Measures of national export price volatility based on the capital asset pricing model
Discussion paper
Title | Measures of national export price volatility based on the capital asset pricing model |
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Report Type | Discussion paper |
Authors | Layton, Allan P. (Author) and Valadkhani, Abbas (Author) |
Institution of Origin | University of Southern Queensland |
Volume | 171 |
Page Range | 331-46 |
Number of Pages | 26 |
Series | Discussion Papers in Economic, Finance and International Competitiveness |
Year | 2004 |
Publisher | Queensland University of Technology |
Place of Publication | Brisbane, Australia |
ISSN | 1324-5910 |
Abstract | 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. |
Keywords | macroeconomic theory; exports; economic modelling; risk management |
ANZSRC Field of Research 2020 | 350706. International business |
350208. Investment and risk management | |
380112. Macroeconomics (incl. monetary and fiscal theory) | |
Byline Affiliations | Queensland University of Technology |
https://research.usq.edu.au/item/q06x2/measures-of-national-export-price-volatility-based-on-the-capital-asset-pricing-model
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