@techreport{NBERw18556,
 title = "On the Link Between the Volatility and Skewness of Growth",
 author = "Geert Bekaert and Alexander Popov",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "18556",
 year = "2012",
 month = "November",
 URL = "http://www.nber.org/papers/w18556",
 abstract = {In a sample of 110 countries, we document a positive relation between the volatility and skewness of growth in the cross-section, but a negative relation in panel data with country fixed effects. The negative relation between volatility and skewness in panel data is driven by business cycle variation in rich countries. The long-run cross-sectional relation is related to two distinct phenomena: sudden and short-lived growth spurts in mostly developing countries, and sharp crises in mostly developed countries, following the build-up of leverage during low-volatility periods. The former phenomenon is driven by one of the following events in mostly developing countries: industrialization, macroeconomic stabilisation, and the discovery and exploitation of natural resources. The latter phenomenon is consistent with recent theories of financial frictions.},
}