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

Article

Valadkhani, Abbas, 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. https://doi.org/10.1504/GBER.2005.008291
Article Title

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

ERA Journal ID35658
Article CategoryArticle
AuthorsValadkhani, Abbas (Author), Layton, Allan P. (Author) and Karunaratne, Neil D. (Author)
Journal TitleGlobal Business and Economics Review
Journal Citation7 (4), pp. 295-310
Number of Pages15
Year2005
PublisherInderscience Publishers
Place of PublicationUnited States
ISSN1097-4954
1745-1329
Digital Object Identifier (DOI)https://doi.org/10.1504/GBER.2005.008291
Web Address (URL)http://www.inderscience.com/offer.php?id=8291
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 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.

KeywordsAustralian economy; export prices; autoregressive conditional heteros; ARCH; mean model
ANZSRC Field of Research 2020380110. International economics
380203. Economic models and forecasting
380205. Time-series analysis
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Byline AffiliationsUniversity of Wollongong
Queensland University of Technology
University of Queensland
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