9781499136708 - Sectoral Allocation, Risk Efficiency and the Great Moderation by Federal Reserve Board (2 results)
Language: English
Published by Createspace Independent Publishing Platform, 2014
- Softcover
- Print on Demand
Seller: THE SAINT BOOKSTORE, Southport, United KingdomTHE SAINT BOOKSTORE
Contact seller5-star sellerCondition: New
US$ 23.64
US$ 16.24 shippingShips from United Kingdom to U.S.A.Quantity: Over 20 available
Paperback / softback. Condition: New. This item is printed on demand. New copy - Usually dispatched within 5-9 working days.
Language: English
Published by Createspace Independent Publishing Platform, 2014
- Softcover
- Print on Demand
Seller: CitiRetail, Stevenage, United KingdomCitiRetail
Contact seller5-star sellerCondition: New
US$ 27.34
US$ 49.13 shippingShips from United Kingdom to U.S.A.Quantity: 1 available
Paperback. Condition: new. Paperback. The decline in U.S. real GDP growth volatility after the mid 1980s was an outcome of more risk efficient and more diversified sectoral allocations. Using a portfolio approach, I distinguish between the two determinants of GDP growth volatility: sectoral covariances and sectoral allocations.…I use the sectoral growth and covariances to compute the growth-volatility frontier of the economy. I define the efficiency of the actual sectoral allocation as the distance of the economy from the frontier, measured in the (volatility, growth) space. There are three main findings. 1) The frontier has shifted due to a lower sectoral growth rate and a higher sectoral variance. 2) The distance of the economy from the frontier has decreased. The efficiency over the period increased by 1.4 percentage points. This increase occurred along the volatility dimension and it is interpreted as the decline in the growth volatility in the economy, if there were no changes in the sectoral covariances. This efficiency improvement is comparable to the 1.5 percentage points decline in GDP growth volatility in the data after the mid 1980s. 3) The U.S. economy became more diversified across sectors after the early 1980s, shifting away from manufacturing and agriculture towards services. The increase in the share of Finance and Insurance coupled with the doubling of the growth volatility in this sector, might have contributed to the recent increase in GDP growth volatility. This item is printed on demand. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability.
