Thailand’s Growth at Risk
Keywords:
Growth at risk, economic growth, downside riskAbstract
Growth at Risk (GaR), adapted from the Value at Risk concept, is a measurement of an expected maximum loss on growth over a target horizon within a given confidence interval. Based on the calculation of the GaR from the period of 1980 to 2009, Thailand risks the output loss of 7.88 percent during the big recessions. However, the number has climbed up to over 14 percent since the 1997 Asian financial crisis. For small recessions that occur in every four years, Thailand’s maximum economic loss is only 1.19 percent. According to the factor determinant analysis using the generalized method-of-moments (GMM) estimator, both external and internal factors play an important role on determining the GaR. The OECD GDP growth, the OECD unexpected GDP growth and the global liquidity are the important external risk factors, whilst the short-term external debt, the private credit and the current account are the crucial internal risk factors.
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