Effects of Volatility of Exports in the Philippines and Thailand
AbstractThere 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 Generalized Auto Regressive Conditional Heteroscedasticity (GARCH) methodology to study export volatility. This paper fills the void and 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.
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Bibliographic InfoArticle provided by IUP Publications in its journal The IUP Journal of Financial Economics.
Volume (Year): V (2007)
Issue (Month): 3 (September)
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Other versions of this item:
- Sinha, Dipendra, 2007. "Effects of Volatility of Exports in the Philippines and Thailand," MPRA Paper 2563, University Library of Munich, Germany.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- F10 - International Economics - - Trade - - - General
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- Dipendra Sinha, 2004.
"Export Instability, Investment and Economic Growth in Asian Countries: A Time Series Analysis,"
Econometric Society 2004 Far Eastern Meetings
687, Econometric Society.
- Dipendra Sinha, 1999. "Export Instability, Investment and Economic Growth in Asian Countries: A Time Series Analysis," Working Papers 799, Economic Growth Center, Yale University.
- Sinha, D., 1999. "Export Instability, Investment and Economic Growth in Asian Countries: A Time Series Analysis," Papers 799, Yale - Economic Growth Center.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Gyimah-Brempong, Kwabena, 1991. "Export Instability and Economic Growth in Sub-Saharan Africa," Economic Development and Cultural Change, University of Chicago Press, vol. 39(4), pages 815-28, July.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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