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

Romyen, Arisara; Liu, Jianxu; Sriboonchitta, Songsak

doi:10.3390/economies7020060

Cited by 5 publications

(3 citation statements)

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“…World GDP rate (gdp w t ) and world inflation rate (infl w t ) play important roles in increasing Indonesia's GDP and inflation. Applying GDP as a threshold was the basis of the research of Romyen et al (2019). In general, if the GDP regime is higher, the behavior of small countries' economic variables will be different if they are in a lower GDP regime.…”

Section: Resultsmentioning

confidence: 99%

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The Influence of Global Financial Liquidity on the Indonesian Economy: Dynamic Analysis with Threshold VAR

Ekananda

Suryanto

2021

Economies

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Empirical studies of the global liquidity spillover on Indonesia’s economy are still relatively limited. Most of the global contagion literature on Indonesia’s economy focuses only on the effects of real shock (on output) due to financial shock. We assert that the effect of global output on Indonesia macroeconomic conditions is a fairly relevant issue to be studied. This research aims to investigate the interdependent relationships between world GDP, world commodity prices, world inflation, trade flows, capital inflow, capital account transactions, reserve accumulation, global liquidity (e.g., global broad money), and monetary aggregates, with regard to Indonesia’s GDP variables and inflation. This paper uses threshold vector autoregression (TVAR) to capture regime changes in the variables of the world economy. World economic data and Indonesia’s economic data were utilized to prove different responses to the world economic situation in two different regimes. This research identified two groups of upper regime and lower regime world variables—namely, world inflation, world GDP, and world commodity prices. TVAR estimation resulted in a smaller residual sum of squares compared to VAR estimation. Different regimes resulted in differences in Indonesia’s economic responses due to the shock of world economic variables. The findings generated by this research are expected to be insightful to monetary policymakers in Indonesia.

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Section: Resultsmentioning

confidence: 99%

“…After a certain threshold, the level of inflation will undermine growth. Romyen et al (2019) used the threshold gross domestic product (GDP) because, at high GDP, the impact of exports on GDP will be higher than at low GDP.…”

Section: Introductionmentioning

confidence: 99%

The Influence of Global Financial Liquidity on the Indonesian Economy: Dynamic Analysis with Threshold VAR

Ekananda

Suryanto

2021

Economies

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“…The paper follows (Arisara, Liu, & Sriboonchitta, 2019) to evaluate the ELG hypothesis for Ghana via a twothreshold vector autoregressive (TVAR) model and two-threshold vector error correction (TVECM) model. At the time of writing this paper, there is no known study employing TVAR and TVECM to examine the ELG for Ghana.…”

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Export- Led Growth Hypothesis for Ghana: A TVAR & TVECM Analysis

Asafo

2020

The Economics and Finance Letters

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This study employs threshold models to examine the export-led growth hypothesis (ELG) for Ghana from 1970-2018. The analysis commences as follows. Firstly, using real GDP as threshold variable, the study conducts a non-linearity test for the threshold vector autoregressive (TVAR) model as against the linear vector autoregressive (VAR) model. Secondly, the study evaluates whether the ELG hypothesis is best explained with linear co-integration models or threshold cointegration models. The empirical results indicate that, the ELG hypothesis is supported by the two-threshold vector autoregressive model (threshold values of 2.35 and 2.46) and a two-threshold vector error correction model (threshold values -0.50 and -0.20). The error correction term of the TVECM is negative and statistically different from zero, signifying speed of long run convergence. In terms of threshold cointegration, real GDP versus real exports and real GDP vs real imports are threshold co-integrated. In contrast, the null hypothesis of linear co-integration is not rejected for real export versus real import. Contribution/Originality:This study uses new estimation methodology to evaluate the export -output growth nexus for Ghana for the period spanning from 1970-2018. INTRODUCTIONAccording to Ulrich (2014); Krueger (1978); Ram (1985); Salvatore and Hatcher (1991) export-output hypothesis (ELG) is described as the positive effects of export growth on output through its multiplier effect. The unanimous argument gravitates towards the believe that exports stimulates output growth (see for instance Rivera-Batiz and Romer (1991)). Alternatively, Arnade and Vasavada (1995); Ghartey (1993); Lancaster (1980); Stavrinos (1987) argued in favour of the growth-led exports (GLE) hypothesis, that is output growth causes export growth.Hitherto, the literature on ELG has documented some findings and they are categorised as follows. The earlier studies such as Balassa (1978); Michaely (1977); Heller and Porter (1978);Tyler (1981);Feder (1983) focused on cross-country analysis. They found that exports positively affect output growth in developing countries. However, their study precluded the plausibility of causality running from exports to imports or vice versa. Another group of studies evaluated the export-output nexus for individual countries using (Granger, 1969) or Sims (1972) causality test. Findings showed exports growth has no causal impact on output growth (see for instance (Dodaro

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Capturing the nonlinear impact in distress state: Enhancing scenario design of stress test

Harun

Taruna

Ramdani

2021

Economic Analysis and Policy

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

Cited by 5 publications

References 24 publications

The Influence of Global Financial Liquidity on the Indonesian Economy: Dynamic Analysis with Threshold VAR

The Influence of Global Financial Liquidity on the Indonesian Economy: Dynamic Analysis with Threshold VAR

Export- Led Growth Hypothesis for Ghana: A TVAR & TVECM Analysis

Capturing the nonlinear impact in distress state: Enhancing scenario design of stress test

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