สถาบันวิจัยเศรษฐกิจป๋วย อึ๊งภากรณ์




No. 101
25 ธันวาคม 2561

The Journey to Less-Cash Society: Thailand’s Payment System at a Crossroads


Digital technology is changing the way we transact and pay each other, but cash usage remains dominant in many countries. In Thailand, it remains a question whether and to what extent electronic payments (e-payment) can replace cash. What is the role of a central bank amid challenges and opportunities at this crossroads? The paper explores global trends in cash and e-payment and outlines Thailand’s existing retail payment landscape. Both physical and IT/ICT infrastructure are assessed at micro-level with regard to Thailand’s readiness to move away from cash. However, given coexistence of cash and e-payment at present, we explore ways in which efficiency of cash management process can be improved. Data on cash distribution by geographical area are utilized to illustrate usage of Thai consumers and identify costs and inefficiency associated with cash management. On the other hand, adoption of e-payment can play a critical role in moving toward a less-cash society, if not a cashless one. The paper highlights the latest data on e-payment behavior in Thailand, especially PromptPay transactions as well as mobile/internet transactions after the transfer fee reduction in March 2018.

No. 100
20 ธันวาคม 2561

Integrating Monetary Policy and Financial Stability: A New Framework


Since the aftermath of the Global Financial Crisis during 2007-2008, financial stability (FS) has become top priority for central banks around the world. The conduct of monetary policy (MP) sees no exception. By leveraging on the existing literature, we propose a systematic approach to incorporate FS considerations into MP framework. This starts with calculating a financial cycle (FC) which is a measure of financial imbalances and a predictor of financial crises. We then look at an FS dashboard which consolidates pockets of risks facing the financial sector, and show how it may be used in FS surveillance. Next, we discuss the concept of model development and introduce an example of a model platform to facilitate MP formulation. Nevertheless, when implementing MP to address FS risks, policymakers encounter an inter-temporal trade-off between financial and price stability. A key challenge towards MP decision-making is, therefore, to strike a balance between both mandates by designing the appropriate policy mix between monetary and macroprudential policies. As a demonstration of our approach, we discuss, in each section, an on-going attempt at the Bank of Thailand to systematically incorporate FS into flexible inflation targeting.

No. 99
30 พฤศจิกายน 2561

Thailand’s Car Tax Rebate Scheme and Consumption Responses: the Role of Durable Goods with Adjustment Costs


In 2011, Thailand faced the largest ood in seventy years. In response to the unexpected crisis the Thai government rolled out Thailand’s car tax rebate scheme in an attempt to prevent the economy from slipping into a deep recession. This study investigates consumption responses to changes in vehicle prices induced by the car tax rebate scheme presented in the framework of a life-cycle model. The model features durable goods with adjustment costs and non-homothetic preference. The key features match the fact that car purchases are lumpy and infrequent and that cars are luxury goods in Thailand. Additionally, liquidity constraints and adjustment costs are also important features for the evaluation of shorter-run consumption responses. Key parameters are estimated to match household-level data. Then partial equilibrium responses, which are key inputs to inform the aggregate outcome of the policy, are simulated given a distribution of the population wealth, income,and age in the economy. Findings show that Thai households have large elasticity of intertemporal substitution (EIS), hence large responses to the scal stimulus. Furthermore, non-homotheticity in the preference generates heterogeneous policy responses varied by household income and wealth. The model predicts that the temporary price shock will lead to a large cutback in future consumption and saving, consistent with the evidence shown by aggregate data. A number of alternative policy experiments are also conducted.

No. 98
5 พฤศจิกายน 2561

What Anchors for the Natural Rate of Interest?


The paper takes a critical look at the conceptual and empirical underpinnings of prevailing explanations of low real (inflation-adjusted) interest rates over long horizons and finds them incomplete. The role of monetary policy, and its interaction with the financial cycle in particular, deserve greater attention. By linking booms and busts, the financial cycle generates important path dependencies that give rise to intertemporal policy trade-offs. Policy today constrains policy tomorrow. The policy regime is not neutral and can exert a persistent influence on the economy’s evolution, including on the real interest rate. This raises serious conceptual and practical questions about the use of the natural interest rate as a monetary policy guidepost. In developing the analysis, the paper also provides a specific critique of the safe asset shortage hypothesis – a hypothesis that has gained considerable popularity in recent years.

No. 97
11 ตุลาคม 2561

Institutional Capital Allocation and Equity Returns: Evidence from Thai Mutual Funds’ Holdings


Information about mutual funds’ stock holdings can provide useful signal for investors. In this study, we show that portfolio of stocks that are not favored by mutual funds tend to perform poorly, with monthly returns of 0.38% to 0.82% lower than stocks more widely held. When compared against asset pricing models, portfolio of such stocks can have monthly alphas as low as -0.33%, and the reason seems unrelated to stock-picking ability. One possible explanation is that demand from institutional investors can drive up stock prices, highlighting the importance of investor clientele in emerging market asset pricing.

No. 96
10 ตุลาคม 2561

Chasing Returns with High-Beta Stocks


One of the proposed explanations for the low-beta anomaly – a prevalent yet puzzling empirical finding that stocks with low systematic risk tend to earn higher returns than the Capital Asset Pricing Model (CAPM) predicts and vice versa – is that leveraged-constrained and index-benchmarked mutual funds drive up demand for high-beta stocks, leading to systematic mispricing. We find evidence that Thai mutual fund managers, on average, favor high-beta stocks and tend to alter their portfolio composition of high-beta stocks in response to fund flows. In addition, funds that hold high-beta stocks perform poorly compared to their peers: a one standard deviation increase in high-beta stock holdings is associated with a 1.3 percentage point decrease in future relative returns.

No. 95
9 ตุลาคม 2561

Location choice and tax responsiveness of foreign multinationals: Evidence from ASEAN countries


This study uses a firm-level dataset to examine the impacts of taxation on multinationals’ decisions to set up new foreign subsidiaries in developing ASEAN countries. It finds that taxes play a critical role in MNEs’ location choice decision, with tax incentives being instrumental for maintaining location choice probabilities associated with each host country. The findings also indicate important heterogeneity in the tax responsiveness. First, the tax sensitivity for high-tech firms is significantly lower than that for low-tech firms. Second, having a prior presence in the respective host country is associated with substantially lower tax responsiveness. Finally, in accordance with international tax-avoidance considerations, the tax responsiveness is significantly diminished for affiliates with a connection to tax-haven countries. These provide important policy implications for developing-country governments that consider employing tax incentives to attract MNEs.

No. 94
4 กันยายน 2561

Household Debt and Delinquency over the Life Cycle


This paper uses loan-level data from Thailand’s National Credit Bureau to study household debt over the life cycle of borrowers. The wide coverage and the granularity of the data allow us to decompose the aggregate, commonly-used debt per capita and delinquency rate into components that unveil the extensive and intensive margins of household indebtedness. This decomposition allows us to analyze debt holding, debt portfolio, and delinquency for each age and cohort. We find the striking inverted-U life cycle patterns of indebtedness as predicted by economic theories. However, peaks are reached at different ages for different loan products and different lenders. We also find that debt has expanded over time for all age groups. In particular, the younger cohorts seem to originate debt earlier in their lives than the older generations. Meanwhile, older borrowers remain indebted well past their retirement age. Finally, we find a downward pattern of delinquency over the life cycle. Our findings have important policy implications on financial access and distress of households as well as economic development and financial stability of the economy.

No. 107
31 สิงหาคม 2561

Stylized Facts on Thailand’s Residential Electricity Consumption: Evidence from the Provincial Electricity Authority


This paper documents a few stylized facts of the residential electricity consumption in Thailand. Using an administrative billing records of 16 million residential meters, we find the following stylized facts and potential uses of the data. First, electricity consumption pattern can be used as proxies for household’s wealth and wealth inequality since it reflects ownership of durable electrical appliances. Second, bill payment choices suggest that a majority of the households still face non-trivial transaction costs in paying their utility bills. Lastly, the electricity consumption pattern suggests that wealthier households are more sensitive to the temperature change but are less sensitive to the change in price.

No. 93
23 สิงหาคม 2561

Value Investing with Quality in the US Public Insurance Companies

Peerapong Dhangwatnotai and Sampan Nettayanun


This study explores the value investing strategy coupling with quality metrics for the U.S. insurance industry. It uses apparent measures of insurance company efficiency such as loss ratio, expense ratio, combined ratio, and investment yield to construct portfolios. There are evidences of value premium as measured by PB and PE ratios. It is not clear that the quality metrics can give superior returns for investors. The anomalies can partially be explained by Fama-French five-factor model (FF5)’s market factor, value factor and profitability factor. The study also proposes using a new five-factor model that changes the profitability (quality) factor slightly from the Fama-French five-factor model. The adjusted FF5 “local” using insurance local factors do not improve the ability to explain the portfolios’ returns.