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Open AccessArticle

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

1
Faculty of Economics, Chiang Mai University, Chiang Mai 50200, Thailand
2
Faculty of Economics, Prince of Songkla University, Songkhla 90110, Thailand
3
Faculty of Economics, Shandong University of Finance and Economics, Jinan 250000, China
4
Puey Ungphakorn Center of Excellence in Econometrics, Faculty of Economics, Chiang Mai 50200, Thailand
*
Author to whom correspondence should be addressed.
Economies 2019, 7(2), 60; https://doi.org/10.3390/economies7020060
Received: 18 January 2019 / Revised: 5 June 2019 / Accepted: 10 June 2019 / Published: 18 June 2019
(This article belongs to the Special Issue Computational Macroeconomics)
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. View Full-Text
Keywords: non-linear time-series models; export–import pass-through; threshold autoregression; structure break; predictive threshold VAR model non-linear time-series models; export–import pass-through; threshold autoregression; structure break; predictive threshold VAR model
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MDPI and ACS Style

Romyen, A.; Liu, J.; Sriboonchitta, S. Export–Output Growth Nexus Using Threshold VAR and VEC Models: Empirical Evidence from Thailand. Economies 2019, 7, 60.

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