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Title: The Macroeconomics variables analysis during the Covid-19 Pandemic in China
Other Titles: การวิเคราะห์ตัวแปรทางเศรษฐศาสตร์มหภาคช่วงการระบาด Covid-19 ในประเทศจีน
Authors: Chukiat Chaiboonsri
Zonghui Liang
Keywords: Macroeconomic, COVID-19, ARIMA model, BVAR model, RMSE
ARIMA model
BVAR model
Issue Date: Aug-2022
Publisher: Chiang Mai : Graduate School, Chiang Mai University
Abstract: This study aims to use the data from 2008 to July 2021 to use ARIMA and BVAR models to analyze and forecast China's six macroeconomic indicators (GDP, PPI, CPI, TRI, total retail consumption, imports, exports) during the epidemic, Finally, the RMSE method is used to compare and predict the two models. This paper uses the standard ARIMA model and the standard BVAR model to carry out out-of-sample interval prediction analysis of six major macroeconomic variables, using quarterly data interpolation to form monthly data, using annual data interpolation to form monthly data, using monthly data to predict monthly data, two Models are all using median predictions. The results show that the ARIMA model has a poor prediction effect on the CPI index; the BVAR model performs better on the three indicators of CPI, export and import, and is close to ARIMA's ability to track macro index data on the three indicators of GDP, PPI and TRI.
Appears in Collections:ECON: Theses

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