Effects of Volatility of Exports in the Philippines and Thailand

Sinha, Dipendra (2007): Effects of Volatility of Exports in the Philippines and Thailand.

Abstract

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
• Language: English
• 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

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