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Modeling the Volatility of Real GDP Growth: The Case of Argentine Regions
Název práce v češtině: Modeling the Volatility of Real GDP Growth: The Case of Argentine Regions
Název v anglickém jazyce: Modeling the Volatility of Real GDP Growth: The Case of Argentine Regions
Akademický rok vypsání: 2021/2022
Typ práce: diplomová práce
Jazyk práce: angličtina
Ústav: Institut ekonomických studií (23-IES)
Vedoucí / školitel: Nino Buliskeria
Řešitel:
Seznam odborné literatury
Barbara, D., Li, C., Jing, Y., & Samuel, A. (2022). Modeling and forecast of Ghana’s GDP using Arima-GARCH model. OA Library Journal, 09(01), 1–16. https://doi.org/10.4236/oalib.1108335

Blanco, E., Elosegui, P., Izaguirre, A., & Montes-Rojas, G. (2019, September 13). Regional and state heterogeneity of monetary shocks in Argentina. The Journal of Economic Asymmetries. Retrieved February 3, 2022, from https://www.sciencedirect.com/science/article/pii/S1703494919300684 

Cavallo, A., Cruces, G., & Perez-Truglia, R. (2016, March). LEARNING FROM POTENTIALLY-BIASED STATISTICS: HOUSEHOLD INFLATION PERCEPTIONS AND EXPECTATIONS IN ARGENTINA. NBER. Retrieved February 3, 2022, from https://www.nber.org/system/files/working_papers/w22103/w22103.pdf 

Cooper, R., Kempf, H., & Peled, D. (2009, September 10). Regional debt in Monetary Unions: Is it inflationary? European Economic Review. Retrieved February 3, 2022, from https://www.sciencedirect.com/science/article/pii/S0014292109000877 

Fang, W. S., & Miller, S. M. (2008, December). Modeling the Volatility of Real GDP Growth: The Case of Japan Revisited. OpenCommons. Retrieved February 3, 2022, from https://core.ac.uk/display/302380641 

Hamori, S. (2000). Volatility of real GDP: Some evidence from the United States, the United Kingdom and Japan. Japan and the World Economy, 12(2), 143–152. https://doi.org/10.1016/s0922-1425(99)00032-8

Michalski, T., & Stoltz, G. (2011, July 15). DO countries falsify economic data strategically? some evidence that they might. Review of Economics and Statistics. Retrieved February 3, 2022, from https://halshs.archives-ouvertes.fr/halshs-00482106v3 

Saha, Mallika., Dutta, Kumar Debasis., & Islam, Shafiqul (2020). Indian Journal of Economics & Business, 20(1). http://www.ashwinanokha.com/resources/3-Explaining%20the%20nature%20of%20economic%20volatility.pdf

Sawers, L. (2019, September 27). The other Argentina: The interior and national development. Taylor& Francis. Retrieved February 3, 2022, from https://www.taylorfrancis.com/books/mono/10.4324/9780429496073/argentina-larry-sawers 

Thornton, J. (2007, May 8). Inflation and inflation uncertainty in Argentina, 1810–2005. Economics Letters. Retrieved February 3, 2022, from https://www.sciencedirect.com/science/article/abs/pii/S0165176507001619 

Veigel, K. F. (2009). Dictatorship, democracy, and globalization: Argentina and the cost of paralysis, 1973-2001. University Park (Pennsylvania): The Pennsylvania State University.

Yavuz, N., & Güriş, B. (2004). Volatility in the growth rate of real GNP: Evidence from Turkey. DeriPark Organisation. Retrieved February 1, 2022, from https://dergipark.org.tr/tr/download/article-file/252059
Předběžná náplň práce
Argentina was once amongst the wealthiest regions on the planet. The vast agricultural possibilities of the ‘pampas’ along with the sprawling metropolis of Buenos Aires attracted immigration from around the world – in the 20th century, primarily Europe. However, in the aftermath of the Great Depression, the status of Argentina as a beacon of light gradually vanished.

Given the vast dissimilarities of the Argentine regions, it is crucial to understand to what extent some regions were affected compared to others or whether the decline was uniform across the Argentine States. Extensive economic history research has been conducted on Argentine regional differences (Sawers, 1998; Kolmhofer, 2003). However, such research is often based on qualitative analysis and lacks a quantitative foundation. Others have studied the determinants of the effect of monetary conditions in various regions (Cooper et al., 2009). They analyze regional causes and effects of inflation, concluding that regional debt, known as ‘soft’ debt, is often monetized by the central bank, leading to inflationary patterns in Argentina. Therefore, other scholars have aimed to estimate the effect of interest rate increases on a regional basis and concluded that regions are heterogeneous in terms of the impact of a rate hike on employment and output growth (Blanco et al., 2019). Although such studies indicate dissimilarities in regional decline patterns in Argentina, they fail to define the extent of those dissimilarities clearly.

This study aims to apply GARCH models to the various Argentine regions and identify how the volatility of real regional GDP growth differs and how structural break patterns affect regions differently. GARCH modeling of real GDP and GDP growth volatility has been conducted by various scholars aiming to analyze volatility patterns in the United States, the United Kingdom, Japan, Turkey, and Ghana (Hamori, 2000; Fang et al., 2008; Yavuz et al. 2004, Mallika et al. 2020). In this regard, this study aims to follow previous real GDP volatility studies, applying the methodology to Argentine regions rather than nation-states.
Předběžná náplň práce v anglickém jazyce
Argentina was once amongst the wealthiest regions on the planet. The vast agricultural possibilities of the ‘pampas’ along with the sprawling metropolis of Buenos Aires attracted immigration from around the world – in the 20th century, primarily Europe. However, in the aftermath of the Great Depression, the status of Argentina as a beacon of light gradually vanished.

Given the vast dissimilarities of the Argentine regions, it is crucial to understand to what extent some regions were affected compared to others or whether the decline was uniform across the Argentine States. Extensive economic history research has been conducted on Argentine regional differences (Sawers, 1998; Kolmhofer, 2003). However, such research is often based on qualitative analysis and lacks a quantitative foundation. Others have studied the determinants of the effect of monetary conditions in various regions (Cooper et al., 2009). They analyze regional causes and effects of inflation, concluding that regional debt, known as ‘soft’ debt, is often monetized by the central bank, leading to inflationary patterns in Argentina. Therefore, other scholars have aimed to estimate the effect of interest rate increases on a regional basis and concluded that regions are heterogeneous in terms of the impact of a rate hike on employment and output growth (Blanco et al., 2019). Although such studies indicate dissimilarities in regional decline patterns in Argentina, they fail to define the extent of those dissimilarities clearly.

This study aims to apply GARCH models to the various Argentine regions and identify how the volatility of real regional GDP growth differs and how structural break patterns affect regions differently. GARCH modeling of real GDP and GDP growth volatility has been conducted by various scholars aiming to analyze volatility patterns in the United States, the United Kingdom, Japan, Turkey, and Ghana (Hamori, 2000; Fang et al., 2008; Yavuz et al. 2004, Mallika et al. 2020). In this regard, this study aims to follow previous real GDP volatility studies, applying the methodology to Argentine regions rather than nation-states.
 
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