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Effects of Volatility of Exports in the Philippines and Thailand

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Author Info
Sinha, Dipendra

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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.

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File URL: http://mpra.ub.uni-muenchen.de/2563/
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 2563.

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Date of creation: 05 Apr 2007
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Handle: RePEc:pra:mprapa:2563

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Keywords: GARCH volatility exports

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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
F10 - International Economics - - Trade - - - General

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References listed on IDEAS
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  1. Sinha, D., 1999. "Export Instability, Investment and Economic Growth in Asian Countries: A Time Series Analysis," Papers 799, Yale - Economic Growth Center.
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  2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
  3. 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.
  4. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 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, Elsevier, vol. 54(1-3), pages 159-178. [Downloadable!] (restricted)
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  5. 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. [Downloadable!] (restricted)
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