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Nonlinear Volatility Effects on Growth in Developing Economies

Listed author(s):
  • Ramirez-Rondán Nelson

    ()

    (Banco Central de Reserva del Perú)

La evidencia empírica sugiere una relación negativa entre la volatilidad y el crecimiento del producto en países emergentes; no obstante, algunos autores sugieren posibles efectos no lineales en el sentido que dicha relación es caracterizada más por fluctuaciones abruptas que por fluctuaciones regulares alrededor de una tendencia. En este trabajo se estima un umbral a partir del cual la volatilidad tiene efectos sobre el crecimiento, para ello se utiliza un modelo de umbrales en datos de panel, propuesto por Hansen (1999), para una muestra de 38 países emergentes durante el período de 1960 al 2000. Los resultados indican que volatilidades mayores a 5.1% tienen efectos negativos sobre el crecimiento del producto, mientras que volatilidades menores a 5.1% no tienen efectos significativos. Dichos efectos negativos para volatilidades mayores al 5.1% son el reflejo de fluctuaciones abruptas del producto como los ocurridos en Latinoamérica en la década de los ochenta, década de menor crecimiento económico y donde la mayoría de países de la región mostró una mayor volatilidad de su producto, así la desviación estándar del crecimiento del PBI per cápita en los ochenta en Argentina fue de 5.3%, en Brasil 4.7%, en Chile 6.3%, en Perú 8.4%, en Uruguay 6.4% y en Venezuela 5.0%.

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Paper provided by Banco Central de Reserva del Perú in its series Working Papers with number 2007-016.

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Date of creation: Sep 2007
Handle: RePEc:rbp:wpaper:2007-016
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