Scaling of Growth Rate Volatility for Six Macroeconomic Variables
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 g...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
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University of Economics and Human Sciences in Warsaw
2012-06-01
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| Series: | Contemporary Economics |
| Online Access: | http://ce.vizja.pl/en/download-pdf/id/242 |
| _version_ | 1797426979248537600 |
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| author | Boris Podobnik Davor Horvatic Djuro Njavro Mato Njavro H. Eugene Stanley |
| author_facet | Boris Podobnik Davor Horvatic Djuro Njavro Mato Njavro H. Eugene Stanley |
| author_sort | Boris Podobnik |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-09T08:38:36Z |
| format | Article |
| id | doaj.art-3a221fe376294e48a629638336ccde59 |
| institution | Directory Open Access Journal |
| issn | 2084-0845 |
| language | English |
| last_indexed | 2024-03-09T08:38:36Z |
| publishDate | 2012-06-01 |
| publisher | University of Economics and Human Sciences in Warsaw |
| record_format | Article |
| series | Contemporary Economics |
| spelling | doaj.art-3a221fe376294e48a629638336ccde592023-12-02T17:35:06ZengUniversity of Economics and Human Sciences in WarsawContemporary Economics2084-08452012-06-016219010.5709/ce.1897-9254.45Scaling of Growth Rate Volatility for Six Macroeconomic VariablesBoris PodobnikDavor HorvaticDjuro NjavroMato NjavroH. Eugene StanleyWe 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.http://ce.vizja.pl/en/download-pdf/id/242 |
| spellingShingle | Boris Podobnik Davor Horvatic Djuro Njavro Mato Njavro H. Eugene Stanley Scaling of Growth Rate Volatility for Six Macroeconomic Variables Contemporary Economics |
| title | Scaling of Growth Rate Volatility for Six Macroeconomic Variables |
| title_full | Scaling of Growth Rate Volatility for Six Macroeconomic Variables |
| title_fullStr | Scaling of Growth Rate Volatility for Six Macroeconomic Variables |
| title_full_unstemmed | Scaling of Growth Rate Volatility for Six Macroeconomic Variables |
| title_short | Scaling of Growth Rate Volatility for Six Macroeconomic Variables |
| title_sort | scaling of growth rate volatility for six macroeconomic variables |
| url | http://ce.vizja.pl/en/download-pdf/id/242 |
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