On the Link Between the Volatility and Skewness of Growth

Geert Bekaert and Alexander Popov

IMF Economic Review, 2019, vol. 67, issue 4, No 2, 746-790

Abstract: 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. This novel stylized fact is related to two distinct mechanisms: sudden growth spurts in emerging markets and sharp financial crises-driven recessions in 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 cross-sectional pattern contrasts with a negative relation between volatility and skewness in panel data with country fixed effects in the top quartile of countries in terms of beginning-of-period GDP per capita.

Keywords: Volatility; Skewness; Development; Financial frictions; Growth spurts; Business cycles (search for similar items in EconPapers)
JEL-codes: E32 G10 O10 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (21)

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Working Paper: On the Link Between the Volatility and Skewness of Growth (2012)
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DOI: 10.1057/s41308-019-00092-2

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