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Measuring macroeconomic volatility - Applications to export revenue data, 1970-2005

Author

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  • Joël CARIOLLE

    (Ferdi)

Abstract
La littérature sur l’instabilité macroéconomique couvre un champ extrêmement vaste qui se révèle par le spectre très large de mesures utilisées pour appréhender ce phénomène. Le choix de la mesure de l’instabilité macroéconomique apparait généralement peu discuté sous le prétexte que les différentes méthodes, basées sur la stationnarisation des séries, résultent en des scores d’instabilité fortement corrélés entre eux. Pourtant, si effectivement ces méthodes convergent lorsque seule l’ampleur moyenne d’une distribution autour d’une valeur de référence est analysée, elles divergent significativement quand on s’intéresse à son asymétrie ou à sa voussure (occurrence des déviations extrêmes). Dans cet article, nous proposons une revue de la littérature sur le sujet et présentons les principales méthodes de calcul de l’instabilité. A partir de données sur les recettes d’exportation de 134 pays de 1970 à 2005, nous comparons ces méthodes et analysons leurs propriétés. Nous distinguons notamment les mesures d’ampleur de l’instabilité, des mesures d’asymétrie, et d’occurrence des déviations extrêmes.

Suggested Citation

  • Joël CARIOLLE, 2012. "Measuring macroeconomic volatility - Applications to export revenue data, 1970-2005," Working Papers I14, FERDI.
    • Handle: RePEc:fdi:wpaper:639
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    File URL: http://www.ferdi.fr/sites/www.ferdi.fr/files/publication/fichiers/Indicateur14_Cariolle_web.pdf
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    References listed on IDEAS

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    Cited by:

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    2. Onyimadu, Chukwuemeka, 2016. "Macroeconomic Volatility and Economic Growth: Evidence from Selected African Countries," MPRA Paper 77200, University Library of Munich, Germany.
    3. Saha, Mallika & Dutta, Kumar Debasis & Islam, MD. Shafiqul, 2020. "Explaining the nature of economic volatility based on GDP and international trade: a study on China and the United States," MPRA Paper 111482, University Library of Munich, Germany.
    4. Richard J. Nugent, 2019. "Restrictions on Short-Term Capital Inflows and the Response of Direct Investment," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 45(3), pages 350-383, June.

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    More about this item

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • F17 - International Economics - - Trade - - - Trade Forecasting and Simulation

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