Sources of volatility in Australia's export prices: evidence from ARCH and GARCH modelling

Valadkhani, Abbas and Layton, Allan P. and Karunaratne, Neil D. (2005) Sources of volatility in Australia's export prices: evidence from ARCH and GARCH modelling. Global Business and Economics Review, 7 (4). pp. 295-310. ISSN 1097-4954


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Australia has one of the more volatile set of export prices among OECD countries. This paper examines the extent to which Australia’s export prices relate to the world prices, using quarterly time-series data spanning, the period 1969–2002. The empirical results based on dynamic least squares method show that Australia’s export prices are cointegrated with the global export prices. A short-term dynamic ARCH-in Mean model, which captures the time varying nature of price volatility, has been used to explain the growth rate of Australia’s export prices. It is found that (a) changes in Australia’s export prices are highly associated with systematic changes in world export prices; (b) the diversification of Australia’s export base has contributed to a significant reduction in the volatility of export prices during the study period; and (c) the time varying volatility has not undermined, in a significant manner, the growth rate of Australia’s export prices.

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Item Type: Article (Commonwealth Reporting Category C)
Refereed: Yes
Item Status: Live Archive
Additional Information: Deposited in accordance with the copyright policy of the publisher. Awaiting Author's version from author. Reference to this paper should be made as follows: Valadkhani, A., Layton, A.P. and Karunaratne, N.D. (2005) ‘Sources of volatility in Australia’s export prices: evidence from ARCH and GARCH modelling’, Global Business and Economics Review, Vol. 7, No. 4, pp.295–310.
Faculty / Department / School: Historic - Faculty of Business - No Department
Date Deposited: 11 Oct 2007 01:10
Last Modified: 02 Jul 2013 22:45
Uncontrolled Keywords: Australian economy; export prices; autoregressive conditional heteros; ARCH; mean model
Fields of Research : 14 Economics > 1402 Applied Economics > 140210 International Economics and International Finance
14 Economics > 1403 Econometrics > 140303 Economic Models and Forecasting
14 Economics > 1403 Econometrics > 140305 Time-Series Analysis
Identification Number or DOI: 10.1504/GBER.2005.008291

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