An econometric approach to macroeconomic risk. A cross country study
- Autores
- Carrera, Jorge Eduardo; Cusolito, Ana Paula; Féliz, Mariano; Panigo, Demian
- Año de publicación
- 2001
- Idioma
- inglés
- Tipo de recurso
- documento de conferencia
- Estado
- versión publicada
- Descripción
- 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 60of 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.
Fil: Carrera, Jorge Eduardo. UNLP.
Fil: Cusolito, Ana Paula. UNLP. - Fuente
- 6th LACEA; Montevideo, Uruguay, 18-20 de octubre de 2001
- Materia
-
Economía
Risk
Volatility
Persistence
Structural breaks
Forescastability
Macroeconomic variables
Cross country analysis - Nivel de accesibilidad
- acceso abierto
- Condiciones de uso
- https://creativecommons.org/licenses/by-nc-nd/4.0/
- Repositorio
- Institución
- Universidad Nacional de La Plata. Facultad de Humanidades y Ciencias de la Educación
- OAI Identificador
- oai:memoria.fahce.unlp.edu.ar:snrd:Jev10577
Ver los metadatos del registro completo
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An econometric approach to macroeconomic risk. A cross country studyCarrera, Jorge EduardoCusolito, Ana PaulaFéliz, MarianoPanigo, DemianEconomíaRiskVolatilityPersistenceStructural breaksForescastabilityMacroeconomic variablesCross country analysisA 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 60of 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 methodologiesFil: 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.Fil: Carrera, Jorge Eduardo. UNLP.Fil: Cusolito, Ana Paula. UNLP.2001info:eu-repo/semantics/conferenceObjectinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_5794info:ar-repo/semantics/documentoDeConferenciaapplication/pdfhttps://www.memoria.fahce.unlp.edu.ar/trab_eventos/ev.10577/ev.10577.pdf6th LACEA; Montevideo, Uruguay, 18-20 de octubre de 2001reponame:Memoria Académica (UNLP-FAHCE)instname:Universidad Nacional de La Plata. Facultad de Humanidades y Ciencias de la Educacióninstacron:UNLPenginfo:eu-repo/semantics/altIdentifier/hdl/10915/111447info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-nd/4.0/2025-09-29T11:55:56Zoai:memoria.fahce.unlp.edu.ar:snrd:Jev10577Institucionalhttps://www.memoria.fahce.unlp.edu.ar/Universidad públicahttps://www.fahce.unlp.edu.ar/https://www.memoria.fahce.unlp.edu.ar/oaiserver.cgimemoria@fahce.unlp.edu.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:13412025-09-29 11:55:57.737Memoria Académica (UNLP-FAHCE) - Universidad Nacional de La Plata. Facultad de Humanidades y Ciencias de la Educaciónfalse |
dc.title.none.fl_str_mv |
An econometric approach to macroeconomic risk. A cross country study |
title |
An econometric approach to macroeconomic risk. A cross country study |
spellingShingle |
An econometric approach to macroeconomic risk. A cross country study Carrera, Jorge Eduardo Economía Risk Volatility Persistence Structural breaks Forescastability Macroeconomic variables Cross country analysis |
title_short |
An econometric approach to macroeconomic risk. A cross country study |
title_full |
An econometric approach to macroeconomic risk. A cross country study |
title_fullStr |
An econometric approach to macroeconomic risk. A cross country study |
title_full_unstemmed |
An econometric approach to macroeconomic risk. A cross country study |
title_sort |
An econometric approach to macroeconomic risk. A cross country study |
dc.creator.none.fl_str_mv |
Carrera, Jorge Eduardo Cusolito, Ana Paula Féliz, Mariano Panigo, Demian |
author |
Carrera, Jorge Eduardo |
author_facet |
Carrera, Jorge Eduardo Cusolito, Ana Paula Féliz, Mariano Panigo, Demian |
author_role |
author |
author2 |
Cusolito, Ana Paula Féliz, Mariano Panigo, Demian |
author2_role |
author author author |
dc.subject.none.fl_str_mv |
Economía Risk Volatility Persistence Structural breaks Forescastability Macroeconomic variables Cross country analysis |
topic |
Economía Risk Volatility Persistence Structural breaks Forescastability Macroeconomic variables Cross country analysis |
dc.description.none.fl_txt_mv |
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 60of 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. Fil: Carrera, Jorge Eduardo. UNLP. Fil: Cusolito, Ana Paula. UNLP. |
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 60of 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 |
publishDate |
2001 |
dc.date.none.fl_str_mv |
2001 |
dc.type.none.fl_str_mv |
info:eu-repo/semantics/conferenceObject info:eu-repo/semantics/publishedVersion http://purl.org/coar/resource_type/c_5794 info:ar-repo/semantics/documentoDeConferencia |
format |
conferenceObject |
status_str |
publishedVersion |
dc.identifier.none.fl_str_mv |
https://www.memoria.fahce.unlp.edu.ar/trab_eventos/ev.10577/ev.10577.pdf |
url |
https://www.memoria.fahce.unlp.edu.ar/trab_eventos/ev.10577/ev.10577.pdf |
dc.language.none.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
info:eu-repo/semantics/altIdentifier/hdl/10915/111447 |
dc.rights.none.fl_str_mv |
info:eu-repo/semantics/openAccess https://creativecommons.org/licenses/by-nc-nd/4.0/ |
eu_rights_str_mv |
openAccess |
rights_invalid_str_mv |
https://creativecommons.org/licenses/by-nc-nd/4.0/ |
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application/pdf |
dc.source.none.fl_str_mv |
6th LACEA; Montevideo, Uruguay, 18-20 de octubre de 2001 reponame:Memoria Académica (UNLP-FAHCE) instname:Universidad Nacional de La Plata. Facultad de Humanidades y Ciencias de la Educación instacron:UNLP |
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Universidad Nacional de La Plata. Facultad de Humanidades y Ciencias de la Educación |
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Memoria Académica (UNLP-FAHCE) - Universidad Nacional de La Plata. Facultad de Humanidades y Ciencias de la Educación |
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