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
Memoria Académica (UNLP-FAHCE)
Institución
Universidad Nacional de La Plata. Facultad de Humanidades y Ciencias de la Educación
OAI Identificador
oai:memoria.fahce.unlp.edu.ar:snrd:Jev10577
Acceder
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network_acronym_str MemAca
repository_id_str 1341
network_name_str Memoria Académica (UNLP-FAHCE)
spelling 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/4.0/2025-10-16T09:30:55Zoai: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:13412025-10-16 09:30:56.508Memoria 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/
dc.format.none.fl_str_mv 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
reponame_str Memoria Académica (UNLP-FAHCE)
collection Memoria Académica (UNLP-FAHCE)
instname_str Universidad Nacional de La Plata. Facultad de Humanidades y Ciencias de la Educación
instacron_str UNLP
institution UNLP
repository.name.fl_str_mv Memoria Académica (UNLP-FAHCE) - Universidad Nacional de La Plata. Facultad de Humanidades y Ciencias de la Educación
repository.mail.fl_str_mv memoria@fahce.unlp.edu.ar
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score 12.982451

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