ชั้น 2 ธนาคารแห่งประเทศไทย
Trend Inflation Estimates for Thailand from Disaggregated Data
This paper constructs a new trend inflation measure for Thailand based on the multivariate unobserved components model with stochastic volatility and outlier adjustments (MUCSVO) of Stock and Watson (2015). Similar to core inflation, the MUCSVO constructs a measure of the underlying trend based on disaggregated data, but with time-varying sectoral weights that vary with the volatility, persistence and co-movement of the sectoral inflation series. Based on the empirical results, the majority of sectoral weights show significant time-variation, in contrast to their relatively stable expenditure shares. Volatile food and energy sectors that are typically excluded from core inflation measures also turn out to be less volatile, more persistent and explain approximately 10 percent of filtered trend inflation rate movements. Compared to various other trend inflation measures, we show that the MUCSVO delivers trend estimates that are smoother, has narrower confidence bands, and are able to forecast 8 quarter-ahead average inflation more accurately both in-sample and out-of-sample, especially in the post 2000 period.
Heterogeneous Exporters’ Responses to Trade Liberalization in a Two-Dimensional Product Space
Multiproduct firms are responsible for the majority of the global trade network. The majority of studies on multiproduct firms that incorporate the notion of core competency – the idea that a firm is more efficient in some products than others – find success in explaining observed empirical patterns. However, because products in these models are represented on a one dimensional interval, the models are unable to capture the fact that products are inherently hierarchical and multidimensional. This paper proposes a way to extend the concept of core competency into a two-dimensional space with an introduction of industries. This allows for a richer prediction on the exporters’ responses to a reduction in trade cost. In particular, the differential responses of large and small firms depend on the convexity of the cost function. Using a novel dataset on Thai exporters’ responses to Vietnam’s tariff reductions in 2001-2008, I find that while all exporters respond to foreign tariff reduction on the intensive margin, they respond differently on the extensive margin. While large firms tend to introduce products within the industry they already have presence in, small firms tend to start exporting products in new industries. This suggests that the cost curve is concave in the product dimension, but is convex in the industry dimension.
The Social Cost of Thailand’s Transportation Fuel Pricing Policy
The price structure of Thailand’s transportation fuels has always been heavily distorted by the government. The prices of diesel and biofuels are consistently subsidized, while the prices of other fuels are raised above their competitive level in order to provide cross-subsidies to diesel and biofuels. Price distortion in this fashion leads to over- /under-consumption of transportation fuels relative to the socially optimal level. This study estimates the economic and social cost of the price distortions within Thailand’s transportation fuel market that stem from inecient price structure and cross subsidies.
The Impacts of the Billing System on Healthcare Utilization: The Case of Thai Civil Servant Medical Benefit Scheme
While a large number of health insurance studies find that an increase in cost-sharing reduces healthcare demand, little has looked at the effect of a policy change operating through a non-price channel. This paper examines how a billing process can affect healthcare utilization given no change in price. Specifically, we look at the launch of the Direct Billing Payment program (DBP) to the Thai Civil Servant Medical Benefit Scheme. In the past, although the outpatient care is essentially free, its beneficiaries must pay at the point of services and get their money reimbursed later. The DBP allows the hospitals to charge the government directly. Using patient-level panel data from a large regional hospital, we find that the new billing system affects utilization through multiple channels. First, it increases the number of outpatient visits. Second, for each visit, the treatment costs and the share of prescription drug charge are higher. These impacts are found to be persistent over time, although less so in the case of visits. In addition, our analysis suggests that the likely cash constrained patients increase their utilization more proportionally.
Optimal Environmental Policies and Renewable Energy Investment in Electricity Markets
Renewable electricity subsidies have been popular policy instruments to combat climate change because of their ability to offset emissions. This paper studies the long-run welfare benefits of optimizing the design of the existing renewable energy subsidy (the status quo) in the presence of heterogeneity in the offset emissions. In particular, I measure the welfare gain from differentiating renewable subsidies across location and time to reflect the environmental benefits from offseting emissions. Ifind that the welfare gain from differentiation is small compared to the gain already achieved under the status quo subsidy. In contrast, the optimal emissions tax yields much larger welfare gain because it engages in other cost-effective emissions abatement channels that renewable energy subsidies do not: namely, demand conservation and cross-plant fuel substitution.
Value Investing: Circle of Competence in the Thai Insurance Industry
This study explores the strategy of value investing, specifically for the insurance industry in Thailand. It employs multiple measures of “value,” suitable for insurance companies, such as the price-to-earning (PE), price-to-book (PB), and cyclically adjusted price-to-earnings (CAPE). Value premium exists in the Thai insurance industry. Most of the value portfolios constructed from these measures significantly outperform the market, even when adjusting for price volatility and portfolio’s ß . The cumulative returns are also higher for the value stocks, when compared to the growth stocks, and the Thai stock market. Constructing a value portfolio, using the PE ratio, results in the highest returns and are far better than PB and CAPE. The value anomaly cannot be fully explained by either the capital asset pricing model or the Fama-French 3 factor models.
The Economic Impacts of Extreme Rainfall Events on Farming Households: Evidence from Thailand
We investigate how rainfall shocks, in terms of floods and droughts, affect income, consumption, and coping responses of farming households in Thailand. We draw on a province pseudo-panel, combining household-level information from repeated cross-sectional farm household surveys over the period of 2006-2010 and provincial-based measures of annual rainfall shocks. These rainfall shock variables are constructed from high frequency rainfall time series, identifying the incidence of excessive and deficit rainfall events. We find that crop income falls sharply as a results of rainfall shocks, while there is evidence of income smoothing through asset transactions and off-farm employment in response to excessive rainfall but not deficit rainfall. This suggests that deficit rainfall events are more difficult to insure against as droughts not only reduce crop income but also limit households’ opportunities to smooth income. On average, households seem to be able to smooth their consumption when affected by floods or droughts, although we do see a reduction in spending on luxury and miscellaneous items in case of droughts in order to maintain necessary consumption. Dissaving and asset sales are prevalent strategies for consumption smoothing. Finally, our findings emphasise wealth-differentiated effects of rainfall shocks as landless households seem more vulnerable to rainfall shocks than landholding households due to their limited ability to smooth income and consumption.
Trade, Wage Premia and Labor Shortages
Recent trade theories with heterogeneous firms build upon labor market frictions and search to generate rent sharing between firms and their employees and workforce adjustments following trade liberalization. However, little empirical attention has been paid to potential labor shortages. Using firm-level vacancy data from Thailand’s manufacturing sector for 2003-2006, I construct the ratios of vacancies to employment to measure the extent of labor shortages across firms. I find that a cut in input tariffs raises not only wages at firms that use imported intermediates, but also their vacancies to employment ratios relative to firms that only source inputs locally. Importantly, firms with high vacancies to employment ratios pay higher wages, and even more so for importers of intermediate inputs. This evidence is consistent with the hypothesis that labor shortages constitute one empirically documentable mechanism by which importing firms pay higher wages: they search more intensively for workers, suffer more from hiring constraints, and hence increase their wage offers to raise adequately skilled employment following input tariff cuts.
Dissecting Thailand’s International Trade: Evidence from 88 Million Export and Import Entries
With a trade-to-GDP ratio of over 130 percent, Thailand is one of the most open emerging market economies in the world. Through a transactional-level database of over 88 million customs entries, this paper provides a comprehensive picture of the dynamic evolution of Thai international trade, highlighting both the intensive as well as extensive margins. Focusing on exports and exporting firms, we document the highly concentrated, specialized and fragile nature of export activity.
Firm-level Perspective of Thailand’s Low Investment Puzzle
Private investment in Thailand has been standing at a low level since the aftermath of the Asian Financial Crisis until present. Using firm-level data of virtually all registered firms in Thailand during 2001-2013, this paper finds that more than 60 percent of Thai firms have been undertaken negative net investment (invested at a rate slower than the depreciation rate) each year. Our regression results suggest that small firms and large firms have been facing different kinds of obstacles that ultimately led to persistently low investment at the aggregate level. For large firms, low or negative net investments are driven mainly by weak growth prospects and future uncertainties. For small firms, their investments are more likely hindered by supply-side constraints (lack of access to external finance) and negative net investments are driven mainly by inefficiency.