Effects of Volatility of Exports in the Philippines and Thailand

Dipendra Sinha ()

MPRA Paper from University Library of Munich, Germany

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.

Keywords: GARCH; volatility; exports (search for similar items in EconPapers)
JEL-codes: C22 F10 (search for similar items in EconPapers)
Date: 2007-04-05
New Economics Papers: this item is included in nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Effects of Volatility of Exports in the Philippines and Thailand (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:2563

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