COMOVEMENTS AND STRUCTURAL FACTORS OF MACROECONOMIC VOLATILITY IN DEVELOPING AND TRANSITION ECONOMIES: A DYNAMIC PANEL DATA APPROACH
Journal Title: Asian Economic and Financial Review - Year 2013, Vol 3, Issue 12
Abstract
This study examines the comovements of some economic variables and explores the structural factors of macroeconomic volatility in developing and transition economies, using dynamic panel technique. According to an analysis of variance and covariance, we conclude that macroeconomic volatilities are higher in these countries compared to developed economies and consumption volatilities exceed those of production in developing and transition economies. This finding shows that these countries don’t maintain their behaviour of consumption smoothing. This, consequently, implies a proof of failure of their financial markets. Using data for 44 countries during 1960- 2010, our GMM estimation results indicate that government expenditures, consumption and GDP volatilities are the major determinants of macroeconomic volatility. The most influential external factors on macroeconomic fluctuations are terms of trade and commercial opening volatilities.
Authors and Affiliations
Ichraf OUECHTATI| Applied Microeconomics Research Laboratory (LARMA) PhD Scholar, Faculty of Economic Sciences and Management of Tunis University of Tunis ElManar, Amira ZAOUALI| PhD Scholar, Faculty of Economic Sciences and Management of Tunis University of Tunis ElManar
Keywords
Related Articles
- EP ID EP1979
- DOI -
- Views 498
- Downloads 20
INCORPORATING THE CREDIT RANKING MEASURE TO EVALUATE THE OPERATING EFFICIENCY OF FINANCIAL HOLDING COMPANIES IN TAIWAN
One hears that the credit ranking score has increased technical efficiency in financial holding companies, when a data envelopment analysis (DEA) is employed. Our empirical results show that the credit ranking scores wil...
DIGITIZATION: ITS IMPACT ON ECONOMIC DEVELOPMENT & TRADE “WITH SPECIAL REFERENCE TO SERVICES AND MSME SECTOR OF INDIA”
This study discusses the impact of digitisation on India?s two most vibrant and high potential segments for future growth: services sector and MSME segments. We find that there is a significant rise in growth rate for t...
CAUSAL INTERACTIONS BETWEEN CO2 EMISSIONS, FINANCIAL DEVELOPMENT, ENERGY AND TOURISM
Aim of this study is to investigate the casual relationship between tourism, financial development, energy consumptions and carbon emissions in Turkey and four European Union countries France, Spain, Italy and Greece whi...
Short Term Relationships between European Electricity Markets
This paper investigates the short term relationship between the three major European electricity markets: France, Germany and Italy. Using a multivariate analysis, we study the impact of each electricity price changes in...
OIL PRICE AND EXCHANGE RATE IN MALAYSIA: A TIME-FREQUENCY ANALYSIS
The study analyzed the Granger-causal relationship in the time-frequency framework between return series of real oil price (ROP) and real effective exchange rate (REER) for Malaysia. In doing so, study relied on time-fre...