Robust multiple regimes in growth volatility

Andros Kourtellos (), Ioanna Stylianou () and Chih Tan ()

Empirical Economics, 2015, vol. 48, issue 1, 491 pages

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 ethnic fractionalization, institutions, financial development, health, and geography. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Growth volatility; Multiple regimes; Threshold regression (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s00181-014-0868-9

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