An econometric approach to macroeconomic risk. A cross country study

Mostrar todas las versiones(3)

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), determinat...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autores principales:	Carrera, Jorge Eduardo, Cusolito, Ana Paula, Féliz, Mariano, Panigo, Demian
Formato:	Documento de conferencia publishedVersion
Lenguaje:	Inglés
Publicado:	2001
Materias:	Economía Risk Volatility Persistence Structural breaks Forescastability Macroeconomic variables Cross country analysis
Acceso en línea:	https://www.memoria.fahce.unlp.edu.ar/trab_eventos/ev.10577/ev.10577.pdf
Aporte de:	Memoria Académica - FaHCE (UNLP) de Universidad Nacional de La Plata

id	I19-R125-Jev10577
record_format	dspace
institution	Universidad Nacional de La Plata
institution_str	I-19
repository_str	R-125
collection	Memoria Académica - FaHCE (UNLP)
language	Inglés
orig_language_str_mv	eng
topic	Economía Risk Volatility Persistence Structural breaks Forescastability Macroeconomic variables Cross country analysis
spellingShingle	Economía Risk Volatility Persistence Structural breaks Forescastability Macroeconomic variables Cross country analysis Carrera, Jorge Eduardo Cusolito, Ana Paula Féliz, Mariano Panigo, Demian An econometric approach to macroeconomic risk. A cross country study
topic_facet	Economía Risk Volatility Persistence Structural breaks Forescastability Macroeconomic variables Cross country analysis
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
format	Documento de conferencia Documento de conferencia publishedVersion
author	Carrera, Jorge Eduardo Cusolito, Ana Paula Féliz, Mariano Panigo, Demian
author_facet	Carrera, Jorge Eduardo Cusolito, Ana Paula Féliz, Mariano Panigo, Demian
author_sort	Carrera, Jorge Eduardo
title	An econometric approach to macroeconomic risk. A cross country study
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	econometric approach to macroeconomic risk. a cross country study
publishDate	2001
url	https://www.memoria.fahce.unlp.edu.ar/trab_eventos/ev.10577/ev.10577.pdf
work_keys_str_mv	AT carrerajorgeeduardo aneconometricapproachtomacroeconomicriskacrosscountrystudy AT cusolitoanapaula aneconometricapproachtomacroeconomicriskacrosscountrystudy AT felizmariano aneconometricapproachtomacroeconomicriskacrosscountrystudy AT panigodemian aneconometricapproachtomacroeconomicriskacrosscountrystudy AT carrerajorgeeduardo econometricapproachtomacroeconomicriskacrosscountrystudy AT cusolitoanapaula econometricapproachtomacroeconomicriskacrosscountrystudy AT felizmariano econometricapproachtomacroeconomicriskacrosscountrystudy AT panigodemian econometricapproachtomacroeconomicriskacrosscountrystudy
bdutipo_str	Repositorios
_version_	1764820494218952705

An econometric approach to macroeconomic risk. A cross country study

Ejemplares similares