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タイトル: | Prediction Errors of Macroeconomic Indicators and Economic Shocks for ASEAN Member States, 1990‒2021 |
著者: | AMBASHI, Masahito IWASAKI, Fusanori OIKAWA, Keita |
キーワード: | E32 F44 N15 Prediction error Economic shock Uncertainty Business cycle synchronization |
発行日: | Dec-2022 |
出版者: | Institute of Economic Research, Kyoto University |
誌名: | KIER Discussion Paper |
巻: | 1088 |
開始ページ: | 1 |
終了ページ: | 28 |
抄録: | In this study, we analyze how economic shocks affect six ASEAN Member States --Indonesia, Malaysia, Philippines, Singapore, Thailand, and Vietnam --in three dimensions: global, domestic, and uncertainty shocks. We collect macroeconomic indicators for 1990-2021 and calculate macroeconomic shocks based on the prediction errors of real GDP growth rates. First, we demonstrate that countries were significantly subjected to unforeseen negative economic shocks on average. Second, we show high synchronization of economic fluctuations and shocks within these countries and with the world. Third, by conducting regression analyses separately, we derive the following: (i) positive association between variations of the global real GDP growth rates and countries' economic shocks; (ii) different quantitative significance of previous estimates among countries; (iii) country-specific domestic shocks; and (iv) correlation of global- and country-level uncertainty indices with negative economic shocks in some AMS. Our results highlight the relative importance of global, domestic, and uncertainty shocks in the AMS as 56.3%, 39.6%, and 2.8%, respectively. Finally, based on this dataset and conducted analysis, we also review the effect of the COVID-19 pandemic on these countries. |
URI: | http://hdl.handle.net/2433/278140 |
関連リンク: | https://www.kier.kyoto-u.ac.jp/publication/?cat=en |
出現コレクション: | KIER Discussion Paper (英文版) |
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