefficients over time; (ii) the volatility of MP shocks was higher under the pre-Inflation Targeting (IT) regime; (iii) a surprise increase in the interest rate produces gross domestic product (GDP) growth falls and reduces inflation in the long run; (iv) the interest rate reacts more quickly to aggregate supply shocks than to aggregate demand shocks; (v) MP shocks explain a high percentage of domestic variables behavior under the pre-IT regime but their contribution decreases under the IT regime. Overall, these results show that MP has contributed in Peru to lower macroeconomic volatility by (i) reducing average long-term inflation, (ii) increasing the response of GDP growth rate to interest rate, and (iii) by becoming more predictable. (JEL codes: C11, C32, and E52).
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Rajaguru, Gulasekaran, and Safdar Ullah Khan. "Causality between Energy Consumption and Economic Growth in the Presence of Growth Volatility: Multi-Country Evidence." Journal of Risk and Financial Management 14, no. 10 (October 7, 2021): 471. http://dx.doi.org/10.3390/jrfm14100471.
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Falling energy intensity (increasing efficiency) is believed to be a result of more efficient production methods that have evolved over time, indicating overall sustainability in the production process. The objective of this study is to investigate the diminishing trend of energy intensity and the related volatilities in growth of energy consumption and income growth through the energy–growth nexus. The country specific long-run and short-run causal relationships among real energy consumption per capita, real GDP per capita, and the volatilities of growth in income and the growth in energy consumption are established using the method proposed by Yamamoto–Kurozumi within a cointegration framework in 48 countries. The overall findings suggest that energy intensity is falling, in conjunction with the existing evidence on the energy–growth nexus in most of the countries studied; hence, implicitly this confirms sustainability. The results based on volatility analysis show a significant decrease in energy use in response to increasing income growth volatility. The negative effects of income growth volatility on energy consumption are usually countered through compensation measures, with subsidies provided to households and producers in order to smooth the energy consumption behaviours in those economies.
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Zhang, Bo, and Meichen Tao. "Research on the Impact of Interest Rate and Virtual Finance Reform on GDP Growth Based on Error Correction Model." Advances in Multimedia 2022 (January 17, 2022): 1–14. http://dx.doi.org/10.1155/2022/9441659.
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In the context of the virtual economy, monitoring and controlling the operation of the virtual economy to prevent excessive asset bubbles due to inherent volatility and minimize the harm to the macroeconomy is one of the important tasks of economic development. This study applies the error correction model to the analysis of GDP growth factors, improves the algorithm to adapt it to the needs of GDP growth analysis, and constructs an analysis model of the impact of interest rate and virtual financial reforms on GDP growth. Moreover, this study combines data analysis to verify the performance of the model in this study. Through experimental analysis, we can see that the error correction model proposed in this study can play an important role in the analysis of GDP growth factors. At the same time, this study verifies that virtual financial reform and interest rate reform can have a certain impact on GDP growth and have a certain degree of relevance.
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Burren, Daniel, and Klaus Neusser. "THE ROLE OF SECTORAL SHIFTS IN THE DECLINE OF REAL GDP VOLATILITY." Macroeconomic Dynamics 17, no. 3 (January 30, 2012): 477–500. http://dx.doi.org/10.1017/s1365100511000289.
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U.S. production has shifted from goods-producing to service-producing industries. We assess whether this shift contributed to the decline in U.S. output volatility over the period 1949–2005 and provide an estimate of its relative importance. Growth rates of GDP by industry are analyzed in a seemingly unrelated multivariate autoregression framework with time-varying innovation covariance matrices. These changing unobserved covariance matrices are modeled as a Wishart autoregressive process of order one, which results in a nonlinear state-space system. The particle filter is used to obtain estimates of the innovation covariance matrix at each point in time. Several counterfactual experiments make it possible to apportion the decline in output volatility between the shift in the sectoral composition and changes in innovations. Our main finding is that the shift into the service sector can explain about 30% of the decline in GDP's volatility, despite the fact that some sectors became even more volatile. This result is robust across a wide variety of alternative specifications.