Macroeconomic Volatility

1
Macroeconomic Volatility
2
Correlation of Output and Volatility I

• Irreversibilities in Investment (-)
• Policy uncertainly (AizenmanMarion 1993)
• Technological commitment (RameyRamey 1991)
• Financial Markets (-)
• Weak (inter)national financial markets (Caballero
  2000)
• Social Conflict (-)
• (Rodrik 1999)
• Choice Models ()
• (Black 1987)
• Precautionary savings ()
• (Mirman 1971)

3
Correlation of Output and Volatility II

• Negative Correlation Ramey (1995)
• Government Spending and volatility are highly
  correlated
• No influence of investment share

4
Correlation of Output and Volatility III
Hnatkovska et al. (2004)WorldBankWPS3184
5
Correlation of Output and Volatility IV
Hnatkovska et al. (2004)WorldBankWPS3184
6
Correlation of Output and Volatility V
Hnatkovska et al. (2004)WorldBankWPS3184
7
Correlation of Output and Volatility VI
Hnatkovska et al. (2004)WorldBankWPS3184