Revisiting the link between finance and macroeconomic volatility /

Revisiting the link between finance and macroeconomic volatility /

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Bibliographic Details
Author / Creator:Dabla-Norris, Era, author.
Imprint:[Washington, D.C.] : International Monetary Fund, ©2013.
Description:1 online resource (35 pages) : illustrations
Language:English
Series:IMF working paper ; WP/13/29
IMF working paper ; WP/13/29.
Subject:
Finance -- Developing countries -- Econometric models.
Finance -- Developed countries -- Econometric models.
Macroeconomics -- Econometric models.
Finance -- Econometric models.
Macroeconomics -- Econometric models.
Developed countries.
Developing countries.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/12501630
Hidden Bibliographic Details
Other authors / contributors:Srivisal, Narapong, author.
International Monetary Fund. Strategy, Policy, and Review Department.
ISBN:9781475548259
1475548257
9781475550825
1475550820
9781475543988
Notes: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.
Summary: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.
Table of 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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