Scaling of Growth Rate Volatility for Six Macroeconomic Variables

Contemporary Economics, Vol. 6, No. 2, pp. 20-25, 2012

6 Pages Posted: 24 Nov 2012

See all articles by Boris Podobnik

Boris Podobnik

Boston University; University of Rijeka

Davor Horvatic

Theoretical Physics Department, University of Zagreb

Duro Njavro

University of Zagreb - School of Economics and Management

Mato Njavro

Luxembourg School of Business

H. Eugene Stanley

Boston University - Center for Polymer Studies

Date Written: May 28, 2012

Abstract

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

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

Boris Podobnik (Contact Author)

Boston University ( email )

University of Rijeka ( email )

Rijeka, 51000
Croatia

Davor Horvatic

Theoretical Physics Department, University of Zagreb ( email )

Trg maršala Tita 14
Zagreb
Croatia

Duro Njavro

University of Zagreb - School of Economics and Management ( email )

Jordanovac ul. 110
Zagreb, 10000
Croatia

Mato Njavro

Luxembourg School of Business ( email )

154 Avenue du Dix Septembre
Luxembourg, 2550
Luxembourg

H. Eugene Stanley

Boston University - Center for Polymer Studies ( email )

Boston, MA 02215
United States

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