Regime-Switching Business Cycle Synchronization in the ASEAN

Authors

Yuthana Sethapramote, National Institute of Development Administration, ThailandFollow
Athakrit Thepmongkol, National Institute of Development Administration, Bangkok, Thailand

JEL Classification System

C34, C38, E32, F44

Abstract

This paper investigates patterns of business cycle synchronization and analyzes the underlying common factors in six ASEAN countries, that is, Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam. Two important findings result. First, according to resulting regime probabilities calculated from the Markov-switching model, Singapore is not synchronized with other ASEAN members, while Indonesia, Malaysia, and the Philippines are highly correlated. Second, according to the principal component analysis, we find that the world’s import value growth, the output growth of China, and the capital flow of Singapore are most likely to account for 88% of variation in probabilities of the ASEAN being in the contraction regime.

Recommended Citation

Sethapramote, Yuthana and Thepmongkol, Athakrit (2018) "Regime-Switching Business Cycle Synchronization in the ASEAN," DLSU Business & Economics Review: Vol. 27: No. 2, Article 8.
DOI: https://doi.org/10.59588/2243-786X.1244
Available at: https://animorepository.dlsu.edu.ph/ber/vol27/iss2/8