THAI BUSINESS CYCLE FROM MACROECONOMIC MODEL USING BVAR AND MS-BVAR METHODS
DOI:
https://doi.org/10.20319/pijss.2015.s11.452466Keywords:
Business Cycle, Macroeconomic Model, BVAR, MS-BVARAbstract
This study aims to determine the impact of important components of Thai business cycle during prosperity and depression phases. The BVAR and MS-BVAR models are used to analyze the relationship of each variable. The variables consist of population, GDP, inflation, balance of payments, government cash balance, interest rate, and exchange rate. The data correlated in this study are secondary data during 1979 to 2014 obtained from various sources including World Bank World Development Indicators and the Global Development Finance database, World Resources Institutes (WRI), and Bank of Thailand (BOT). The results of this study indicate that each variable in this model has statistical significant relationship. From the analysis, each variable has different impact on Thai business cycle during prosperity and depression phases.
References
Arellano, C. (2008). Default risk and income fluctuations in emerging economies. American Economic Review, 98(3): 690-712.
Bank of Thailand (2008a, April 30). Thailand’s macroeconomic indicators Retrieved from http://www.bot.or.th/English/Statistics/ContactPerson/Pages/Contact.aspx.
Bank of Thailand.(2008b, April 1). Roles and responsibilities of the bank of Thailand. Retrieved from http://www.bot.or.th/English/AboutBOT/index/Pages/Roles And Responsibilities Aspx.
Bank of Thailand (2008c, April 1). Economic models at the bank of Thailand. Retrieved from http://www.bot.or.th/English/MonetaryPolicy/Understanding/Pages/Macroeconomic Model Aspx
Bayes, T. (1718) Bayes’ theorem Scotland, UK: University of Edinburgh
Bhattacharya, R., Patnaik, I. & Pundit, M. (2013).Emerging economy business cycles: Financial integration and terms of trade shocks.IMF Working Paper, 13/119.
Cass, D. (1965) Optimum growth in an aggregative model of capital accumulation Review of Economic Studies, 32: 233
Dong, C. (2007) Effort, unemployment and business cycle (Master dissertation of Economics and management Science, Humboldt-Universitätzu Berlin)
Evans, C. L. (1992). Productivity shocks and real business cycle Journal of Monetary Economics, 29: 191-208.
Gimenez, J. D. & Jacobs, G. (2008).Macroeconomics for everyone. Unpublished manuscript.
Hansen, G. D. (1985). Indivisible labor and the business cycle Journal of Monetary Economics, 16: 309-327.
Koopmans, T. C. (1965). On the concept of optimal economic growth: The econometric approach to development planning. Chicago, IL: Rand-McNally.
Kydland, F. E. & Prescott, E. C. (1982).Time to build and aggregate fluctuations. Econometric a, 50: 1345-1370
Lucas, R. E. (1972). Expectations and the neutrality of money Journal of Economic Theory, 4: 103-124.
Lucas, R. E. (1973). Some international evidence on output-inflation tradeoffs American Economic Review, 63: 326-334
Madhani, P. M. (2010). Rebalancing fixed and variable pay in a sales organization: a business cycle perspective. Compension & Benefits Reviews, 42: 179-189.
Male, R. L. (2009).Developing country business cycles: Characterizing the cycle and investigating the output persistence problem. (Doctoral dissertation, University of York)
Solow, R. M. (1956). A contribution to the theory of economic growth The Quarterly Journal of Economics, 70: 65-94.
Swan, T. (1964). Growth models of golded ages and production functions. In K Berril (Eds), Economic Development with Special Reference to East Asia London: Macmillan
Uhlig, H. & Xu, Y. (1996).Effort and the cycle: Cyclical implication of efficiency wages. Netherlands: Tilburg University.
Wongpunya, N. (2009). Thai business cycles: Theory and practice. (Doctoral Dissertation University of Bath)
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2015 Authors
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
