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Effects of Volatility of Exports in the Philippines and Thailand

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  • Sinha, Dipendra

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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Bibliographic Info

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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  1. 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.
  2. 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.
  3. 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.
  4. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  5. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
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