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Early warning system for real economy : a case study of Thailand

by Jeerawadee Pumjaroen

Title:

Early warning system for real economy : a case study of Thailand

Author(s):

Jeerawadee Pumjaroen

Advisor:

Preecha Vichitthamaros

Degree name:

Doctor of Philosophy

Degree level:

Doctoral

Degree discipline:

Applied Statistics

Degree department:

School of Applied Statistics

Degree grantor:

National Institute of Development Administration

Issued date:

2019

Publisher:

National Institute of Development Administration

Abstract:

The research aims to identify Composite Leading Indexes (CLIs) and develops the Early Warning System (EWS) by Partial Least Squares Structural Equation Modeling (PLS-SEM). The objective of EWS is to forecast the Economic Cycle (EC) in short-term, medium-term, and long-term periods. Data from Thailand during Q1/2003-Q4/2008 are applied to pursue the purposes. The research uses Real Gross Domestic Product (GDP) as a proxy for the Thai economy, which is the target variable that EWS aims to early signal. The indicators from various economic sectors are gathered to construct CLIs. Before starting the estimation process, the data are filtered out unnecessary components and standardized so that the data will contain only cyclical patterns and not have the unit effect in the analysis. The research builds up the CLIs from the formative measurement models: Short-Leading Economic Index (SLEI), Financial Cycle (FC), Monetary Condition (MC), and International Transmission by Trade Channel (ITT), whereas the research sets International Transmission by International Monetary Policy Channel (ITM) as a single-item construct. The CLIs are separated into a short-term, medium-term, and long-term leading period. The short-term CLIs include SLEI and ITT, whereas FC is the medium-term CLI, and the long-term CLIs consist of MC and ITM. Regarding results, SLEI and ITT can signal EC at one-quarter ahead, FC leads EC at seven-quarter in advance, and MC and ITM advance signal EC eleven-quarter. To confirm that EWS by PLS-SEM is outstanding to forecast EC, the research compares the forecasting performance of EWS by PLS-SEM with the CLI by equal weight and the ARIMA model. The evidence is explicit that EWS by PLS-SEM outperforms the benchmark models for all short-term, medium-term, and long-term leading periods.

Description:

Thesis (Ph.D. (Applied Statistics))--National Institute of Development Administration, 2019

Subject(s):

Financial crises -- Thailand -- Forecasting
Economics forecasting

Keyword(s):

e-Thesis
Early warning system of economy

Resource type:

Dissertation

Extent:

105 leaves

Type:

Text

File type:

application/pdf

Language:

eng

Rights:

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

URI:

https://repository.nida.ac.th/handle/662723737/5206
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ทรัพยากรสารสนเทศทั้งหมดในคลังปัญญา ใช้เพื่อประโยชน์ทางการเรียนการสอนและการค้นคว้าเท่านั้น และต้องมีการอ้างอิงแหล่งที่มาทุกครั้งที่นำไปใช้ ห้ามดัดแปลงเนื้อหา และทำสำเนาต่อ รวมถึงไม่ให้อนุญาตนำไปใช้ประโยชน์เพื่อการค้า ไม่ว่ากรณีใด ๆ ทั้งสิ้น



This item appears in the following Collection(s)

  • GSAS: Dissertations [159]

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Except where otherwise noted, content on this site is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International license.

Copyright © National Institute of Development Administration | สถาบันบัณฑิตพัฒนบริหารศาสตร์
Library and Education Service Center | สำนักบริการการศึกษาและบรรณสาร
Email: NIDAWR@nida.ac.th    Chat: Facebook Messenger    Facebook: NIDAWisdomRepository
 

 

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