Industrial production, volatility, and the supply chain

Bradley T. Ewing, Mark A. Thompson

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

The issue of production volatility is important to firms interested in managing their supply chain. This paper empirically estimates the volatility of industrial production using the GARCH and EGARCH time series models. Three questions are addressed: Can volatility be predicted? Is the effect of unexpected changes in production on volatility asymmetric? And, how persistent is volatility following a production disturbance? The results indicate that production volatility is time varying and can be predicted in the majority of cases examined, and that overestimates of production lead to greater increases in volatility than do underestimates.

Original languageEnglish (US)
Pages (from-to)553-558
Number of pages6
JournalInternational Journal of Production Economics
Volume115
Issue number2
DOIs
StatePublished - Oct 2008

Keywords

  • GARCH models
  • Production volatility
  • Supply chain

ASJC Scopus subject areas

  • Business, Management and Accounting(all)
  • Economics and Econometrics
  • Management Science and Operations Research
  • Industrial and Manufacturing Engineering

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