Scaling of Growth Rate Volatility for Six Macroeconomic Variables

• Autorzy: Boris Podobnik , Davor Horvatic , Djuro Njavro , Mato Njavro , H. Eugene Stanley
• Języki publikacji: EN

Abstrakty

EN

We study the annual growth rates of six macroeconomic variables: public debt, public health expenditures, exports of goods, government consumption expenditures, total exports of goods and services, and total imports of goods and services. For each variable, we find (i) that the distribution of the growth rate residuals approximately follows a double exponential (Laplace) distribution and (ii) that the standard deviation of growth rate residuals scales according to the size of the variable as a power law, with a scaling exponent similar to the scaling exponent found for GDP [Economics Letters 60, 335 (1998)]. We hypothesise that the volatility scaling we find for these GDP constituents causes the volatility scaling found in GDP data. (original abstract)

Słowa kluczowe

EN

Dynamic analysis; Gross domestic product (GDP)

PL

Analiza dynamiczna; Produkt krajowy brutto (PKB)

• Czasopismo: Contemporary Economics
• Rocznik: 2012
• Tom: 6
• Numer: nr 2
• Strony: 20--25

Twórcy

autor

Boris Podobnik

• Zagreb School of Economics and Management, Croatia; University of Rijeka, Croatia; Boston University, USA

autor

Davor Horvatic

• University of Zagreb, Croatia

autor

Djuro Njavro

• Zagreb School of Economics and Management, Croatia

autor

Mato Njavro

• University of St. Gallen, Switzerland

autor

H. Eugene Stanley

• Boston University, USA

Bibliografia

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Identyfikatory

DOI

10.5709/ce.1897-9254.45