An econometric approach to macroeconomic risk. A cross country study

Authors
Carrera, Jorge Eduardo; Cusolito, Ana Paula; Féliz, Mariano; Panigo, Demian
Publication Year
2001
Language
English
Format
conference paper
Status
Published version
Description
A contribution to the study of volatility and country risk is made in order to achieve a successful cross country comparison. We present a methodology for the evaluation of country risk that include endogenous detection of multiple structural breaks (also identifying its different kinds), determination of persistence of shocks through their structural-break free fractional integration order and determination of the adjusted volatility which best characterizes the economy. This methodology is applied to developed and emerging countries' GDPs (taking 9 countries from each group). Although the former have fewer structural breaks than the latter, these breaks are extremely relevant in 14 of the 18 countries. This affects the calculation of the series persistence and volatility. Comparing a traditional risk indicator to our suggested one we find that the cluster of reference of 60 of the countries changes. Most countries present fractional integration (long memory) being the distribution between both groups heterogeneous. Country volatility varies strongly if we isolate structural breaks that present a probabilistic distribution different from intrinsic GDP volatility. Clusters arrangement is different with some risk country evaluation methodologies
Fil: Féliz, Mariano. Universidad Nacional de La Plata. Facultad de Humanidades y Ciencias de la Educación. Instituto de Investigaciones en Humanidades y Ciencias Sociales (UNLP-CONICET); Argentina.
Fil: Panigo, Demian. Universidad Nacional de La Plata. Facultad de Humanidades y Ciencias de la Educación. Instituto de Investigaciones en Humanidades y Ciencias Sociales (UNLP-CONICET); Argentina.
Source
6th LACEA, 2001; Montevideo, Uruguay, 18 al 20 de octubre de 2001
Subject
Economía
Risk
Volatility
Persistence
Structural breaks
Forescastability
Macroeconomic variables
Cross country analysis
Access level
Open access
License
https://creativecommons.org/licenses/by-nc-nd/4.0/
Repository
Memoria Académica (UNLP-FAHCE)
Institution
Universidad Nacional de La Plata. Facultad Humanidades y Ciencias de la Educación
OAI Identifier
oai:memoria.fahce.unlp.edu.ar:snrd:Jev10577