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  • 标题:Scaling of Growth Rate Volatility for Six Macroeconomic Variables
  • 本地全文:下载
  • 作者:Boris Podobnik ; Davor Horvatic ; Djuro Njavro
  • 期刊名称:Contemporary Economics
  • 印刷版ISSN:2084-0845
  • 出版年度:2012
  • 卷号:6
  • 期号:2
  • 页码:20-25
  • DOI:10.5709/ce.1897-9254.45
  • 出版社:University of Finance and Management, Warsaw
  • 摘要: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.
  • 关键词:composite index; complex phenomena; dynamics
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