- Autor
- Podobnik Boris (Zagreb School of Economics and Management, Croatia; University of Rijeka, Croatia; Boston University, USA), Horvatic Davor (University of Zagreb, Croatia), Njavro Djuro (Zagreb School of Economics and Management, Croatia), Njavro Mato (University of St. Gallen, Switzerland), Stanley H. Eugene (Boston University, USA)
- Tytuł
- Scaling of Growth Rate Volatility for Six Macroeconomic Variables
- Źródło
- Contemporary Economics, 2012, vol. 6, nr 2, s. 20-25, rys., tab., bibliogr. 12 poz.
- Słowa kluczowe
- Analiza dynamiczna, Produkt krajowy brutto (PKB)
Dynamic analysis, Gross domestic product (GDP) - Uwagi
- summ.
- Abstrakt
- We study the annual growth rates of six macroeconomic variables: public debt, public health expenditures, exports of goods, government consumption expenditures, total exports of goods and services, and total imports of goods and services. For each variable, we find (i) that the distribution of the growth rate residuals approximately follows a double exponential (Laplace) distribution and (ii) that the standard deviation of growth rate residuals scales according to the size of the variable as a power law, with a scaling exponent similar to the scaling exponent found for GDP [Economics Letters 60, 335 (1998)]. We hypothesise that the volatility scaling we find for these GDP constituents causes the volatility scaling found in GDP data. (original abstract)
- Pełny tekst
- Pokaż
- Bibliografia
-
- Altman, E.I. (1968). Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. The journal of finance, 23, 589-609.
- Barro, R.J. (1991). Macroeconomic growth in a cross section of countries. Quarterly Journal of macroeconomics, 106, 407-444.
- Canning, D., Amarald, L.A.N., Lee, Y., Meyer, M., & Stanley H.E. (1998). Scaling the volatility of GDP growth rates. Economics Letters, 60, 335-341.
- Fu, D., Pammolli, F., Buldyrev, S.V., Riccaboni, M., Matia, K., Yamasaki, K., & Stanley H.E. (2005). The growth of business firms: Theoretical framework and empirical evidence. Proceedings of the National Academy of Sciences of the United States of America, 102, 18801-18806.
- Growiec, J., Pammolli, F., Riccaboni, M., & Stanley H.E. (2008). On the size distribution of business firms. Economics Letters, 98, 207-212.
- Head, A.C. (1995). Country size, aggregate fluctuations, and international risk shearing. Canadian Journal of macroeconomics, 28(4b), 1096-1119.
- Lee, Y., Nunes Amaral, N.A., Canning, D., Meyer, M., & Stanley, H.E. (1998). Universal features in the growth dynamics of complex organizations. Physical Review Letters, 81, 3275-3278.
- Podobnik, B., Horvatic, D. Pammolli, F., Wang, F., Stanley, H.E., & Grosse, I. (2008). Size-dependent standard deviation for growth rates: Empirical results and theoretical modeling. Physical Review, E 77 (5), 056102.
- Podobnik, B., Valentinčič, A., Horvatić, D., & Stanley, H.E. (2011). Asymmetric Levy Flight in Financial Ratios. Proceedings of the National Academy of Sciences of the United States of America, 108, 17883-17888.
- Schwarz, G. (1978). Estimating the dimension of a model. Annals of Statistics, 6, 461-464.
- Stanley, M.H.R., Amaral, L.A.N., Buldyrev, S.V., Havlin, S., Leschhorn, H., Maass, P., Salinger, M.A., & Stanley, H.E. (1996). Scaling behavior in the growth of companies. Nature, 379, 804-806.
- Wu, J.L., Chen, S.L., & Lee, H.Y. (2001). Are current account deficits sustainable? Evidence from panel cointegration. Economics Letters, 72, 219-224.
- Cytowane przez
- ISSN
- 2084-0845
- Język
- eng
- URI / DOI
- http://dx.doi.org/10.5709/ce.1897-9254.45
