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Growth and Volatility

Jean Imbs

No 06-09, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: Growth and volatility correlate negatively across countries, but positively across sectors. Analytically, whether or not sectoral growth and volatility are correlated positively is irrelevant in the aggregate. Cross-country estimates identify the detrimental e¤ects of macroeconomic volatility on growth, but they cannot be used to dismiss theories implying a positive growth-volatility coefficient, which appear to hold in sectoral data. In particular, volatile sectors command high investment rates, as they would in a mean-variance framework.

Keywords: Sectors; Growth; Volatility (search for similar items in EconPapers)
JEL-codes: E32 O40 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2006-04
References: Add references at CitEc
Citations: View citations in EconPapers (17)

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Related works:
Journal Article: Growth and volatility (2007) Downloads
Working Paper: Growth and Volatility (2007)
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