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On the Link Between the Volatility and Skewness of Growth

Author

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  • Geert Bekaert

    (Columbia University
    NBER)

  • Alexander Popov

    (European Central Bank)

Abstract

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. This novel stylized fact is related to two distinct mechanisms: sudden growth spurts in emerging markets and sharp financial crises-driven recessions in 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 cross-sectional pattern contrasts with a negative relation between volatility and skewness in panel data with country fixed effects in the top quartile of countries in terms of beginning-of-period GDP per capita.

Suggested Citation

  • Geert Bekaert & Alexander Popov, 2019. "On the Link Between the Volatility and Skewness of Growth," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 67(4), pages 746-790, December.
  • Handle: RePEc:pal:imfecr:v:67:y:2019:i:4:d:10.1057_s41308-019-00092-2
    DOI: 10.1057/s41308-019-00092-2
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    More about this item

    Keywords

    Volatility; Skewness; Development; Financial frictions; Growth spurts; Business cycles;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • O10 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - General

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