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 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 2563.
Date of creation: 05 Apr 2007
Date of revision:
GARCH; volatility; exports;
Other versions of this item:
- Dipendra Sinha, 2007. "Effects of Volatility of Exports in the Philippines and Thailand," The IUP Journal of Financial Economics, IUP Publications, vol. 0(3), pages 78-83, September.
- 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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