1 / 21

Predictive Performances of Export Business Index in Predicting Thai Export

Presented by PAWIN SIRIPrapanukul Nichchapat Kanjanaudomkan Worapak thitadilok. Predictive Performances of Export Business Index in Predicting Thai Export. At Thammasat University. Introduction.

lona
Download Presentation

Predictive Performances of Export Business Index in Predicting Thai Export

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Presented by PAWIN SIRIPrapanukul NichchapatKanjanaudomkan Worapakthitadilok Predictive Performances of Export Business Index in Predicting Thai Export At Thammasat University

  2. Introduction • Goal: To measure predictive performance of Export Business Indices in comparison with other popular macroeconomic indicators • Predictive performance in predicting: • Thai-export contraction phrases • Thai-export value • Out-of-sample evaluation

  3. Research Methodology • Part 1: Predicting Thai-Export Contraction Phrase 1a) Identifying contraction phrases of Thai Export 1b) The Probit Model – to identify variables that can best predict such phrases • Part 2: Predicting Thai-Export Value A dynamic model – to identify variables that can best predict the value of Thai Export

  4. Research MethodologyPart 1: Predicting Thai-Export Contraction Phrase 1a) Identifying contraction phrases of Thai Export • Let be binary contraction indicator • Peaks & Troughs : NBER Method or Bry-Boschan algorithm -- Estrella and Mishkin(1998), Diebold and Rudebusch(1991), Karunaratne(2002), Birchenhall, Osborn and Sensier(2001) -- X-12 program to remove seasonal components -- Harding and Pagan (1999) and Harding and Pagan (2002) : the trend component plays an important part in generating cyclical movement -- Apply Bry-Boschan algorithm to the Export Level

  5. Research MethodologyPart 1: Predicting Thai-Export Contraction Phrase 1b) The Probit Model – to identify variables that can best predict Thai-Export contraction phrase • Estrella and Mishkin(1998) • Probit model with an independent variable xt forecast horizon h =1, 3, 6, 9 and 12 months Log likelihood value Lm • Out-of-sample test

  6. Research MethodologyPart 1: Predicting Thai-Export Contraction Phrase • Benchmark: Probit model with only constant Log likelihood value Lc • Measure of accuracy

  7. Research MethodologyPart 2: Predicting Thai-Export Value A Dynamic Model – to identify variables that can best predict the value of Thai Export • Stock and Watson (2003) -- seek the incremental predictive performance from the basic autoregressive model that each indicator contributes • Diebold(1998) -- AR model frequently outperforms Keynesian-based structural model in Out-of-Sample predictions • AR model with an independent variable xt forecast horizon h =1, 3, 6, 9 and 12 months • Out-of-sample test

  8. Research MethodologyPart 2: Predicting Thai-Export Value • Benchmark : AR model without an independent variable forecast horizon h =1, 3, 6, 9 and 12 months • Measure of accuracy

  9. Data • Monthly Data : 2001:m12 - 2011:m5 • Dependent variable : • The probability of Thai Export falling into a contraction phase • The value of Thai export

  10. Data Independent Variables : Group 1

  11. Data Independent Variables : Group 2

  12. Data Independent Variables : Group 2

  13. Data Independent Variables : Group 2

  14. Results • The Results of Identifying Thai-Export Contraction Phases

  15. Results • Predicting • Thai-Export Contraction Phases • : Predictive • Performances • (Pseudo R2)

  16. Results • The List of Best Predictors of Thai-Export Contraction Phrases for Each Forecast Horizon

  17. Results • Predicting • Thai-Export Value • : Predictive • Performances • (Relative MSFE)

  18. Results • The List of Best Predictors of Thai-Export Value for Each Forecast Horizon

  19. Conclusions • Common leading indicators are better predictors of Thai Export (both its contraction phrase and value) than Export Business Indices • Growth of Import Price Index is the best performing indicator in most cases. • Export Inventory Index is the only Export Business Index that outperforms common leading indicators only in the case of 12-month ahead forecast.

  20. Conclusions • An important limitation : Limited number of data • Export Business Indices -- firstly constructed in Dec 2001 • Out-of-sample forecast technique  only 50 months of data for evaluation

  21. Future Work ฟ้าไม่แน่ใจว่าอาจารย์จะใส่ part นี้เข้าไปด้วยรึเปล่าค่ะ

More Related