Measures of national export price volatility based on the capital asset pricing model

Layton, Allan P. and Valadkhani, Abbas (2004) Measures of national export price volatility based on the capital asset pricing model. Discussion Paper. Queensland University of Technology , Brisbane, Australia. [Report]

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As is the case with most small open economies, volatility in Australia’s export prices is an important source of national macroeconomic disturbance largely out of its control given its choice of export bundle. The Capital Asset Pricing Model of portfolio theory is employed as a useful framework for distinguishing the extent to which export price volatility consists of global versus country-specific risk for the set of 14 OECD countries investigated. We find that global (systematic) risk is evidently becoming more important for many of the countries in the OECD sample over the last 25 years as compared with the previous 25 year period. The paper also finds that, by a number of different measures, whilst Australia’s export price growth has apparently become more highly associated with World export prices in recent years, it nonetheless continues to have one of the more volatile set of export prices among OECD countries.

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Item Type: Report (Discussion Paper)
Item Status: Live Archive
Faculty / Department / School: Historic - Faculty of Business - No Department
Date Deposited: 30 Nov 2007 16:01
Last Modified: 13 Mar 2018 05:33
Uncontrolled Keywords: macroeconomic theory; exports; economic modelling; risk management
Fields of Research : 15 Commerce, Management, Tourism and Services > 1503 Business and Management > 150308 International Business
15 Commerce, Management, Tourism and Services > 1502 Banking, Finance and Investment > 150205 Investment and Risk Management
14 Economics > 1402 Applied Economics > 140212 Macroeconomics (incl. Monetary and Fiscal Theory)
Socio-Economic Objective: B Economic Development > 91 Economic Framework > 9101 Macroeconomics > 910199 Macroeconomics not elsewhere classified

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