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

Author

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  • Arisara Romyen

    (Faculty of Economics, Chiang Mai University, Chiang Mai 50200, Thailand
    Faculty of Economics, Prince of Songkla University, Songkhla 90110, Thailand)

  • Jianxu Liu

    (Faculty of Economics, Shandong University of Finance and Economics, Jinan 250000, China
    Puey Ungphakorn Center of Excellence in Econometrics, Faculty of Economics, Chiang Mai 50200, Thailand)

  • Songsak Sriboonchitta

    (Faculty of Economics, Chiang Mai University, Chiang Mai 50200, Thailand
    Puey Ungphakorn Center of Excellence in Econometrics, Faculty of Economics, Chiang Mai 50200, Thailand)

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.

Suggested Citation

  • Arisara Romyen & Jianxu Liu & Songsak Sriboonchitta, 2019. "Export–Output Growth Nexus Using Threshold VAR and VEC Models: Empirical Evidence from Thailand," Economies, MDPI, vol. 7(2), pages 1-16, June.
    • Handle: RePEc:gam:jecomi:v:7:y:2019:i:2:p:60-:d:240832
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    2. Harun, Cicilia A. & Taruna, Aditya Anta & Ramdani,, 2021. "Capturing the nonlinear impact in distress state: Enhancing scenario design of stress test," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 265-288.
    3. Arisara Romyen & Chonrada Nunti & Paramin Neranon, 2023. "Trade efficiency under FTA for Thailand’s agricultural exports: copula-based gravity stochastic frontier model," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 12(1), pages 1-17, December.

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