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

Discussion paper

Layton, Allan P. and Valadkhani, Abbas. 2004. Measures of national export price volatility based on the capital asset pricing model. Brisbane, Australia. Queensland University of Technology.
Title

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

Report TypeDiscussion paper
AuthorsLayton, Allan P. (Author) and Valadkhani, Abbas (Author)
Institution of OriginUniversity of Southern Queensland
Volume171
Page Range331-46
Number of Pages26
SeriesDiscussion Papers in Economic, Finance and International Competitiveness
Year2004
PublisherQueensland University of Technology
Place of PublicationBrisbane, Australia
ISSN1324-5910
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.

Keywordsmacroeconomic theory; exports; economic modelling; risk management
ANZSRC Field of Research 2020350706. International business
350208. Investment and risk management
380112. Macroeconomics (incl. monetary and fiscal theory)
Byline AffiliationsQueensland University of Technology
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