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The Effects of Expected and Unexpected Volatility on Long-Run Growth: Evidence from 18 Developed Economies

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Author Info
Matthew Rafferty () (Department of Economics, Quinnipiac University)

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Abstract

This article examines the relationship between output volatility and long-run growth for 18 developed countries between 1880 and 1990. The analysis builds on the existing literature by decomposing output growth volatility into expected and unexpected components and then examining whether the types of volatility have different effects on long-run growth. The results are consistent with the view that unexpected volatility reduces long-run growth and that expected volatility increases long-run growth. The results also suggest that the combined effect of expected and unexpected volatility is to reduce long-run growth for most countries and most time periods.

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Publisher Info
Article provided by Southern Economic Association in its journal Southern Economic Journal.

Volume (Year): 71 (2005)
Issue (Month): 3 (January)
Pages: 582-591
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Handle: RePEc:sej:ancoec:v:71:3:y:2005:p:582-591

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Web page: http://www.southerneconomic.org/
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Find related papers by JEL classification:
E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
O40 - Economic Development, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General

Cited by:
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  1. WenSho Fang & Stephen M. Miller, 2007. "The Great Moderation and the Relationship between Output Growth and Its Volatility," Working papers 2007-04, University of Connecticut, Department of Economics. [Downloadable!]
    Other versions:
  2. Macri, Joseph & Sinha, Dipendra, 2007. "Does Black’s Hypothesis for Output Variability Hold for Mexico?," MPRA Paper 4021, University Library of Munich, Germany. [Downloadable!]
Statistics
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This page was last updated on 2009-11-6.


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