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De riesgo y pánico: una analítica de volatilidad y crecimiento 1960-2006
[About risk and panic, an overview of volatility and growth 1960-2006]

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  • Vedia Jerez, Daniel Hernan
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    Abstract

    It has long been believed that commodity price variability causes problems for primary producing and dependent countries. This paper tests the effects of price uncertainty (volatility) on economic growth. The model is constructed using a yearly panel data for the ten biggest countries in South America. The results show that output per worker varies enormously across countries, even within the region. Our analysis shows that exogenous shocks continue having a significant negative effect on growth on developing countries. Despite volatility series are not constant through time, we found a homogenous negative effect within the region, but it is heterogeneous when we apply a causality test. The effect is commonly observed in economic time series and it shows that growth rates are significantly reduced by large discrete negative commodity price shocks. Our analysis documented that the impact on productivity (output per worker) is driven through capital formation and foreign investment, as well as, by differences in what we call ‘social infrastructure’ (i.e. institutions and government policies).

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    File URL: http://mpra.ub.uni-muenchen.de/21577/
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    Bibliographic Info

    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 21577.

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    Date of creation: Jun 2007
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    Handle: RePEc:pra:mprapa:21577

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    Related research

    Keywords: Volatility; terms of trade; Latin America;

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    1. Rivera-Batiz, Luis A. & Romer, Paul M., 1991. "International trade with endogenous technological change," European Economic Review, Elsevier, vol. 35(4), pages 971-1001, May.
    2. Assaf Razin & Efraim Sadka & Tarek Coury, 2002. "Trade Openness, Investment Instability and Terms-of-Trade Volatility," NBER Working Papers 9332, National Bureau of Economic Research, Inc.
    3. Paul M. Romer, 1993. "New Goods, Old Theory, and the Welfare Costs of Trade Restrictions," NBER Working Papers 4452, National Bureau of Economic Research, Inc.
    4. Daron Acemoglu & Simon Johnson & James A. Robinson, 2001. "The Colonial Origins of Comparative Development: An Empirical Investigation," American Economic Review, American Economic Association, vol. 91(5), pages 1369-1401, December.
    5. Jan Dehn, 2000. "Commodity Price Uncertainty and Shocks: Implications for Economic Growth," Economics Series Working Papers WPS/2000-10, University of Oxford, Department of Economics.
    6. Ray Barrell, 2000. "Choosing the regime: macroeconomic effects of UK entry into EMU," NIESR Discussion Papers 174, National Institute of Economic and Social Research.
    7. Jan Dehn, 2000. "Commodity price uncertainty and shocks: implications for economic growth," CSAE Working Paper Series 2000-10, Centre for the Study of African Economies, University of Oxford.
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