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 &bull Diffusion Processes
- F10 - International Economics - - Trade - - - General
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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