TY - JOUR
T1 - Growth and volatility
AU - Imbs, Jean
N1 - Funding Information:
Comments from audiences at ESSIM, the CEPR Conference on Productivity, Technology and Growth (Alghero), UQAM, University of Liverpool, INSEAD, University of Michigan, the NY Fed and UCSD all helped improving this paper. Most of this work was completed while I was a Resident Scholar at the IMF Research Department, whose hospitality I gratefully acknowledge. I am indebted to Denis Gromb, Fabio Canova, an anonymous referee and Bob King for helpful comments. Thanks are due to the Leverhulme Foundation and the National Center of Competence in Research “Financial Valuation and Risk Management” for financial support. The National Centers of Competence in Research (NCCR) are a research instrument of the Swiss National Science Foundation.
PY - 2007/10
Y1 - 2007/10
N2 - 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.
AB - 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.
KW - Growth
KW - Sectors
KW - Volatility
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U2 - 10.1016/j.jmoneco.2006.08.001
DO - 10.1016/j.jmoneco.2006.08.001
M3 - Article
AN - SCOPUS:34548831964
SN - 0304-3932
VL - 54
SP - 1848
EP - 1862
JO - Journal of Monetary Economics
JF - Journal of Monetary Economics
IS - 7
ER -