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The effects of trade openness on macroeconomic volatility are theoreticallyambiguous, so the issue must be resolved empirically. Most of the empiricalevidence, however, has been mixed and inconclusive. This paper investigates thequestion using two data sets: one of 56 countries over 1951-1998, and another of105 countries over 1960-1997. It is shown that, when their effects are jointlyestimated, both economic size and trade opennes have a sizable, negative, andgenerally statistically significant effect on the variability of output, consumption,investment, and the exchange rate. It is also found that depreciation rates areinversely related to both economic size and openness. These effects are robustacross the two data sets and three different detrending methods. JEL classification: E32, F41