Prediction Errors of Macroeconomic Indicators and Economic Shocks for ASEAN Member States, 1990-2021

Masahito Ambashi, Fusanori Iwasaki and Keita Oikawa

No 1088, KIER Working Papers from Kyoto University, Institute of Economic Research

Abstract: In this study, we analyze how economic shocks affect six ASEAN Member States-Indonesia, Malaysia, Philippines, Singapore, Thailand, and Vietnam-in three dimensions: global, domestic, and uncertainty shocks. We collect macroeconomic indicators for 1990-2021 and calculate macroeconomic shocks based on the prediction errors of real GDP growth rates. First, we demonstrate that countries were significantly subjected to unforeseen negative economic shocks on average. Second, we show high synchronization of economic fluctuations and shocks within these countries and with the world. Third, by conducting regression analyzes separately, we derive the following: (i) positive association between variations of the global real GDP growth rates and countries' economic shocks; (ii) different quantitative significance of previous estimates among countries; (iii) country-specific domestic shocks; and (iv) correlation of global- and country-level uncertainty indices with negative economic shocks in some AMS. Our results highlight the relative importance of global, domestic, and uncertainty shocks in the AMS as 56.3%, 39.6%, and 2.8%, respectively. Finally, based on this dataset and conducted analysis, we also review the effect of the COVID-19 pandemic on these countries.

Keywords: Prediction error; Economic shock; Uncertainty; Business cycle synchronization (search for similar items in EconPapers)
JEL-codes: E32 F44 N15 (search for similar items in EconPapers)
Pages: 28pages
Date: 2022-12
New Economics Papers: this item is included in nep-opm and nep-sea
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