Capital mobility and macroeconomic volatility: evidence from Greece
This paper focuses on the impact of full capital account liberalization on macroeconomic volatility in Greece. According to the standard neoclassical model, such liberalization is to be desired because, among other advantages, it may reduce macroeconomic volatility. The link between macroeconomic volatility and capital account openness in the Greek economy is investigated by applying a simple three-month rolling standard deviation of real GDP growth and real final (total) consumption growth combined with more formal econometric methods such as Granger causality test and multivariate regressions. There is no strong evidence for a stable relation between macroeconomic volatility and variables of financial openness. Thus other factors, such as exchange rate volatility and exogenous shocks rather than a full liberalization of capital movements, seem to be related to macroeconomic growth volatility in the Greek economy.
|Date of creation:||Jun 2010|
|Publication status:||Published in Journal of Economic Asymmetries 1.7(2010): pp. 101-121|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Eswar S Prasad & Marco Terrones & Ayhan Kose, 2005.
"How Do Trade and Financial Integration Affect the Relationship Between Growth and Volatility?,"
IMF Working Papers
05/19, International Monetary Fund.
- M. Ayhan Kose & Marco E. Terrones & Eswar S. Prasad, 2004. "How do trade and financial integration affect the relationship between growth and volatility?," Proceedings, Federal Reserve Bank of San Francisco, issue Jun.
- Kose, M. Ayhan & Prasad, Eswar S. & Terrones, Marco E., 2006. "How do trade and financial integration affect the relationship between growth and volatility?," Journal of International Economics, Elsevier, vol. 69(1), pages 176-202, June.
- M. Ayhan Kose & Eswar S. Prasad & Marco E. Terrones, 2004. "How do trade and financial integration affect the relationship between growth and volatility," Working Paper Series 2004-29, Federal Reserve Bank of San Francisco.
- Kose, M. Ayhan & Prasad, Eswar & Terrones, Marco E., 2006. "How Do Trade and Financial Integration Affect the Relationship between Growth and Volatility?," IZA Discussion Papers 2252, Institute for the Study of Labor (IZA).
- Harald Badinger, 2008. "Cyclical Fiscal Policy, Output Volatility, and Economic Growth," CESifo Working Paper Series 2268, CESifo Group Munich.
- Maurice Obstfeld, 1998.
"The Global Capital Market: Benefactor or Menace?,"
Journal of Economic Perspectives,
American Economic Association, vol. 12(4), pages 9-30, Fall.
- Maurice Obstfeld, 1998. "The Global Capital Market: Benefactor or Menace?," NBER Working Papers 6559, National Bureau of Economic Research, Inc.
- Obstfeld, Maurice, 1998. "The Global Capital Market: Benefactor or Menace?," Center for International and Development Economics Research, Working Paper Series qt3kn3n2s8, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
- Maurice Obstfeld., 1998. "The Global Capital Market: Benefactor or Menace?," Center for International and Development Economics Research (CIDER) Working Papers C98-098, University of California at Berkeley.
- Maurice Obstfeld, 2000. "The Global Capital Market: Benefactor or Menace?," International Finance 0004001, EconWPA.
- Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2004.
"Growth Volatility and Financial Liberalization,"
NBER Working Papers
10560, National Bureau of Economic Research, Inc.
- Helmut Reisen, 1999. "After the Great Asian Slump: Towards a Coherent Approach to Global Capital Flows," OECD Development Centre Policy Briefs 16, OECD Publishing.
- Antonio Fatás & Ilian Mihov, 2003.
"The Case for Restricting Fiscal Policy Discretion,"
The Quarterly Journal of Economics,
Oxford University Press, vol. 118(4), pages 1419-1447.
- James G. MacKinnon, 2010.
"Critical Values for Cointegration Tests,"
1227, Queen's University, Department of Economics.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
- Badinger, Harald, 2010. "Output volatility and economic growth," Economics Letters, Elsevier, vol. 106(1), pages 15-18, January.
- Garey Ramey & Valerie A. Ramey, 1994.
"Cross-Country Evidence on the Link Between Volatility and Growth,"
NBER Working Papers
4959, National Bureau of Economic Research, Inc.
- Ramey, Garey & Ramey, Valerie A, 1995. "Cross-Country Evidence on the Link between Volatility and Growth," American Economic Review, American Economic Association, vol. 85(5), pages 1138-1151, December.
- Michael D. Bordo & Claudia Goldin & Eugene N. White, 1998. "The Defining Moment: The Great Depression and the American Economy in the Twentieth Century," NBER Books, National Bureau of Economic Research, Inc, number bord98-1.
- Hnatkovska, Viktoria & Loayza, Norman, 2004. "Volatility and growth," Policy Research Working Paper Series 3184, The World Bank.
- Bernhard Fischer & Helmut Reisen, 1992. "Towards Capital Account Convertibility," OECD Development Centre Policy Briefs 4, OECD Publishing.
- Pavlos Petroulas, 2007. "Short -Term Capital Flows and Growth in Developed and Emerging Markets," Working Papers 60, Bank of Greece.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
- Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
- Engle, R. F. & Granger, C. W. J. (ed.), 1991. "Long-Run Economic Relationships: Readings in Cointegration," OUP Catalogue, Oxford University Press, number 9780198283393, December.
- Peter C.B. Phillips, 1985.
"Understanding Spurious Regressions in Econometrics,"
Cowles Foundation Discussion Papers
757, Cowles Foundation for Research in Economics, Yale University.
- Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:29106. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter)
If references are entirely missing, you can add them using this form.