Measuring macroeconomic instability

Joël Cariolle highlights the benefits of volatility indicators which go beyond simple traditional variance-based indicators emphasizing the magnitude of volatility.

Volatility measures based on skewness (predominance of positive or negative shocks) and kurtosis (likelihood of extreme shocks) of a distribution may give additional insights on the effects of economic volatility, particularly relevant for the analysis of specific economic behaviors. Indicators’ calculation principles, and their main characteristics, are illustrated through the case of export revenue instability for 134 countries (developed and in development) over the period 1970-2005.


Version : 2012-03-01
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