Revisiting the link between finance and macroeconomic volatility /:
This paper examines the impact of financial depth on macroeconomic volatility using a dynamic panel analysis for 110 advanced and developing countries. We find that financial depth plays a significant role in dampening the volatility of output, consumption, and investment growth, but only up to a ce...
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| Hauptverfasser: | , |
|---|---|
| Körperschaft: | |
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
[Washington, D.C.] :
International Monetary Fund,
©2013.
|
| Schriftenreihe: | IMF working paper ;
WP/13/29. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | This paper examines the impact of financial depth on macroeconomic volatility using a dynamic panel analysis for 110 advanced and developing countries. We find that financial depth plays a significant role in dampening the volatility of output, consumption, and investment growth, but only up to a certain point. At very high levels, such as those observed in many advanced economies, financial depth amplifies consumption and investment volatility. We also find strong evidence that deeper financial systems serve as shock absorbers, mitigating the negative effects of real external shocks on macroeconomic volatility. This smoothing effect is particularly pronounced for consumption volatility in environments of high exposure - when trade and financial openness are high - suggesting significant gains from further financial deepening in developing countries. |
| Beschreibung: | Title from PDF title page (IMF Web site, viewed March 19, 2013). At head of title: "Strategy, Policy, and Review Department." "January 2013." |
| Beschreibung: | 1 online resource (35 pages) : illustrations |
| Bibliographie: | Includes bibliographical references. |
| ISBN: | 9781475548259 1475548257 9781475550825 1475550820 |
Internformat
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| 245 | 1 | 0 | |a Revisiting the link between finance and macroeconomic volatility / |c Era Dabla-Norris and Narapong Srivisal. |
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| 500 | |a Title from PDF title page (IMF Web site, viewed March 19, 2013). | ||
| 500 | |a At head of title: "Strategy, Policy, and Review Department." | ||
| 500 | |a "January 2013." | ||
| 504 | |a Includes bibliographical references. | ||
| 520 | 3 | |a This paper examines the impact of financial depth on macroeconomic volatility using a dynamic panel analysis for 110 advanced and developing countries. We find that financial depth plays a significant role in dampening the volatility of output, consumption, and investment growth, but only up to a certain point. At very high levels, such as those observed in many advanced economies, financial depth amplifies consumption and investment volatility. We also find strong evidence that deeper financial systems serve as shock absorbers, mitigating the negative effects of real external shocks on macroeconomic volatility. This smoothing effect is particularly pronounced for consumption volatility in environments of high exposure - when trade and financial openness are high - suggesting significant gains from further financial deepening in developing countries. | |
| 505 | 0 | |a Cover; Abstract; Contents; I. Introduction; II. Theoretical and Empirical Evidence; III. Methodology and Data; IV. Regression Results; A. Baseline Results; Non-linear relationship; B. Shocks; Controlling for shocks; Interacting financial depth and exogenous shocks; Financial Depth, shocks, and structural characteristics; V. Robustness Checks; Other robustness tests; VI. Conclusions; Figures; 1. Financial Depth and Macroeconomic Volatility, 1974-2008; 2. Marginal Effect of Private Credit on Final Consumption Volatility; Tables; 1. Summary Statistics; 2. Correlation Matrix. | |
| 505 | 8 | |a 3. Financial Depth and Volatility: Cross-Section Regressions (OLS)4. Financial Depth and Volatility: Panel Regressions (GMM); 5. Non-linear Relationship Between Financial Depth and Volatility: Panel Regressions (GMM); 6. Financial Depth, Shocks, and Macroeconomic Volatility: Panel-Regressions (GMM); 7. Interacting Financial Depth and External Shocks: Panel-Regressions (GMM); 8. Financial Depth, External Shocks, and Trade Openness: Panel-Regressions (GMM); 9. Financial Depth, External Shocks, and Financial Openness: Panel-Regressions (GMM). | |
| 505 | 8 | |a 10. Financial Depth and HP-filtered Volatility: Panel-Regressions (GMM)11. Alternative Measures of Financial Depth: Panel-Regressions (GMM); 12. Financial Depth and Commodity Export Shocks: Panel-Regressions (GMM); 13. Financial Depth and Volatility over Different Time Horizons: Panel-Regressions (GMM); Appendixes; 1. List of Countries; 2. Variables Used in Regression Analysis; References. | |
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| 651 | 7 | |a Developed countries |2 fast | |
| 651 | 7 | |a Developing countries |2 fast | |
| 700 | 1 | |a Srivisal, Narapong, |e author. | |
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| author | Dabla-Norris, Era Srivisal, Narapong |
| author_GND | http://id.loc.gov/authorities/names/no99084010 |
| author_corporate | International Monetary Fund. Strategy, Policy, and Review Department |
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| author_facet | Dabla-Norris, Era Srivisal, Narapong International Monetary Fund. Strategy, Policy, and Review Department |
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| contents | Cover; Abstract; Contents; I. Introduction; II. Theoretical and Empirical Evidence; III. Methodology and Data; IV. Regression Results; A. Baseline Results; Non-linear relationship; B. Shocks; Controlling for shocks; Interacting financial depth and exogenous shocks; Financial Depth, shocks, and structural characteristics; V. Robustness Checks; Other robustness tests; VI. Conclusions; Figures; 1. Financial Depth and Macroeconomic Volatility, 1974-2008; 2. Marginal Effect of Private Credit on Final Consumption Volatility; Tables; 1. Summary Statistics; 2. Correlation Matrix. 3. Financial Depth and Volatility: Cross-Section Regressions (OLS)4. Financial Depth and Volatility: Panel Regressions (GMM); 5. Non-linear Relationship Between Financial Depth and Volatility: Panel Regressions (GMM); 6. Financial Depth, Shocks, and Macroeconomic Volatility: Panel-Regressions (GMM); 7. Interacting Financial Depth and External Shocks: Panel-Regressions (GMM); 8. Financial Depth, External Shocks, and Trade Openness: Panel-Regressions (GMM); 9. Financial Depth, External Shocks, and Financial Openness: Panel-Regressions (GMM). 10. Financial Depth and HP-filtered Volatility: Panel-Regressions (GMM)11. Alternative Measures of Financial Depth: Panel-Regressions (GMM); 12. Financial Depth and Commodity Export Shocks: Panel-Regressions (GMM); 13. Financial Depth and Volatility over Different Time Horizons: Panel-Regressions (GMM); Appendixes; 1. List of Countries; 2. Variables Used in Regression Analysis; References. |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.09 |
| dewey-search | 332.09 |
| dewey-sort | 3332.09 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| indexdate | 2024-11-26T14:49:09Z |
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| series | IMF working paper ; |
| series2 | IMF working paper ; |
| spelling | Dabla-Norris, Era, author. http://id.loc.gov/authorities/names/no99084010 Revisiting the link between finance and macroeconomic volatility / Era Dabla-Norris and Narapong Srivisal. [Washington, D.C.] : International Monetary Fund, ©2013. 1 online resource (35 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier IMF working paper ; WP/13/29 Title from PDF title page (IMF Web site, viewed March 19, 2013). At head of title: "Strategy, Policy, and Review Department." "January 2013." Includes bibliographical references. This paper examines the impact of financial depth on macroeconomic volatility using a dynamic panel analysis for 110 advanced and developing countries. We find that financial depth plays a significant role in dampening the volatility of output, consumption, and investment growth, but only up to a certain point. At very high levels, such as those observed in many advanced economies, financial depth amplifies consumption and investment volatility. We also find strong evidence that deeper financial systems serve as shock absorbers, mitigating the negative effects of real external shocks on macroeconomic volatility. This smoothing effect is particularly pronounced for consumption volatility in environments of high exposure - when trade and financial openness are high - suggesting significant gains from further financial deepening in developing countries. Cover; Abstract; Contents; I. Introduction; II. Theoretical and Empirical Evidence; III. Methodology and Data; IV. Regression Results; A. Baseline Results; Non-linear relationship; B. Shocks; Controlling for shocks; Interacting financial depth and exogenous shocks; Financial Depth, shocks, and structural characteristics; V. Robustness Checks; Other robustness tests; VI. Conclusions; Figures; 1. Financial Depth and Macroeconomic Volatility, 1974-2008; 2. Marginal Effect of Private Credit on Final Consumption Volatility; Tables; 1. Summary Statistics; 2. Correlation Matrix. 3. Financial Depth and Volatility: Cross-Section Regressions (OLS)4. Financial Depth and Volatility: Panel Regressions (GMM); 5. Non-linear Relationship Between Financial Depth and Volatility: Panel Regressions (GMM); 6. Financial Depth, Shocks, and Macroeconomic Volatility: Panel-Regressions (GMM); 7. Interacting Financial Depth and External Shocks: Panel-Regressions (GMM); 8. Financial Depth, External Shocks, and Trade Openness: Panel-Regressions (GMM); 9. Financial Depth, External Shocks, and Financial Openness: Panel-Regressions (GMM). 10. Financial Depth and HP-filtered Volatility: Panel-Regressions (GMM)11. Alternative Measures of Financial Depth: Panel-Regressions (GMM); 12. Financial Depth and Commodity Export Shocks: Panel-Regressions (GMM); 13. Financial Depth and Volatility over Different Time Horizons: Panel-Regressions (GMM); Appendixes; 1. List of Countries; 2. Variables Used in Regression Analysis; References. Finance Developing countries Econometric models. Finance Developed countries Econometric models. Macroeconomics Econometric models. http://id.loc.gov/authorities/subjects/sh2008107159 Finances Pays industrialisés Modèles économétriques. BUSINESS & ECONOMICS Finance. bisacsh Finance Econometric models fast Macroeconomics Econometric models fast Developed countries fast Developing countries fast Srivisal, Narapong, author. International Monetary Fund. Strategy, Policy, and Review Department. http://id.loc.gov/authorities/names/no2009043117 has work: Revisiting the link between finance and macroeconomic volatility (Text) https://id.oclc.org/worldcat/entity/E39PCFJ9fwd7QvmXkqJyYJfM8y https://id.oclc.org/worldcat/ontology/hasWork IMF working paper ; WP/13/29. http://id.loc.gov/authorities/names/no89010263 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=548045 Volltext |
| spellingShingle | Dabla-Norris, Era Srivisal, Narapong Revisiting the link between finance and macroeconomic volatility / IMF working paper ; Cover; Abstract; Contents; I. Introduction; II. Theoretical and Empirical Evidence; III. Methodology and Data; IV. Regression Results; A. Baseline Results; Non-linear relationship; B. Shocks; Controlling for shocks; Interacting financial depth and exogenous shocks; Financial Depth, shocks, and structural characteristics; V. Robustness Checks; Other robustness tests; VI. Conclusions; Figures; 1. Financial Depth and Macroeconomic Volatility, 1974-2008; 2. Marginal Effect of Private Credit on Final Consumption Volatility; Tables; 1. Summary Statistics; 2. Correlation Matrix. 3. Financial Depth and Volatility: Cross-Section Regressions (OLS)4. Financial Depth and Volatility: Panel Regressions (GMM); 5. Non-linear Relationship Between Financial Depth and Volatility: Panel Regressions (GMM); 6. Financial Depth, Shocks, and Macroeconomic Volatility: Panel-Regressions (GMM); 7. Interacting Financial Depth and External Shocks: Panel-Regressions (GMM); 8. Financial Depth, External Shocks, and Trade Openness: Panel-Regressions (GMM); 9. Financial Depth, External Shocks, and Financial Openness: Panel-Regressions (GMM). 10. Financial Depth and HP-filtered Volatility: Panel-Regressions (GMM)11. Alternative Measures of Financial Depth: Panel-Regressions (GMM); 12. Financial Depth and Commodity Export Shocks: Panel-Regressions (GMM); 13. Financial Depth and Volatility over Different Time Horizons: Panel-Regressions (GMM); Appendixes; 1. List of Countries; 2. Variables Used in Regression Analysis; References. Finance Developing countries Econometric models. Finance Developed countries Econometric models. Macroeconomics Econometric models. http://id.loc.gov/authorities/subjects/sh2008107159 Finances Pays industrialisés Modèles économétriques. BUSINESS & ECONOMICS Finance. bisacsh Finance Econometric models fast Macroeconomics Econometric models fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh2008107159 |
| title | Revisiting the link between finance and macroeconomic volatility / |
| title_auth | Revisiting the link between finance and macroeconomic volatility / |
| title_exact_search | Revisiting the link between finance and macroeconomic volatility / |
| title_full | Revisiting the link between finance and macroeconomic volatility / Era Dabla-Norris and Narapong Srivisal. |
| title_fullStr | Revisiting the link between finance and macroeconomic volatility / Era Dabla-Norris and Narapong Srivisal. |
| title_full_unstemmed | Revisiting the link between finance and macroeconomic volatility / Era Dabla-Norris and Narapong Srivisal. |
| title_short | Revisiting the link between finance and macroeconomic volatility / |
| title_sort | revisiting the link between finance and macroeconomic volatility |
| topic | Finance Developing countries Econometric models. Finance Developed countries Econometric models. Macroeconomics Econometric models. http://id.loc.gov/authorities/subjects/sh2008107159 Finances Pays industrialisés Modèles économétriques. BUSINESS & ECONOMICS Finance. bisacsh Finance Econometric models fast Macroeconomics Econometric models fast |
| topic_facet | Finance Developing countries Econometric models. Finance Developed countries Econometric models. Macroeconomics Econometric models. Finances Pays industrialisés Modèles économétriques. BUSINESS & ECONOMICS Finance. Finance Econometric models Macroeconomics Econometric models Developed countries Developing countries |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=548045 |
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