On the Link between the Volatility and Skewness of Growth

54 Pages Posted: 27 Oct 2012 Last revised: 28 Feb 2018

See all articles by Geert Bekaert

Geert Bekaert

Columbia Business School - Finance and Economics

Alexander A. Popov

European Central Bank (ECB)

Multiple version iconThere are 2 versions of this paper

Date Written: November 18, 2015

Abstract

In a sample of 110 countries over the period 1960–2009, we document a positive relation between the volatility and skewness of growth in the cross-section. This novel stylized fact is related to two distinct mechanisms: sudden growth spurts in emerging markets, and sharp financial crises-driven recessions in developed economies. The former phenomenon is driven by industrialization, macroeconomic stabilization, and the exploitation of natural resources. The latter is consistent with recent theories of financial frictions. The cross-sectional pattern contrasts with a negative relation between volatility and skewness in panel data with country fixed effects in the top quartile of countries in terms of beginning-of-period GDP per capita.

Keywords: Volatility, Skewness, Development, Financial Frictions, Growth Spurts, Business Cycles

JEL Classification: E32, G10, O10

Suggested Citation

Bekaert, Geert and Popov, Alexander A., On the Link between the Volatility and Skewness of Growth (November 18, 2015). Available at SSRN: https://ssrn.com/abstract=2166802 or http://dx.doi.org/10.2139/ssrn.2166802

Geert Bekaert

Columbia Business School - Finance and Economics ( email )

3022 Broadway
New York, NY 10027
United States

Alexander A. Popov (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

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