Exploring GDP growth volatility spillovers across countries

Abosedra, Salah; Arayssi, Mahmoud; Sita, Bernard Ben; Mutshinda, Crispin M.

doi:10.1016/j.econmod.2019.11.015

Cited by 32 publications

(20 citation statements)

References 33 publications

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“…The third empirical research strategy is to identify the channels through which volatility and growth are related. Scholars have explored the role of openness to foreign trade, financial integration, and foreign direct investment [ 29 , 30 ]. There are also studies examining the impact of political factors (forms of government, electoral rules, forms of state, number of veto players, and age of democracy) on the growth–volatility relationship [ 31 ].…”

Section: Literature Reviewmentioning

confidence: 99%

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Examining GDP Growth and Its Volatility: An Episodic Approach

Barták

Jabłoński

Jastrzębska

2021

Entropy

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In this paper, we study economic growth and its volatility from an episodic perspective. We first demonstrate the ability of the genetic algorithm to detect shifts in the volatility and levels of a given time series. Having shown that it works well, we then use it to detect structural breaks that segment the GDP per capita time series into episodes characterized by different means and volatility of growth rates. We further investigate whether a volatile economy is likely to grow more slowly and analyze the determinants of high/low growth with high/low volatility patterns. The main results indicate a negative relationship between volatility and growth. Moreover, the results suggest that international trade simultaneously promotes growth and increases volatility, human capital promotes growth and stability, and financial development reduces volatility and negatively correlates with growth.

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Section: Literature Reviewmentioning

confidence: 99%

“…In our study, we use several control variables reflecting macroeconomic categories central to the growth-volatility relationship as well as to the growth process itself [ 14 , 29 , 30 ].…”

Section: Datamentioning

confidence: 99%

Examining GDP Growth and Its Volatility: An Episodic Approach

Barták

Jabłoński

Jastrzębska

2021

Entropy

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“…Our study contributes on several fronts. Firstly, we build on previous studies that consider return spillovers during stress periods across equity markets and equity sectors (e.g., Choudhry and Jayasekera 2014 ; Yarovaya et al 2016 ), commodities and equity markets (Degiannakis et al 2013 ; Zhu et al 2016 ; Kang et al 2017 ; Ma et al 2019 ; Naeem et al 2020 ), economic growth (Abosedra et al 2020 ), or uncertainty and financial markets (You et al 2017 ). With evidence of intensified return spillovers at the sector-level, especially at extreme lower quantiles and during catastrophic events such as COVID-19, our findings support and complement the existing sector-level evidence.…”

Section: Introductionmentioning

confidence: 99%

Impact of the COVID-19 outbreak on the US equity sectors: Evidence from quantile return spillovers

et al. 2021

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The aim of this study is to examine the extreme return spillovers among the US stock market sectors in the light of the COVID-19 outbreak. To this end, we extend the now-traditional Diebold-Yilmaz spillover index to the quantiles domain by building networks of generalized forecast error variance decomposition of a quantile vector autoregressive model specifically for extreme returns. Notably, we control for common movements by using the overall stock market index as a common factor for all sectors and uncover the effect of the COVID-19 outbreak on the dynamics of the network. The results show that the network structure and spillovers differ considerably with respect to the market state. During stable times, the network shows a nice sectoral clustering structure which, however, changes dramatically for both adverse and beneficial market conditions constituting a highly connected network structure. The pandemic period itself shows an interesting restructuring of the network as the dominant clusters become more tightly connected while the rest of the network remains well separated. The sectoral topology thus has not collapsed into a unified market during the pandemic.

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“…This research is exploring the above phenomena regarding the sectors state on equity and develop the industries for the private use and indirectly taken all the profit from one side, it regarded as amongst the most understanding emerging market in CFA and directly forward the attention of foreign investment in different countries. (Abid, 2017;Abosedra et al, 2019;Kizuka et al, 2017) The research tests private equity and investment in CFA with resulting in its continued growth and exploring the semi-structure investment criteria. Where the industries by selfgrowing under the state law and under the government legislation is responsible to test the funding with ministry of development, the private investment creating the big gap in industries development.…”

Section: Introductionmentioning

confidence: 99%

Measure of Macroeconomics of CFA Zone Countries Compare to SSA Countries

2020

RJFA

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The influence of services activity in the economic development regarding the macroeconomics tactics and application. We investigate the sources of macroeconomics fluctuations in Sub-Saharan African (SSA) countries with particular attention to the development growth, federal investment, gross national income and consumer price with a structural Vector Auto regression (VAR) model with limited capital mobility and long run restrictions to identify the shocks. The research data analyzed by Linear square, in the first step data has been manipulated by level of stationary in first root and then with unit root individually classify the regions distribution with each expects to estimation development and confirm that even though the development techniques by individual development of SSA. However, terms of growth intention and development tend to influence the CFA zone to a greater extent and there seems to be a higher influence of demand shocks on output and the federal investment and consumer prices in the non-CFA countries. Supply and terms of trade shocks tend to dominate output movements in the CFA and non-CFA countries alike.

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Exploring GDP growth volatility spillovers across countries

Cited by 32 publications

References 33 publications

Examining GDP Growth and Its Volatility: An Episodic Approach

Examining GDP Growth and Its Volatility: An Episodic Approach

Impact of the COVID-19 outbreak on the US equity sectors: Evidence from quantile return spillovers

Measure of Macroeconomics of CFA Zone Countries Compare to SSA Countries

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