Sinha, Dipendra (2007): Effects of Volatility of Exports in the Philippines and Thailand.
Download (201kB) | Preview
There have been numerous studies on the relationship between volatility of exports and economic growth. Most of these studies have used cross-section data. Recently, some studies have used time series data to study the relationship. However, there have been no studies which have used the GARCH methodology to study export volatility. This paper fills the void. It uses quarterly data for the Philippines and Thailand to study the effects of export volatility. We find that for both countries, the shock to volatility of growth of exports is permanent. Also, past volatility is significant in predicting future volatility.
|Item Type:||MPRA Paper|
|Institution:||Ritsumeikan Asia Pacific University, Japan and Macquarie University, Australia|
|Original Title:||Effects of Volatility of Exports in the Philippines and Thailand|
|Keywords:||GARCH; volatility; exports|
|Subjects:||C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
F - International Economics > F1 - Trade > F10 - General
|Depositing User:||Dipendra Sinha|
|Date Deposited:||05. Apr 2007|
|Last Modified:||12. Feb 2013 14:12|
Bollerslev, Tim (1986) Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31(3), 307-27.
Engle, Robert F. (1982), Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica, 50(4), 987-1007.
Engle, Robert F. and Bollerslev, Tim (1986), Modeling the persistence of conditional variance, Econometric Reviews, 5(1), 1-50.
Gyimah-Brempong, Kwabena (1991), Export instability and economic growth in sub-Saharan Africa, Economic Development and Cultural Change, 39(4), 815-28.
IMF (2006), International Financial Statistics, On-line version, January.
Knudsen, O. and Parnes, A. (1975), Trade Instability and Economic Development, London: D. C. Heath.
Kwiatkowski, Denis, Phillips, Peter C. B., Schmidt, Peter and Shin, Y. (1992), Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics, 54(1-3), 159-78.
MacBean, Alasdair I. (1966), Export Instability and Economic Development, Cambridge, MA: Harvard University Press.
Maddala, G.S. and Kim, In-Moo (1998), Unit Roots, Cointegration and Structural Change, Cambridge: Cambridge University Press.
Nabeya, Seiji and Tanaka, Katsuto (1988), Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative, Annals of Statistics, 16(1), 218-35.
Sinha, Dipendra (1999), Export instability, investment and economic growth in Asian countries, Yale University Economic Growth Center Discussion Paper No. 799.
Yotopoulos, Pan and Nugent, Jeffrey B. (1976), Economics of Development: Empirical Investigations, New York: Harper and Row.