Exploring GDP growth volatility spillovers across countries
Salah Abosedra,
Mahmoud Arayssi,
Bernard Ben Sita and
Crispin Mutshinda
Economic Modelling, 2020, vol. 89, issue C, 577-589
Abstract:
This study takes a portfolio approach to investigate GDP growth volatility spillovers among 120 countries of the world during the 1960–2017 period. Based on the ratios of growth rate to standard deviation, we rank these countries in pools of high-, midsize-, and low-income growth. Using a spillover index that is based on variance decompositions under a vector autoregressive framework, we analyze the sources of growth volatility dynamics in the world in terms of volatility proportions from and to others. We find that high-income growth countries are net transmitters, while low-income growth countries are net recipients of growth volatility. We also find that it takes several years for low-income growth countries to absorb growth shocks of global nature. Overall, our analyses illustrate the importance of partnership in risk sharing as it is related to portfolio strategies and risk management.
Keywords: GDP growth; Growth volatility; Spillover; Vector autoregression; Variance decomposition (search for similar items in EconPapers)
JEL-codes: C32 F43 G01 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999319303761
Full text for ScienceDirect subscribers only
Related works:
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:eee:ecmode:v:89:y:2020:i:c:p:577-589
DOI: 10.1016/j.econmod.2019.11.015
Access Statistics for this article
Economic Modelling is currently edited by S. Hall and P. Pauly
More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu ().