Analyzing and Forecasting Thai Macroeconomic Data using Mixed-Frequency Approach

Nuttanan Wichitaksorn

No 146, PIER Discussion Papers from Puey Ungphakorn Institute for Economic Research

Abstract: Macroeconomic data are an important piece of information in decision making for both the public and private sectors in Thailand. However, the release of key macroeconomic data, usually in a lower frequency such as quarterly, is not always in a timely manner. Using the higher frequency data such as monthly and daily to analyze or forecast the lower frequency data can mitigate the release timing effect. This study applies the mixed-frequency data approach to analyze and forecast Thai key macroeconomic data. The mixed data sampling regressions with various specifications are employed and implemented through some macroeconomic data such as gross domestic product and inflation. The results show that in most cases the mixed-frequency models outperform the autoregressive integrated moving average model, which we used as the benchmark model, even during the COVID-19 period. Some policy implications can also be drawn from the analysis.

Keywords: Thai Macroeconomic Data; Mixed-frequency; Forecasting; Vector Autoregression; COVID-19 (search for similar items in EconPapers)
JEL-codes: C22 C32 C53 E17 E27 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2020-12
New Economics Papers: this item is included in nep-cwa, nep-for, nep-mac and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.pier.or.th/files/dp/pier_dp_146.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pui:dpaper:146

Ordering information: This working paper can be ordered from
https://www.pier.or.th/en/dp/146/

Access Statistics for this paper

More papers in PIER Discussion Papers from Puey Ungphakorn Institute for Economic Research Contact information at EDIRC.
Bibliographic data for series maintained by ().