The Econometrics of Finance and Growth
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World Bank, Washington, DC
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This paper reviews different econometric
methodologies to assess the relationship between financial
development and growth. It illustrates the identification
problem, which is at the center of the finance and growth
literature, using the example of a simple Ordinary Least
Squares estimation. It discusses cross-sectional and panel
instrumental variable approaches to overcome the
identification problem. It presents the time-series
approach, which focuses on the forecast capacity of
financial development for future growth rates, and
differences-in-differences techniques that try to overcome
the identification problem by assessing the differential
effect of financial sector development across states with
different policies or across industries with different needs
for external finance. Finally, it discusses firm-level and
household approaches that allow analysts to dig deeper into
the channels and mechanisms through which financial
development enhances growth and welfare, but pose their own
methodological challenges.
Palabras clave
ABSENCE OF CREDIT, ACCESS TO CREDIT, ACCESS TO FINANCE, ACCESS TO FINANCIAL SERVICES, ACCOUNTING, AGGREGATE LEVEL, AGRICULTURE, AMOUNT OF CREDIT, ANNUAL GROWTH, ANNUAL GROWTH RATE, AUTOREGRESSION, AVERAGE GROWTH, AVERAGE GROWTH RATE, BAD BANKS, BANK BRANCH, BANK POLICY, BANKING CRISIS, BANKING INSTITUTIONS, BANKING SECTOR, BANKING SECTOR DEVELOPMENT, BANKING SYSTEMS, BANKS, BENCHMARK, BIASES, BOND, BONDS, BORROWING, BUSINESS CYCLE, CAPITAL ACCUMULATION, CAPITAL ALLOCATION, CASH FLOW, CASH HOLDINGS, COMPETITIVENESS, CONSUMER CREDIT, CONSUMPTION EXPENDITURES, CORPORATE GOVERNANCE, COUNTRY CHARACTERISTICS, COUNTRY DATA, COUNTRY REGRESSIONS, COUNTRY SPECIFIC, COVARIANCE MATRIX, CREDIT ACCESS, CREDIT CONSTRAINED FIRMS, CREDIT CONSTRAINTS, CREDIT INSTITUTION, CREDIT MARKET, CREDIT PROGRAM, CREDIT PROGRAMS, DATA SETS, DEMAND FOR MONEY, DEPENDENT VARIABLE, DEPOSIT, DEPOSIT INSURANCE, DEREGULATION, DEVELOPED COUNTRIES, DEVELOPING COUNTRIES, DEVELOPMENT ECONOMICS, DEVELOPMENT INDICATORS, DEVELOPMENT RESEARCH, DISAGGREGATED LEVEL, DYNAMIC PANEL, EARNINGS, ECONOMETRIC MODELS, ECONOMETRICS, ECONOMIC DEVELOPMENT, ECONOMIC GROWTH, ECONOMIC HISTORY, ECONOMIC LITERATURE, ECONOMIC PERFORMANCE, ECONOMIC STATISTICS, ECONOMIC STUDIES, ECONOMICS, ECONOMICS LETTERS, EMPIRICAL STUDIES, EMPLOYMENT EQUATIONS, ENDOGENOUS VARIABLES, ERROR TERM, ERROR TERMS, ESTIMATION TECHNIQUES, EXCLUSION, EXOGENOUS VARIABLES, EXPENDITURES, EXPLANATORY VARIABLES, EXTERNAL FINANCE, EXTERNAL FINANCING, FARMERS, FEDERAL RESERVE, FINANCIAL DEPTH, FINANCIAL DEVELOPMENT, FINANCIAL FRAGILITY, FINANCIAL INFORMATION, FINANCIAL INSTITUTIONS, FINANCIAL INTERMEDIARIES, FINANCIAL INTERMEDIARY, FINANCIAL INTERMEDIATION, FINANCIAL LIBERALIZATION, FINANCIAL MARKETS, FINANCIAL OUTREACH, FINANCIAL SECTOR, FINANCIAL SECTOR DEVELOPMENT, FINANCIAL SECTOR INDICATORS, FINANCIAL STRUCTURE, FINANCIAL SYSTEM, FINANCIAL SYSTEMS, FINANCING NEED, FINANCING NEEDS, FINANCING OBSTACLE, FINANCING OBSTACLES, FIXED EFFECTS, GDP PER CAPITA, GENDER, GNP, GROUP LENDING, GROWTH EFFECT, GROWTH IMPACT, GROWTH LITERATURE, GROWTH MODELS, GROWTH RATE, GROWTH RATES, GROWTH REGRESSION, GROWTH REGRESSIONS, HOLDINGS, HOUSEHOLD DATA, HOUSEHOLD SURVEYS, HOUSEHOLD WELFARE, HOUSEHOLDS, INCOME DISTRIBUTION, INCOME INEQUALITY, INDIVIDUAL COUNTRIES, INDUSTRIALIZATION, INDUSTRIALIZED COUNTRIES, INEQUALITY, INFORMATION ASYMMETRIES, INSTITUTIONAL INVESTORS, INSTRUMENT, INTERNAL FUNDS, INTERNATIONAL BANK, INTERNATIONAL ECONOMICS, INTERNATIONAL TRADE, INVESTMENT DECISION, INVESTMENT DECISIONS, INVESTMENT PROJECTS, LABOR MARKET, LAGGED DEPENDENT, LAGGED LEVELS, LAGGED VALUES, LEGAL CONSTRAINTS, LEGAL REFORMS, LIQUID ASSETS, LIQUIDITY, LOAN, LONG RUN, M2, M3, MACROECONOMIC VARIABLES, MARGINAL COST, MARGINAL PRODUCT, MARKET CONSTRAINTS, MARKET DEVELOPMENT, MARKET LIQUIDITY, MAXIMUM LIKELIHOOD ESTIMATION, MICRO-DATA, MICRO-ENTERPRISES, MICROCREDIT, MICRODATA, MICROENTERPRISES, MICROFINANCE, MICROFINANCE INSTITUTIONS, MONETARY ECONOMICS, NORMAL DISTRIBUTION, 0 HYPOTHESIS, OPEN ECONOMIES, OPTIMAL INVESTMENT, OUTREACH, PANEL REGRESSIONS, PAYMENT SERVICES, PER CAPITA GROWTH, PHYSICAL CAPITAL, POLICY CHANGE, POLICY CHANGES, POLICY INTERVENTIONS, POLICY REFORMS, POLICY RESEARCH, POLICY VARIABLES, POLITICAL ECONOMY, POOR HOUSEHOLDS, POVERTY LEVELS, PRIVATE CREDIT, PRODUCTIVITY GROWTH, PROPERTY RIGHTS, REAL GDP, REINVESTMENT, RELATIVE IMPORTANCE, RESOURCE ALLOCATION, RETURNS, SALES GROWTH, SAVINGS, SECURITIES, SERIAL CORRELATION, SHORT-TERM BORROWING, SIGNIFICANT CORRELATION, SIGNIFICANT EFFECT, SMALL ENTERPRISES, STANDARD DEVIATION, STATISTICAL ANALYSIS, STOCK MARKET, STOCK MARKET DEVELOPMENT, STOCK MARKETS, SUPPLY CURVE, TRADE CREDIT, TRADE OPENNESS, TRANSACTION, TRANSACTION COSTS, TURNOVER, VALUE ADDED, VILLAGE, VILLAGES