دانلود رایگان مقاله تجزیه تغییرات در واریانس شرطی تولید ناخالص داخلی در طول زمان

Abstract

A well established fact in the growth empirics literature is the increasing (unconditional) variation in output per capita across countries. We propose a nonparametric decomposition of the conditional variation of output per capita across countries to capture different channels over which the variation might be increasing. We find that OECD countries have experienced diminishing conditional variation while other regions have experienced increasing conditional variation. Our decomposition suggests that most of these changes in the conditional variance of output are due to unobserved factors not accounted for by the traditional growth determinants. In addition to this we show that these factors played very different roles over time and across regions.

5. Implications and future research

This paper has taken a step towards the systematic study of changes in the conditional variance of cross-country output. We suggested construction of the conditional density to parse the second moment and investigate changes over time. This measure of conditional variation was further decomposed into two distinct pieces, a ‘covariate’ effect and a ‘time’ effect. The covariate effect uncovers the impact of the covariates on the conditional variance while the time effect examines unexplained changes in the conditional variation, such as total factor productivity and pure time dependent heteroscedasticity. We found that changes in covariate accumulation plays a relevant role, explaining almost 50% of the overall change in the conditional variance over time. This usually presents itself in the form of divergence, leading to an expanding conditional variance over time, especially for the sub-period 1960–1980, while for the 1980–2010 subperiod this effect suggest conditional convergence. We compared results across blocs of countries and found that the sub-Saharan bloc experienced the greatest conditional divergence while the OECD bloc was the only one to experience conditional convergence. The time effect also represents a substantial predictor for changes in the conditional variation of the conditional density of cross-country output. The time effect is the largest for the sub-Saharan bloc. We also furthered the insights from our decomposition results by considering further decompositions of each of the individual effects, time and covariate, as well as looking at the impact of changes for single covariates. Our findings suggest that the sub-Saharan bloc of countries experienced the largest change in the covariate and time effects moving from the 1960–1980 and 1980–2010 period. The individual covariate effects suggest that education contributed the greatest to changes in the conditional variation over time. Additionally, our exercise shows the usual catching up of the Asian bloc after 1980, mainly driven by factors of accumulation and a modest time effect (implying a role for other variables such as institutions that drives this accumulation process).