6533b7d2fe1ef96bd125ed6c

RESEARCH PRODUCT

Long-Run Growth and Volatility: Which Source Really Matters

Davide Furceri

subject

MacroeconomicsEconomics and EconometricsExchange rateVolatility GrowthVolatility swapVolatility smileBusiness cycleEconomicsGovernment expenditureVolatility (finance)Volatility risk premium

description

The aim of the article is to analyse the relationship between long-run growth and business cycle volatility. In particular, the main purpose of this article is to identify which source of volatility is most detrimental to growth. Using cross-country data from 1970 to 2000, and several indicators of volatility (such as inflation, exchange rate, government expenditure, output and investment volatility) this article shows that although, all these measures of volatility are remarkably harmful for growth, business cycle investment volatility is the main source that hampers long-run growth. This relation is robust to different measures of business cycle, and to different sub-samples of countries.

yearjournalcountryeditionlanguage
2010-06-01
http://hdl.handle.net/10447/48000