Predicting global crisis recovery period: lesson from 1997 crisis
The objective of this paper is to identify the best indicator in forecasting the recovery period from the current global crisis for Malaysia. Initially, to determine the best indicator for the recovery period, we construct a simple forecasting model that incorporates three indicators: lagging, leadi...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2010
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| Online Access: | http://irep.iium.edu.my/4003/1/paper%28GER%29.pdf |
| _version_ | 1825644491863752704 |
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| author | Duasa, Jarita Ahmad, Nursilah |
| author_facet | Duasa, Jarita Ahmad, Nursilah |
| author_sort | Duasa, Jarita |
| collection | IIUM |
| description | The objective of this paper is to identify the best indicator in forecasting the recovery period from the current global crisis for Malaysia. Initially, to determine the best indicator for the recovery period, we construct a simple forecasting model that incorporates three indicators: lagging, leading and coincidence indices, with two proxies of economic performance, macroeconomic and financial variables. We estimate a two-variable VECM model using monthly and quarterly data covering the period 1980 to 2000. We alternate between the three indicators and we evaluate each model using out-of-sample forecast. Using the results of the initial process of analysis, we predict the recovery period of Malaysian economy from the current global economic crisis. It is found that lagging index is the best indicator of financial performance of the economy. From the half-life calculation base on error correction term, the study found that Malaysia was able to recover from the previous 1997 crisis within two to four years period after the crisis. Given that the current crisis environment is similar to the previous 1997 crisis, similar time period could applied to the current global crisis recovery. |
| first_indexed | 2024-03-05T22:33:36Z |
| format | Article |
| id | oai:generic.eprints.org:4003 |
| institution | International Islamic University Malaysia |
| language | English |
| last_indexed | 2024-03-05T22:33:36Z |
| publishDate | 2010 |
| publisher | Taylor & Francis Group |
| record_format | dspace |
| spelling | oai:generic.eprints.org:40032011-10-19T04:23:50Z http://irep.iium.edu.my/4003/ Predicting global crisis recovery period: lesson from 1997 crisis Duasa, Jarita Ahmad, Nursilah HB131 Methodology.Mathematical economics. Quantitative methods HB3711 Business cycles. Economic fluctuations The objective of this paper is to identify the best indicator in forecasting the recovery period from the current global crisis for Malaysia. Initially, to determine the best indicator for the recovery period, we construct a simple forecasting model that incorporates three indicators: lagging, leading and coincidence indices, with two proxies of economic performance, macroeconomic and financial variables. We estimate a two-variable VECM model using monthly and quarterly data covering the period 1980 to 2000. We alternate between the three indicators and we evaluate each model using out-of-sample forecast. Using the results of the initial process of analysis, we predict the recovery period of Malaysian economy from the current global economic crisis. It is found that lagging index is the best indicator of financial performance of the economy. From the half-life calculation base on error correction term, the study found that Malaysia was able to recover from the previous 1997 crisis within two to four years period after the crisis. Given that the current crisis environment is similar to the previous 1997 crisis, similar time period could applied to the current global crisis recovery. Taylor & Francis Group 2010 Article PeerReviewed application/pdf en http://irep.iium.edu.my/4003/1/paper%28GER%29.pdf Duasa, Jarita and Ahmad, Nursilah (2010) Predicting global crisis recovery period: lesson from 1997 crisis. Global Economic Review, 39 (1). pp. 99-113. ISSN 1744-3873 (O), 1226-508x (P) http://www.taylorandfrancisgroup.com/ 4003 |
| spellingShingle | HB131 Methodology.Mathematical economics. Quantitative methods HB3711 Business cycles. Economic fluctuations Duasa, Jarita Ahmad, Nursilah Predicting global crisis recovery period: lesson from 1997 crisis |
| title | Predicting global crisis recovery period: lesson from 1997 crisis |
| title_full | Predicting global crisis recovery period: lesson from 1997 crisis |
| title_fullStr | Predicting global crisis recovery period: lesson from 1997 crisis |
| title_full_unstemmed | Predicting global crisis recovery period: lesson from 1997 crisis |
| title_short | Predicting global crisis recovery period: lesson from 1997 crisis |
| title_sort | predicting global crisis recovery period lesson from 1997 crisis |
| topic | HB131 Methodology.Mathematical economics. Quantitative methods HB3711 Business cycles. Economic fluctuations |
| url | http://irep.iium.edu.my/4003/1/paper%28GER%29.pdf |
| work_keys_str_mv | AT duasajarita predictingglobalcrisisrecoveryperiodlessonfrom1997crisis AT ahmadnursilah predictingglobalcrisisrecoveryperiodlessonfrom1997crisis |