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Growth and Volatility Nexus in Sub‐Saharan Africa
Author(s) -
Mekonnen Jemberu Lulie,
Dogruel Ali Suut
Publication year - 2018
Publication title -
african development review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.654
H-Index - 32
eISSN - 1467-8268
pISSN - 1017-6772
DOI - 10.1111/1467-8268.12322
Subject(s) - endogeneity , volatility (finance) , economics , econometrics , nexus (standard) , forward volatility , monetary economics , stochastic volatility , computer science , embedded system
Using cross‐sectional and panel data estimation techniques with various methods of volatility measures, we have found a significant negative impact of growth volatility on growth for 35 sub‐Saharan African countries from 1980 to 2013. When we consider the possible endogeneity of growth volatility, we obtained a more strong negative relationship. Decade by decade regression indicates a decline in the volatility effect over time for standard deviation based method. Nevertheless, volatility coefficient of one decade does not significantly vary from the other decade when we test for the equality of the coefficients. We further classified SSA countries into ‘resource rich’ and ‘resource non‐rich’ so as to observe if volatility varies by resource within the region. Although the latter groups seem to have a stronger negative relationship, it is the ‘resource rich’ countries which have a stronger negative relationship when endogeneity of growth volatility is taken into account.