Robust Multiple Regimes in Growth Volatility

Andros Kourtellos (andros@ucy.ac.cy), Ioanna Stylianou (sioanna@ucy.ac.cy) and Chih Ming Tan
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Ioanna Stylianou: Department of Economics, University of Cyprus, Cyprus

Working Paper series from Rimini Centre for Economic Analysis

Abstract: In this paper we uncover growth volatility regimes and identify their robust determinants using a large international panel of countries. In doing so we propose a novel empirical methodology that allows us to simultaneously deal with two key elements of model uncertainty, namely theory uncertainty and parameter heterogeneity, by unifying two recent econometric techniques: Bayesian Model Averaging and Threshold Regression. We find ample evidence of parameter heterogeneity and model uncertainty. Our results highlight the role of Macroeconomic Policy, Institutional variables, and Neoclassical growth variables in generating multiple volatility regimes.

Keywords: growth volatility; multiple regimes; threshold regression (search for similar items in EconPapers)
JEL-codes: C59 O40 Z12 (search for similar items in EconPapers)
Date: 2013-08
New Economics Papers: this item is included in nep-mac
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http://www.rcea.org/RePEc/pdf/wp52_13.pdf (application/pdf)

Related works:
Working Paper: Robust Multiple Regimes in Growth Volatility (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:52_13

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