Santi Chaisrisawatsuk 16 November 2017 Thimpu, Bhutan

Transcription

1 Regional Capacity Building Workshop Formulating National Policies and Strategies in Preparation for Graduation from the LDC Category: Macroeconomic Modelling for SDGs in Asia and the Pacific Santi Chaisrisawatsuk 16 November 2017 Thimpu, Bhutan

2 Outline Introduction Fair s Model Key modifications Macroeconomic model Preliminary results for discussions SDG variables integration

3 Introduction Changing economic dynamic and environments Growing important of service sector Different mechanism fostering economic growth Economic development process Emphasis place on growth versus other economic objectives to improve living standard such as inequality and environmental concerns The role of international economics An increasing role of international economic activities and economic integration Possible linkages of SDG variables in macroeconomic modeling

4 Fair s Model (Mini version) Traditional macroeconomic model consists of a large number of structural equations (behavior + identities equations) Completed Fair s model (30 behavior equations and 158 identities) Mini Fair s model covers fundamental economic variables in aggregate without going too much into more sectoral details Easier to integrate SDG variables into the model Fair s mini version model (10 behavior equations and 19 identities)

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6 Key Modifications Total wealth variable is approximated by Gross Domestic Saving data on total wealth is not available and wealth is mostly held in the form of saving in most developing economy (data is available in World development Indicators by World Bank) Data on financial wealth and housing wealth are not available so they are not included in the model Integration of durable and nondurable consumption to use total final consumption expenditure (data is available in World development Indicators by World Bank) Consumption in service still remains in the model (data is available in World development Indicators by World Bank)

7 Key Modifications Population structure is adjust according to the World Bank base (Fair s 26-55, 56-65, 66+) (WB s 20-49, 50-59, 60+) (Data is available in World development Indicators by World Bank) Depreciation rate is exogenous variable and assumed to be fixed at 6% Capital gain is proxied by total tax on income capital gains and profits tax on goods and services Physical depreciation rate of capital stock assumed to be fixed at 10% (Data available at NESDB Thailand) Export and Government Expenditure are exogenous variable (Data is available in World development Indicators by World Bank)

8 Key Modifications Residential investment data is not available (not include in the model) Import equation remains as in Fair s model (Data is available in World development Indicators by World Bank) Housing stock and durable good stock are not available (not include in the model) Inventory investment uses change in inventory variable from the World Bank database Capital stock variable use data from the World Bank database GDP deflator in the model use data from the World Bank database

9 Key Modifications Mortgage rate is replaced by lending rate 3-month T-bill rate is replaced by saving rate Financial saving of household sector replaced by Gross Domestic Saving Tax and Tax ratio is available in the World Bank database Stock of inventory is proxy by change in inventory variable Calculation of Minimum Capital required based on change in economic structure instead of peak to peak approach Calculated Potential Output base on time series method

10 Macroeconomic Model 7 behavior equations and 10 identities The Behavior Equation: Final Goods Consumption, Service Consumption, Change in capital stocks, GDP potential, Import, Price, and Saving Rate The Identities Equation : Nominal GDP, Nominal disposable Income, Growth of disposable Income, Nominal Depreciation, Nominal Tax, Nominal Saving, Real Disposable Income, Minimum Capital, Output Gap, Inflation, and GDP Growth

11 A Case of Thailand: A Work in Progress The initial model is tested by using Thailand data set for any possible problems Annual data are used from according to the availability of the data set for Thailand (and later for CLM) in the World Bank database All 7 behavior equations are estimated with some reliability of the results Later, some of the SDG Variables will be introduced to the model

12 Preliminary results for discussions: Final Goods Consumption equation Dependent Variable: LNCFPOP Included observations: 37 after adjustments Variable Coefficient Std. Error t-statistic Prob. C AG1 8.96E E AG2-2.58E E AG3 6.29E E LNCFPOP(-1) D(LOG(YD/POP)) RS D(LNAAPOP(-1)) R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic)

13 Preliminary results for discussions: Service Consumption equation Dependent Variable: DLNCSPOP Included observations: 37 after adjustments Variable Coefficient Std. Error t-statistic Prob. C AG1-2.56E E AG2-3.05E E AG3 7.42E E DLNCSPOP(-1) D(LOG(YD/POP)) RS DLNAAPOP R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic)

14 Preliminary results for discussions: Import equation Dependent Variable: LNIMPOP Included observations: 38 after adjustments Variable Coefficient Std. Error t-statistic Prob. C LNIMPOP(-1) LOG((CS+CF)/POP) LNPPIM(-1) R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic)

15 Preliminary results for discussions: Change in Capital Stock equation Dependent Variable: D(LNKK) Included observations: 37 after adjustments Variable Coefficient Std. Error t-statistic Prob. C LNKKKKMIN(-1) D(LNKK(-1)) D(LOG(Y(-1))) R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic)

16 Preliminary results for discussions: Price equation Dependent Variable: LOG(P) Included observations: 38 after adjustments Variable Coefficient Std. Error t-statistic Prob. C T LOG(P(-1)) LOG(PIM) GAP -5.49E E R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic)

17 Preliminary results for discussions: Saving rate equation Dependent Variable: RS Included observations: 38 after adjustments Variable Coefficient Std. Error t-statistic Prob. C RS(-1) PCP GAP -6.35E E D(GAP) -8.47E E R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic)

18 Preliminary results for discussions: Potential GDP equation Dependent Variable: LOG(Y) Included observations: 38 after adjustments Variable Coefficient Std. Error t-statistic Prob. C LOG(Y(-1)) LOG(X) V(-1)/ R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic)

19 Way Forward LDCs Data challenges (availability, reliability, accessibility) Simple macro model not to focus too much on the accuracy of prediction of economic variables but will have more emphasis on interactions of variable to explain the impacts Integration of SDGs into macro model (CLM): To be treated as exogenous VS Endogenous variables

20 SDG variables integration Consideration based on availability of the data and priority of national public policy objectives Poverty (Deprivation reduction) Health (Improving quality of health services) Education (Productivity improvement) Gender in equality (Wage Gap)? Access to electricity (Access to necessary infrastructure) Energy Intensity (Efficiency used of resources) Co 2 emission (Environmental concerns) Inequalities (Income inequality as measured by GINI coefficient)