دانلود مقاله ISI انگلیسی شماره 97826
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
97826 2018 20 صفحه PDF سفارش دهید 12415 کلمه
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عنوان انگلیسی
Measuring the international dimension of output volatility
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of International Money and Finance, Volume 81, March 2018, Pages 20-39

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چکیده انگلیسی

This paper studies output fluctuations in a panel of OECD economies with the aim to decompose the evolution in output volatility into domestic and international factors. To this end we use a factor-augmented dynamic panel model with both domestic and international shocks and spillovers between countries through trade linkages. Changes in the volatility of output growth can be due to time-varying sensitivity to these shocks, changes in the propagation mechanism or shifts in the variances of shocks. We explicitly model cross-sectional dependence in the variance equation by specifying a common factor structure in the volatility of domestic shocks. The results show that while the size of international shocks and spillovers does not decrease in most countries, the volatilities of domestic shocks share a clear common decreasing trend. Hence, the ‘Great Moderation’ appears to be mainly driven by a decline in the volatility of domestic shocks rather than smaller international shocks.

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