สถาบันวิจัยเศรษฐกิจป๋วย อึ๊งภากรณ์

ผลงานวิจัยฉบับเต็มโดยนักวิจัยของสถาบันและนักวิชาการภายนอก

ESG AND CREDITWORTHINESS: TWO CONTRARY EVIDENCE FROM MAJOR ASIAN MARKETS

by

Natthawat Jamprasert, Pornpichaya Kuwalairat, Narapong Srivisal, Jananya Sthienchoak

2563

No. 129
31 มีนาคม 2563

ESG and Creditworthiness: Two Contrary Evidence from Major Asian Markets

Natthawat Jamprasert, Pornpichaya Kuwalairat, Narapong Srivisal, Jananya Sthienchoak

abstract

Assets managed under sustainable investment criteria have been massively growing during the recent years. Among the criteria, environmental, social and governance (ESG) score leads the group as an important indicator of non-financial quality of a firm, which may reflect value to investors either through higher expected profit or lower risk. In this paper, we focus on the latter by exploring whether ESG score has any impact on the credit rating of firms due to the risk mitigation effect. Ordered logistic regressions were applied on a panel dataset of listed companies in Shanghai and Tokyo Stock Exchanges over 2009 – 2018. The results suggest that only in Japan, having ESG coverage is greatly associated with being awarded higher credit rating. However, just the environmental and governance pillars positively affect the Japanese firms’ credit ratings, while the social pillar shows negative effect.

No. 128
31 มีนาคม 2563

COVID-19 and Endogenous Public Avoidance: Insights from an Economic Model

abstract

In this paper, I study the transmission of COVID-19 in the dynamic SEIR (Susceptible, Exposed, Infectious, and Removed) model that allows individuals to optimally choose their public avoidance actions in response to the COVID-19 risk. I allow for heterogeneity in infection rates across age groups and structurally estimate the parameters to match the daily pattern of new cases and the ratio of patients by age group. Even in the absence of intervention, the elderly,
who face a greater risk of death from COVID-19, are more likely than the young to take self-protective actions. In contrast to models with a fixed transmission rate, my model can capture the heterogeneity in the fraction of infected individuals among different age groups.

No. 127
5 มีนาคม 2563

Assessing Tax Burden Differential Between Foreign Multinationals and Local Firms: Implications for FDI Tax Incentives

abstract

This study uses firm-level data from ASEAN5 to examine whether there are systemic differences in how reported profit is taxed between foreign multinational and comparable local firms. Using propensity score matching, it finds that the effective tax rate (ETR: tax expense divided by pre-tax profit) of foreign MNEs is 1.8 percentage point lower than that of local firms. It also shows that the preferential tax treatment is responsible for 95% of the ETR differential. Under the baseline scenario, the associated revenue loss is 2.6% of total corporate income revenue.

No. 126
25 กุมภาพันธ์ 2563

Tax Rate Cut and Firm Investment: Evidence from Thailand

abstract

How do firms’ investment respond to a large corporate tax rate cut in developing countries? This study uses a matched difference-in-difference approach to estimate the investment responses of Thailand’s 2012-13 corporate income tax cut. It finds that the tax cut has significantly boosted investment. The findings also underline the heterogeneity of the investment responses between local and foreign firms as well as the potential roles of policy uncertainty and market competition on investment response.

No. 125
29 มกราคม 2563

Does Democracy Affect Cyclical Fiscal Policy? Evidence From Developing Countries

abstract

Macroeconomics usually prescribes counter-cyclical fiscal policies to stabilise the economy: government spending should increase above trend in the economic downturns, and decrease below trend during booms. Yet, empirical research has documented pro-cyclical fiscal policy in several democratic developing countries. This article uses updated data to analyse 63 developing countries from 1980 to 2013 and robustly shows that pro-cyclical fiscal policy does exist in both democratic and non-democratic developing countries. The essence of this paper is controlling endogeneity issue by the instrumental variable method and investigating the interaction between democracy, its maturity and quality of institutions in affecting fiscal policy cyclical.We provide 3 main findings. Firstly, an improvement in the level of institutions quality plays an important role to restrain pro-cyclical fiscal policy and these effects are larger in democratic countries than non-democratic ones. Additionally, more mature and stable democratic countries tend to implement less pro-cyclical fiscal policy.

No. 124
27 มกราคม 2563

Profitability, Investment and Asset Pricing: Reconciling the Valuation and the q-Theory Approaches in the Thai Stock Market

abstract

There are several ways to motivate why profitability and investment should affect stock returns. In this paper, I investigate the valuation approach of Fama and French (2015) and the q-theory approach of Hou, Xue and Zhang (2015). While the underlying theories are different, their empirical predictions are the same. Slight differences in factor construction methods afford an opportunity to combine the features of the two models. I find that reinterpreting the q factors (with more frequent rebalancing and more layers of sorting) as Fama-French valuation factors can lead to improvement in model performance. In this modified version, the market risk, size, value, profitability and investment effects are all priced in Thailand.

No. 123
10 มกราคม 2563

Reshaping Thailand’s Labor Market Structure: The Unified Forces of Technology and Trade

abstract

Improvements in technology can have substantial impact on the labor market both directly and indirectly via changes in global trade patterns. This paper studies the potential impact of computerization and reshoring/relocating of operations by firms on Thailand’s labor market. Specifically, the analysis is built upon Frey and Osborne’s (2017) approach and incorporates additional measures of trade-base tasks. This is so that the revised machine-learning model can account for both the impact of technology and change in global trade patterns. Our results revealed that occupations that are mostly affected are service and sales workers, and agricultural and fishery workers. In the worst-case scenario, approximately one-third of existing jobs (12.14 million jobs) could be at risk. However, in real situations, new types of jobs may be created, workers may voluntarily adjust, or other factors could drive some overseas operations back to Thailand. Therefore, the potential outlook for Thailand’s labor market may not be as severe as the model has predicted.