Robust Multiple Regimes in Growth Volatility

35 Pages Posted: 2 Mar 2014 Last revised: 11 Feb 2015

See all articles by Andros Kourtellos

Andros Kourtellos

University of Cyprus - Department of Economics; University of Bologna - Rimini Center for Economic Analysis (RCEA)

Ioanna Stylianou

University of Cyprus - Department of Economics

Chih Ming Tan

University of North Dakota - College of Business & Public Administration - Department of Economics

Date Written: February 27, 2014

Abstract

In this paper we uncover growth volatility regimes and identify their robust determinants using a large international panel of countries. In doing so we propose a novel empirical methodology that allows us to simultaneously deal with two key elements of model uncertainty, namely theory uncertainty and parameter heterogeneity, by unifying two recent econometric techniques: Bayesian Model Averaging and Threshold Regression. We find ample evidence of parameter heterogeneity and model uncertainty. Our results highlight the role of Ethnic Fractionalization, Institutions, Financial Development, Health, and Geography.

Keywords: growth volatility, multiple regimes, threshold regression

JEL Classification: C59, O40, Z12

Suggested Citation

Kourtellos, Andros and Stylianou, Ioanna and Tan, Chih Ming, Robust Multiple Regimes in Growth Volatility (February 27, 2014). Empirical Economics, 48, p.461-491, 2015., Available at SSRN: https://ssrn.com/abstract=2403082 or http://dx.doi.org/10.2139/ssrn.2403082

Andros Kourtellos (Contact Author)

University of Cyprus - Department of Economics ( email )

75 Kallipoleos Street
P.O. Box 20537
1678 Nicosia
Cyprus

University of Bologna - Rimini Center for Economic Analysis (RCEA) ( email )

Via Patara, 3
Rimini (RN), RN 47900
Italy

Ioanna Stylianou

University of Cyprus - Department of Economics ( email )

75 Kallipoleos Street
P.O. Box 20537
1678 Nicosia
Cyprus

Chih Ming Tan

University of North Dakota - College of Business & Public Administration - Department of Economics ( email )

293 Centennial Drive Stop 8369
Grand Forks, ND 58202-8369
United States

HOME PAGE: http://sites.google.com/site/chihmingtan/home

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