On the Link Between the Volatility and Skewness of Growth

Geert Bekaert and Alexander Popov

No 18556, NBER Working Papers from National Bureau of Economic Research, Inc

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. The relation holds regardless of initial level of economic development and of subsequent long-run growth rate. We argue that this novel stylized fact is related to two distinct phenomena: sudden growth spurts in mostly emerging markets, and rare and abrupt crises in mostly 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 positive relation between volatility and skewness in the cross-section is in sharp contrast with a negative relation between the two in panel data with country fixed effects which is fully driven by business cycle variation in rich countries.

JEL-codes: E32 G10 O10 (search for similar items in EconPapers)
Date: 2012-11
New Economics Papers: this item is included in nep-fdg, nep-mac and nep-opm
Note: EFG
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Published as Geert Bekaert & Alexander Popov, 2019. "On the Link Between the Volatility and Skewness of Growth," IMF Economic Review, vol 67(4), pages 746-790.

Downloads: (external link)
http://www.nber.org/papers/w18556.pdf (application/pdf)

Related works:
Journal Article: On the Link Between the Volatility and Skewness of Growth (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:18556

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w18556

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().