Export–Output Growth Nexus Using Threshold VAR and VEC Models: Empirical Evidence from Thailand

Arisara Romyen, Jianxu Liu and Songsak Sriboonchitta
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Arisara Romyen: Faculty of Economics, Chiang Mai University, Chiang Mai 50200, Thailand
Jianxu Liu: Faculty of Economics, Shandong University of Finance and Economics, Jinan 250000, China
Songsak Sriboonchitta: Faculty of Economics, Chiang Mai University, Chiang Mai 50200, Thailand

Economies, 2019, vol. 7, issue 2, 1-16

Abstract: This paper explores the relationship between export, import, and output for Thailand over the period from 1990 to 2017. The threshold vector autoregressive (VAR) and threshold vector error correction (VEC) models were applied. The empirical evidence confirms that the export-led growth hypothesis is valid, implying feedback within the export–output growth nexus. During business cycles, the export–output characteristics in economic cycles can be classified by the two-threshold VAR and VEC models. These relevant variables converge from the long-run equilibrium. As for the thresholds which are correlated, gross domestic product (GDP) vs. export and GDP vs. import exist as a long-run equilibrium relationship, while there does not seem to be a relationship of export vs. import. Furthermore, a five-year forecast was created (the period of 2018–2022). The export–output growth scenarios appear to swing upward continuously throughout the short-term trend. Therefore, policy-makers should highlight countercyclical macroeconomic policies at lower, medium, and upper regimes to strengthen the state of recovery and encourage the state of short recession.

Keywords: non-linear time-series models; export–import pass-through; threshold autoregression; structure break; predictive threshold VAR model (search for similar items in EconPapers)
JEL-codes: E F I J O Q (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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