Household Debt and Economic Variables of Each Stages of the Business Cycle in Thailand

Abstract

This article aimed to examine the relationship of household debt and economic variables at each stage of the business cycle. By gathering Economic Data from Bank of Thailand, Ministry of Commerce, Office of the National Economic and Social Development Council, National Statistical Office, Public Debt Management Office, and Stock Exchange of Thailand, to finding turning points in the structural break, by Chow Test method, which can divide the business cycle into periods of economic contraction and expansion. The data in each period used to test the long-term equilibrium relationship (Cointegration) by Engle – Granger Two-Step method, including analysis of cause and effect relationships of variables according to the concept of Granger (Granger Causality). Overall, the results of this study during period (Q1/2003 - Q2/2023) found that household debt is related to Gross Domestic Product (GDP), investment, house price index and stock market index. Furthermore, in the first period (Q1/2003 - Q3/2008) which was a period when the economy contracted, the result show that household debt is related to GDP, also in the second period (Q4/2008 - Q1/2020), which was a period when the economy expanded, the result show that household debt is related to GDP, policy rate, deposit and the government budget deficit. In addition the third period (Q2/2020 – Q2/2023) which was a period of when the economy contracted, found that household debt is related to GDP, investment, unemployment rate and the house price index.