THE STUDY ON RELATIONSHIP BETWEEN AUTOMOTIVE INDEX, STEEL INDEX, MACHINERY INDEX, AND PETROCHEMICALS INDEX AND ECONOMIC FACTORS BY VAR MODEL

Abstract

The objectives of this research were to study the index relationship between automotive index (Auto Index), steel index, machinery index (IMM Index), petrochemicals index (Petro Index), and economic factors by Vector Autoregression (VAR), and study the index volatility of each group due to the shock or the sudden change of variables, by Impulse Response Function and Variance Decomposition. The variables in the study were Auto Index, steel index, IMM index, Petro index, export value of every industry, Baht index, and Set Index of Thailand. Additionally, the data are time series data (monthly) from January 2005 to August 2019, totaling 176 months. Based on the study with Impulse Response Function, it was found that when the shock of Auto Index, steel index, IMM index, and Petro index occurs, S.D. will increase by 1, resulting in the violent change of these indexes before reducing to the balance situation, taking 12 months at most or 1 month at least. Meanwhile, the shock of other variables does not affect Auto Index, steel index, IMM index, and Petro index significantly. Likewise, regarding Variance Decomposition, the vitality of Auto Index, steel index, IMM index, and Petro index depends on the volatility of its index of the previous time at the great proportion while the vitality of other variables affects slightly, except for the variance decomposition of Thailand’s Set Index that depends on Petro index.