On the Link between the Volatility and Skewness of Growth

43 Pages Posted: 22 Nov 2012

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 2012

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. The relation holds regardless of initial level of economic development and of subsequent long-run growth rate. We argue that this novel stylized fact is related to two distinct phenomena: sudden growth spurts in mostly emerging markets, and rare and abrupt crises in mostly 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 positive relation between volatility and skewness in the cross-section is in sharp contrast with a negative relation between the two in panel data with country fixed effects which is fully driven by business cycle variation in rich countries.

Suggested Citation

Bekaert, Geert and Popov, Alexander A., On the Link between the Volatility and Skewness of Growth (November 2012). NBER Working Paper No. w18556. Available at SSRN: https://ssrn.com/abstract=2179394

Geert Bekaert (Contact Author)

Columbia Business School - Finance and Economics ( email )

3022 Broadway
New York, NY 10027
United States

Alexander A. Popov

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Register to save articles to
your library

Register

Paper statistics

Downloads
1
Abstract Views
379
PlumX Metrics