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 444
- Downloads 20
THE IMPACT OF MACROECONOMIC FACTORS ON THE HERDING BEHAVIOUR OF INVESTORS
This study uses the linear model based on the notion of cross-sectional standard deviation (CSSD) by Christie and Huang (1995) and nonlinear model based on cross-sectional absolute deviation (CSAD) proposed by Chang et a...
ANALYZING FACTORS TO IMPROVE SERVICE QUALITY OF LOCAL SPECIALTIES RESTAURANTS: A COMPARISON WITH FAST FOOD RESTAURANTS IN SOUTHERN VIETNAM
The top fast food restaurant brands like KFC and MacDonald?s have gone global and demonstrated their successful business strategies through providing quick-service and convenience for customers. Meanwhile, local specialt...
A MODEL FOR ESTIMATING THE DISTRIBUTION OF FUTURE POPULATION
In most counties, statistical authorities collect data on the number of deaths in each age group. These data enables the calculation of life expectancy as well as the calculation of death and survival probabilities for e...
EXPORTS AND IMPORTS IN QATAR: EVIDENCE FROM COINTEGRATION AND ERROR CORRECTION MODEL
This paper investigates the existence of long-run relationship between exports and imports in Qatar’s economy using Johansen cointegration approach. Qatar is a small open economy that depends on the outside world for exp...
Modelling Non-Interest Income at Tunisian Banks
The aim of this paper is to analyze the determinants of the non-interest income for the Tunisian context by the use of data of 10 Tunisian deposit banks. Our sample is observed during the period 1998-2009. Using panel da...