Scaling of Growth Rate Volatility for Six Macroeconomic Variables

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.

Keywords: composite index, complex phenomena, dynamics

JEL Classification: C1, O1

Suggested Citation: Suggested Citation

Podobnik, Boris and Horvatic, Davor and Njavro, Duro and Njavro, Mato and Stanley, H. Eugene, Scaling of Growth Rate Volatility for Six Macroeconomic Variables (May 28, 2012). Contemporary Economics, Vol. 6, No. 2, pp. 20-25, 2012 , Available at SSRN: https://ssrn.com/abstract=2179891