Growth and volatility |
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Authors: | Jean Imbs |
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Institution: | a HEC Lausanne, Department of Economics, BFSH 1, Lausanne 1015, Switzerland b Swiss Finance Institute and CEPR, Switzerland |
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Abstract: | Growth and volatility correlate negatively across countries, but positively across sectors. Analytically, whether or not sectoral growth and volatility are correlated positively is irrelevant in the aggregate. Cross-country estimates identify the detrimental effects of macroeconomic volatility on growth, but they cannot be used to dismiss theories implying a positive growth-volatility coefficient, which appear to hold in sectoral data. In particular, volatile sectors command high investment rates, as they would in a mean-variance framework. |
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Keywords: | E32 O40 |
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