Skip to main content
Article
Sources of Volatility in Australia's Export Prices: Evidence from ARCH and GARCH Modelling
Faculty of Commerce - Papers (Archive)
  • Abbas Valadkhani, University of Wollongong
  • A. P. Layton, Queensland University of Technology
  • N. D. Karunaratne, University of Queensland
RIS ID
13094
Publication Date
3-3-2005
Publication Details
This article was originally published as Valadkhani, A, Layton, A and Karunaratne, ND, Sources of Volatility in Australia's Export Prices: Evidence from ARCH and GARCH Modelling, Global Business & Economics Review, 7(4), 2005, 295-310.
Abstract

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 1969q4-2002q3. 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.

Citation Information
Abbas Valadkhani, A. P. Layton and N. D. Karunaratne. "Sources of Volatility in Australia's Export Prices: Evidence from ARCH and GARCH Modelling" (2005)
Available at: http://works.bepress.com/abbas/21/