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Growth and Volatility

Jean Imbs ()

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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 effects 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)
Date: 2007-10
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Published in Journal of Monetary Economics, Elsevier, 2007, 54 (7), pp.1848-1862. <10.1016/j.jmoneco.2006.08.001>

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DOI: 10.1016/j.jmoneco.2006.08.001

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