Output volatility in the OECD: are the member states becoming less vulnerable to exogenous shocks?
Autor(a) principal: | |
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Data de Publicação: | 2013 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.1/4269 |
Resumo: | This paper analysis the vulnerability of the OECD member states to external shocks by estimating the degree of asymmetric effects from positive and negative shocks. We use asymmetric conditional heteroscedasticity models with endogenously determined regime changes in a context of progressive moderation in both moments. The results suggest that recessions are associated with higher volatility and significant leverage effects. The estimated impacts of negative and positive shocks amount to 0.961 and 0.028, respectively. The disaggregated analysis over different periods reveals an increasing pattern of these asymmetries, as well as huge differences among the countries. The country-specific analysis suggest an increasing vulnerability to negative exogenous shocks in Australia, Denmark, Finland, Japan, Mexico, the Netherlands, Turkey and the United Kingdom, although with different levels, and decreasing vulnerability in Canada, Greece, Italy and New Zealand. Finally, some economies seem to have developed higher levels of immunity to external shocks by reaching balanced effects from positive and negative shocks. Among these are the largest European economies, together with the northern economies, the United States and the wealthiest economies of Luxembourg and Switzerland. |
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Output volatility in the OECD: are the member states becoming less vulnerable to exogenous shocks?GDPVolatilityBusiness cyclesGARCHStructural changeThis paper analysis the vulnerability of the OECD member states to external shocks by estimating the degree of asymmetric effects from positive and negative shocks. We use asymmetric conditional heteroscedasticity models with endogenously determined regime changes in a context of progressive moderation in both moments. The results suggest that recessions are associated with higher volatility and significant leverage effects. The estimated impacts of negative and positive shocks amount to 0.961 and 0.028, respectively. The disaggregated analysis over different periods reveals an increasing pattern of these asymmetries, as well as huge differences among the countries. The country-specific analysis suggest an increasing vulnerability to negative exogenous shocks in Australia, Denmark, Finland, Japan, Mexico, the Netherlands, Turkey and the United Kingdom, although with different levels, and decreasing vulnerability in Canada, Greece, Italy and New Zealand. Finally, some economies seem to have developed higher levels of immunity to external shocks by reaching balanced effects from positive and negative shocks. Among these are the largest European economies, together with the northern economies, the United States and the wealthiest economies of Luxembourg and Switzerland.SapientiaAndraz, Jorge MiguelNorte, Nélia2014-06-11T13:39:43Z20132014-06-04T16:55:24Z2013-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.1/4269engAndraz, Jorge L. M.; Norte, Nélia M.Output Volatility in the OECD: Are the Member States Becoming Less Vulnerable to Exogenous Shocks?, Economic Issues, 18, 2, 91-110, 2013AUT: JAN00657;info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-24T10:15:30Zoai:sapientia.ualg.pt:10400.1/4269Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T19:57:41.307519Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Output volatility in the OECD: are the member states becoming less vulnerable to exogenous shocks? |
title |
Output volatility in the OECD: are the member states becoming less vulnerable to exogenous shocks? |
spellingShingle |
Output volatility in the OECD: are the member states becoming less vulnerable to exogenous shocks? Andraz, Jorge Miguel GDP Volatility Business cycles GARCH Structural change |
title_short |
Output volatility in the OECD: are the member states becoming less vulnerable to exogenous shocks? |
title_full |
Output volatility in the OECD: are the member states becoming less vulnerable to exogenous shocks? |
title_fullStr |
Output volatility in the OECD: are the member states becoming less vulnerable to exogenous shocks? |
title_full_unstemmed |
Output volatility in the OECD: are the member states becoming less vulnerable to exogenous shocks? |
title_sort |
Output volatility in the OECD: are the member states becoming less vulnerable to exogenous shocks? |
author |
Andraz, Jorge Miguel |
author_facet |
Andraz, Jorge Miguel Norte, Nélia |
author_role |
author |
author2 |
Norte, Nélia |
author2_role |
author |
dc.contributor.none.fl_str_mv |
Sapientia |
dc.contributor.author.fl_str_mv |
Andraz, Jorge Miguel Norte, Nélia |
dc.subject.por.fl_str_mv |
GDP Volatility Business cycles GARCH Structural change |
topic |
GDP Volatility Business cycles GARCH Structural change |
description |
This paper analysis the vulnerability of the OECD member states to external shocks by estimating the degree of asymmetric effects from positive and negative shocks. We use asymmetric conditional heteroscedasticity models with endogenously determined regime changes in a context of progressive moderation in both moments. The results suggest that recessions are associated with higher volatility and significant leverage effects. The estimated impacts of negative and positive shocks amount to 0.961 and 0.028, respectively. The disaggregated analysis over different periods reveals an increasing pattern of these asymmetries, as well as huge differences among the countries. The country-specific analysis suggest an increasing vulnerability to negative exogenous shocks in Australia, Denmark, Finland, Japan, Mexico, the Netherlands, Turkey and the United Kingdom, although with different levels, and decreasing vulnerability in Canada, Greece, Italy and New Zealand. Finally, some economies seem to have developed higher levels of immunity to external shocks by reaching balanced effects from positive and negative shocks. Among these are the largest European economies, together with the northern economies, the United States and the wealthiest economies of Luxembourg and Switzerland. |
publishDate |
2013 |
dc.date.none.fl_str_mv |
2013 2013-01-01T00:00:00Z 2014-06-11T13:39:43Z 2014-06-04T16:55:24Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.1/4269 |
url |
http://hdl.handle.net/10400.1/4269 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Andraz, Jorge L. M.; Norte, Nélia M.Output Volatility in the OECD: Are the Member States Becoming Less Vulnerable to Exogenous Shocks?, Economic Issues, 18, 2, 91-110, 2013 AUT: JAN00657; |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799133189454692352 |