Scaling the volatility of GDP growth rates

Canning D, Amaral LAN, Lee Y, Meyer M, Stanley HE
Economics Letters 60,  335 - 341 (1998)
Times cited: 81
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Abstract

The distribution of shocks to GDP growth rates is found to be exponential rather than normal. Their standard deviation scales with GDP (beta) where beta = 0.15 +/ 0.03. These macroeconomic results place restrictions on the microeconomic structure of interactions between agents.