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Predictive Performances of Export Business Index in Predicting Thai Export

Introduction. Goal: To measure predictive performance of Export Business Indices in comparison with other popular macroeconomic indicatorsPredictive performance in predicting:Thai-export contraction phrasesThai-export valueOut-of-sample evaluation. Research Methodology. Part 1: Predicting

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Predictive Performances of Export Business Index in Predicting Thai Export

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    1. 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. 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 Research Methodology Part 1: Predicting Thai-Export Contraction Phrase

    5. Research Methodology Part 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. Benchmark: Probit model with only constant Log likelihood value Lc Measure of accuracy Research Methodology Part 1: Predicting Thai-Export Contraction Phrase

    7. Research Methodology Part 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 Methodology Part 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

    10. Data

    11. Data

    12. Data

    13. Data

    14. Results

    15. Results

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

    17. Results

    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

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