The Determinants of Macroeconomic Volatility: A Bayesian Model Averaging Approach

Abstract

Bayesian model averaging is applied to robustly ascertain the determinants of various output volatility measures, including the downside semideviation of growth rates. Financial sophistication variables are found to have qualitatively different effects on volatility. The ratio of government expenditure to GDP exhibited a significant positive relationship with volatility and the trade share of GDP was positively related for a balanced dataset of developed and developing countries between 1960-89, and negatively related for developing countries between 1974-89. Other significant determinants were the black market premium, civil liberties, political rights, rule of law, and ratios of short-term debt and taxation to GDP.

Financial Integrational Effects on Macroeconomic Instability in India

“…Several control factors influence macroeconomic instability such as trade openness, government expenditure, government tax revenue, size of the government, volatility of inflation rate, financial sector development, financial integration, volatility of terms of trade, volatility of exchange rate, black market premium and civil liberty index, among others (Kari, 2004; Spiliopoulus, 2010). The study includes financial sector development, trade openness and TOT volatility as a set of control variables.…”

Pendapatan Pertanian Sebagai Determinan Pertumbuhan Ekonomi Di Asia Selatan

“…Kelompok literatur yang kedua telah mengidentifikasi beberapa faktor sebagai penentu PDB dan volatilitasnya, antara lain arus masuk investasi asing langsung (Ćorić & Pugh, 2013;Rougier, 2014), pengembangan keuangan (Kose et al, 2003;Spiliopoulos, 2010), ketidakstabilan politik (Mobarak, 2005;Mohey-Ud-Din & Siddiqui, 2016;Spiliopoulos, 2010), keterbukaan perdagangan (Abubaker, 2015;Ahmed & Suardi, 2009;Spiliopoulos, 2010) dan inflasi (Mobarak, 2005;Narayan & Narayan, 2013;Spiliopoulos, 2010).…”

GDP volatility implication of tourism volatility in South Africa: A time-varying approach

“…The second strand of literature has identified several factors as determinants of GDPV. Key among them are direct foreign investment inflows (Ćorić and Pugh, 2013; Nicet-Chenaf and Rougier, 2014), financial development (Kose et al, 2003; Spiliopoulos, 2010), political instability (Mobarak, 2005; Mohey-ud-Din and Siddiqui, 2016; Spiliopoulos, 2010), trade openness (Abubaker, 2015; Ahmed and Suardi, 2009; Spiliopoulos, 2010) and inflation (Mobarak, 2005; Narayan and Narayan, 2013; Spiliopoulos, 2010).…”