Anastasios, Pappas (2010): Capital mobility and macroeconomic volatility: evidence from Greece. Published in: Journal of Economic Asymmetries , Vol. 7, No. 1 (June 2010): pp. 101-121.
Download (504kB) | Preview
This paper focuses on the impact of full capital account liberalization on macroeconomic volatility in Greece. According to the standard neoclassical model, such liberalization is to be desired because, among other advantages, it may reduce macroeconomic volatility. The link between macroeconomic volatility and capital account openness in the Greek economy is investigated by applying a simple three-month rolling standard deviation of real GDP growth and real final (total) consumption growth combined with more formal econometric methods such as Granger causality test and multivariate regressions. There is no strong evidence for a stable relation between macroeconomic volatility and variables of financial openness. Thus other factors, such as exchange rate volatility and exogenous shocks rather than a full liberalization of capital movements, seem to be related to macroeconomic growth volatility in the Greek economy.
|Item Type:||MPRA Paper|
|Original Title:||Capital mobility and macroeconomic volatility: evidence from Greece|
|Keywords:||Volatility; Capital mobility; Gross domestic product; Consumption; Growth|
|Subjects:||E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles
F - International Economics > F3 - International Finance > F30 - General
E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy
F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F41 - Open Economy Macroeconomics
F - International Economics > F3 - International Finance > F36 - Financial Aspects of Economic Integration
|Depositing User:||Anastasios P. Pappas|
|Date Deposited:||23. Nov 2011 13:34|
|Last Modified:||13. Feb 2013 02:11|
Badinger, H., (2008), “Cyclical Fiscal Policy, Output Volatility, and Economic Growth”, Center for Economic Studies (CES), University of Munich, CESifo Working Paper No. 2268, April.
Bekaert, G., Harvey, C.R. and Lundblad, C., (2004), “Growth Volatility and Financial Liberalization”, NBER Working Paper No.10560, June.
Breusch, T.S., and Godfrey, L., (1981), “A Review of Recent Work on Testing for Autocorrelation in Dynamic Simultaneous Models.” in D. Currie, R. Nobay and D. Peel (eds), Macroeconomic Analysis: Essays in Macroeconomics and Econometrics, London:Croom Helm.
Brown, R.L., Durbin, J., and Evans, J.M., (1975), “Techniques for Testing the Constancy of Regression Relationships Over Time,” Journal of the Royal Statistical Society, Series B, 37, 49–192.
Buch, C.M., Döpke, J., and Pierdzioch, C., (2002), “Financial Openness and Business Cycle Volatility” Kiel Institute for World Economics, Working Paper Νο.1121
Calderón, C., Loayza, N., and Schmidt-Hebbel, K., (2004), “Openness, Vulnerability, and Growth”, World Bank Research Paper, First Draft.
Dickey, D.A., and Fuller, W.A., (1979), “Distribution of the estimators for autoregressive time series with a unit root”, Journal of the American Statistical Association 74, 427-431.
Dickey, D.A., and Fuller, W.A., (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root” Econometrica 49, 1057-1072.
Easterly, W., Islam, R., and Stiglitz, J.E., (2000) “Explaining Growth Volatility” World Bank, Working Papers, 04/13/00, January.
Engle R.F., (1982), “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation” Econometrica 50, 987-1007
Fatás, A., and Ilian, M., (2003), “The Case for Restricting Fiscal Policy Discretion”, The Quarterly Journal of Economics, Vol. 118, No. 4, November, 1419-1447.
Fischer B. and Reisen, H., (1992), “Towards Capital Account Convertibility” OECD Development Centre, Policy Brief No.4
Gavin, M., and Hausmann, R., (1996), “Securing Stability and Growth in a Shock Prone Region: The Policy Challenge for Latin America”, Inter-American Development Bank, Research Department Working Paper 315, Washington, DC, United States, January
Granger, C.W.J., (1969), “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods”, Econometrica, Vol.37, 424-438.
Granger, C.W.J. and Newbold, P., (1974), "Spurious Regressions in Econometrics" Journal of Econometrics Issue, Volume 2, 111-120.
Herrera, S., and Vincent, B., (2008), “Public Expenditure and Consumption Volatility”, World Bank, Policy Research Working Papers, WPS 4633, May.
Hnatkovska V., and Loayza, N., (2003), “Volatility and Growth”, World Bank, Policy Research Working Papers, WPS 3184, August.
Kose, A., Prasad, E., Rogoff, K., and Wie, S-J., (2003), “Effects of Financial Globalization on Developing Countries: Some Empirical Evidence”, IMF Occasional paper; no. 220.
Kose, A., Prasad, E., and Terrones, M., (2006), “How Do Trade and Financial Integration Affect the Relationship between Growth and Volatility?” IZA (Institute for the Study of Labor), Discussion Paper No. 2252, August.
MacKinnon J.G., (1991), “Critical Values for Cointegration Tests, R.F. Engle and C.W.J. Granger (eds) in Long-run Economic Relationships: Readings in Cointegration. Oxford: Oxford University Press.
Martin, P., Rogers, C.A., (2000), “Long-term Growth and Short-term Economic Instability”, European Economic Review 44, 359-381.
Mobarak, A.M., (2005), “Democracy, Volatility, and Economic Development” Review of Economics and Statistics 87(2): 348-361.
Obstfeld M., (1998), “The Global Capital Market: Benefactor or Menace?”, Journal of Economic Perspectives, Vol. 12, No. 4 (Fall), 9–30.
Obstfeld, M., and Taylor, A., (1998), “The Great Depression as a Watershed: International Capital Mobility over the Long Run”, in The Defining Moment: The Great Depression and the American Economy in the Twentieth Century. Bordo, Michael D., Claudia D. Goldin, and Eugene N. White, eds. Chicago: University of Chicago Press, 353–402.
Petroulas P., (2007), “Short-Term Capital Flows and Growth in Developed and Emerging Markets”, Bank of Greece Working Paper No.60, May.
Phillips, P.C.B., (1986), “Understanding Spurious Regressions in Econometrics”, Journal of Econometrics, 33, 311-340.
Phillips, P.C.B., Perron, P., (1988), “Testing for a unit root in time series analysis”, Biometrica 75, 335-346.
Ramey, G., and Ramey, V.A., (1995), “Cross-country Evidence on the Link between Volatility and Growth”, American Economic Review 85, 1138-1159.
Ramsey, J.B., (1969), “Tests for Specification Errors in Classical Linear Least Squares Regression Analysis”, Journal of the Royal Statistics Society, 31:2, 350-371
Reisen H., (1999), “After the Great Asian Slump: Towards a Coherent Approach to Global Capital Flows”, OECD Development Centre, Policy Brief No.16.
White, H., (1980), “A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroscedasticity”, Econometrica, Vol. 48, 817-838.