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Full-Text Articles in Social and Behavioral Sciences
Robust Multiple Regimes In Growth Volatility, Andros Kourtellos, Ioanna Stylianou, Chih Ming Tan
Robust Multiple Regimes In Growth Volatility, Andros Kourtellos, Ioanna Stylianou, Chih Ming Tan
Economics & Finance Faculty Publications
In this paper, we uncover growth volatility regimes and identify their robust determinants using a large international panel of countries. In doing so, we propose a novel empirical methodology that allows us to simultaneously deal with two key elements of model uncertainty, namely theory uncertainty and parameter heterogeneity, by unifying two recent econometric techniques: Bayesian model averaging and threshold regression. We find ample evidence of parameter heterogeneity and model uncertainty. Our results highlight the role of ethnic fractionalization, institutions, financial development, health, and geography.
The Effect Of Public Debt On Growth In Multiple Regimes, Andros Kourtellos, Thanasis Stengos, Chih Ming Tan
The Effect Of Public Debt On Growth In Multiple Regimes, Andros Kourtellos, Thanasis Stengos, Chih Ming Tan
Economics & Finance Faculty Publications
We employ a structural threshold regression methodology to investigate the heterogeneous effects of debt on growth using public debt as a threshold variable as well as several other plausible variables. Our methodology allows us to address parameter heterogeneity that characterizes cross-country growth data and at the same time account for endogeneity. We find strong evidence for threshold effects based on democracy, which implies that higher public debt results in lower growth for countries in the Low-Democracy regime. Our results are consistent with the presence of parameter heterogeneity in the cross-country growth process due to fundamental determinants of economic growth proposed …