สถาบันวิจัยเศรษฐกิจป๋วย อึ๊งภากรณ์




No. 155
19 กรกฎาคม 2564

A DeFi Bank Run: Iron Finance, IRON Stablecoin, and the Fall of TITAN


Bank runs are a natural phenomenon for financial institutions that issue fixed value liabilities (e.g. money) that are backed by assets with uncertain value. I analyze Iron Finance, a decentralized finance (DeFi) protocol that issues stablecoin (a token with fixed nominal exchange rate: IRON) liabilities in exchange for a basket of other tokens (including a token issued by the protocol itself: TITAN). A combination of mathematical algorithms and incentive to arbitrage is used to maintain the exchange rate peg, but a shock to the protocol sent it into a downward spiral – much like a bank run. The incentives built into the protocol to defend the peg exacerbated its unravelling, raising the challenge of how DeFi protocols can address this vulnerability while remaining decentralized.

No. 1 (PIERspectives)
15 มิถุนายน 2564

โอกาส กับ ความเหลื่อมล้ำทางเศรษฐกิจ


ประเด็นเรื่องความเหลื่อมล้ำของประเทศไทยนั้นมักจะได้รับความสนใจอยู่เสมอ  แม้ตัวเลขทางการจะแสดงว่าความเหลื่อมล้ำด้านรายได้ของไทยมีแนวโน้มลดลงในช่วงสามทศวรรษที่ผ่านมาก่อนวิกฤตโรคระบาดโควิด-19  แต่มักจะถูกโต้แย้งว่าความเหลื่อมล้ำของไทย โดยเฉพาะด้านความมั่งคั่ง นั้นอยู่ในระดับสูงมาก  บทความนี้นำเสนอภาพใหญ่ของเรื่องความเหลื่อมล้ำว่ามีหลากหลายมิติ และในแต่ละมิตินั้น มีความสัมพันธ์กันอย่างไร  โดยเริ่มด้วยการนำเสนอกรอบความคิดว่าความเหลื่อมล้ำทางโอกาสตั้งแต่วัยเด็กนั้นส่งผลเป็นความเหลื่อมล้ำทางเศรษฐกิจ ไม่ว่าจะเป็นมิติด้านรายได้หรือการบริโภค ซึ่งส่งผลต่อไปเป็นความเหลื่อมล้ำด้านความมั่งคั่ง  ส่วนต่อมา ทบทวนบทบาทของนโยบายต่าง ๆ ที่เกี่ยวข้อง ทั้งนโยบายที่มุ่งบรรเทาปัญหาเฉพาะหน้าและนโยบายเพื่อแก้ปัญหาเชิงโครงสร้าง  และส่วนสุดท้ายนำเสนอหลักฐานเชิงประจักษ์ในมิติต่าง ๆ ของความเหลื่อมล้ำในประเทศไทย โดยรวมถึงมิติการศึกษา สุขภาพ การเข้าถึงทรัพยากรและบริการขั้นพื้นฐาน ตลาดแรงงาน ภาคเกษตร ภาคธุรกิจ การบริโภค และความมั่งคั่ง

No. 154
14 มิถุนายน 2564

Regulating Big Tech and Non-bank Financial Services in the Digital Era

Thammarak Moenjak and Veerathai Santiprabhob


In the digital era, new forms of non-bank entities have emerged and gained increasingly prominent roles in providing financial services. These non-bank entities, particularly those associated with non-financial conglomerates and large technology companies (BigTech) pose new challenges for financial regulators whether in terms of financial stability, level-playing field competition, or customer protection. This article discusses emerging trends in the rise of non-bank entities in the digital era, the challenges they pose, and what financial regulatory approaches can help to address those challenges. This article proposes that a holding company structure could be applied to regulate non-financial conglomerates or BigTech firms providing financial services through subsidiaries. This proposal is expected to help address regulatory concerns where existing regulatory approaches cannot adequately cope with.

No. 153
4 มิถุนายน 2564

White Knights or Machiavellians? Understanding the motivation for reverse takeovers in Singapore and Thailand


This paper analyzes 47 reverse takeovers (RTOs), in which privately held firms acquire public firms to obtain listing status in Singapore and Thailand between 2007-2015.  Unlike U.S. RTOs in prior studies, these transactions cannot be regarded as short-cuts to bypass listing rules since merged firms must meet the same minimum listing requirement as firms listing with IPOs. Rather, private firms treat RTOs as an opportunity to become public firms without immediate dilution by acquiring smaller firms at bargain prices.  By examining shareholder circulars and analysis of transaction characteristics, we find that co-parties tend to cite growth from business diversification as their motivation for RTOs.  Distressed public firms more frequently emphasize the motivation to reorganize and revive by merging with stronger private firms. Analysis of return and financial accounting performance shows that the merged firms experience improved growth and generate positive wealth impact; thus, offering opportunity for  incumbent shareholders of  public firms to recover some of their investment value

No. 152
24 พฤษภาคม 2564

Monetary and Financial Perspectives on Retail CBDC in the Thai Context


This paper explores three monetary and financial issues of retail central bank digital currency (CBDC) in the Thai context. The first insight shows that opportunities in the digital age may arise for Thai citizens and businesses to reap the benefits of a more efficient form of public money and financial innovation. It is possible for Thai citizens to quickly adopt unremunerated CBDC for transactional use within a decade. Second, we point out that there are several ways to utilize retail CBDC for enhancing monetary policy effectiveness , namely, through the bank rate channel and the introduction of new monetary policy tools. Nevertheless, monetary policy should not be the first and foremost objective for the central bank to issue CBDC as there are other factors to consider. These included impacts on the central bank balance sheet and monetary operations, especially for remunerated CBDC. Disintermediation and liquidity risks for Thai financial institutions are also key concerns, which are discussed in the third part. We assess that the risks to the banking sector are low in normal periods, but the well-designed CBDC features are necessary to prevent mounting liquidity risks in distressed periods.

No. 151
22 เมษายน 2564

Inflation at Risk in Thailand


Using monthly Thai data from 2003-2020, we examine the determinants of the future distribution of inflation. We evaluate how different risk factors predict 1-year- ahead future distributions of CPI inflation and its components. Risk factors come from 5 different groups of variables: inflation expectations, domestic economic activity, global economic activity, financial conditions, and component-specific factors. We obtain points on the future distributions of inflation through quantile regressions and fitting those points with skewed-t distributions. Our focus is on the outlook in the tails of the distribution, which recent literature referred to as `inflation-at-risk.’ We find, as expected, that the whole inflation distribution has shifted lower, and thus the probability of negative inflation has increased markedly in recent years. There is a structural break around 2015 that affects both the distributions of inflation and their determinants. This structural break makes it challenging to make out-of-sample forecasts, thus, we focus on in-sample evaluation and explanations. For risk factors, we observe that the tightening of financial conditions and the decreasing world production are prominent sources of downside risks to inflation. Inflation expectations also play a smaller role in the lower quantiles, signaling its lower effectiveness in anchoring actual inflation during disinflationary periods. Finally, high global and domestic economic activity can be effective in decreasing downside risks in the lower tail, providing policy makers a way to counter these risks by stimulating the economy.

No. 150
5 เมษายน 2564

Long Run Risk Model and Equity Premium Puzzle in Thailand

Sartja Duangchaiyoosook and Weerachart T. Kilenthong


This paper shows that the long-run risk model of Bansal and Yaron (2004) can potentially solve the equity premium and risk-free rate puzzles in Thailand. In particular, the calibrated values of the risk aversion and the elasticity of intertemporal substitution are empirically plausible. Risk decomposition results indicate that long-run risk is the most important risk component relevant to asset prices; that is, asset prices in Thai financial markets are most sensitive to small changes in news regarding long-term expected growth rates. Volatility risk also has an impact on asset prices but its impact is just about a quarter of the impact of the long-run risk.

No. 149
25 กุมภาพันธ์ 2564

Understanding the Dynamic of Digital Economy in the Context of Digital Literacy of Thai Households


Digital economy has led to new business opportunities and growth potential especially for developing countries such as Thailand. However, one crucial factor that could create challenges is the readiness of households in adapting to the digital environment. This research proposes that digital literacy of households is the key indicator that helps policy makers to understand the digital divide situation. Digital literacy should be measured by 4 sub-dimensions, namely, 1) the access to digital technologies 2) the level of digital skills 3) the level of digital knowledge and 4) the digital information awareness. After using the principal component analysis (PCA) to develop the scoring system of digital literacy and using the cluster analysis to classify the sample into 3 levels of digital literacy, it is found that households in the illiterate group are mostly unemployed or work in the labor-intensive sector. When looking at how they use financial services, they appear to significantly use fewer banking services and have lower preference on the personalization of services than the digital fluency group. This evidence suggests that populations in the digital illiterate group may have already suffered from the digital divide which could intensify the problem of wealth inequality in the digital era. Consequently, policies that guarantee all households to have certain levels of digital literacy are needed.

No. 148
17 กุมภาพันธ์ 2564

Tax Incentives to Appear Small: Evidence from Thai Firms and Corporate Groups


This paper studies the effects of SME tax incentives on firm behaviors. We use firm-level panel data of all registered firms in Thailand to analyze the effects of a large reduction in corporate income tax rates for SMEs in 2011. First, we find that firms responded strongly to the SME tax incentive as indicated by a sharp bunching of firms just below the threshold after the incentive was introduced. The responses were concentrated among firms with positive EBIT, implying a financial motive for firms to remain small. Second, the bunching was prominent for stand-alone firms, where we observe slower revenue growth for those below the threshold. Third, we do not observe bunching for corporate-group firms, but we find evidence of tax-motivated profit shifting among them instead, especially among firms in small groups with weak corporate governance. Our analysis suggests that transfer pricing was likely a primary channel. Finally, despite the unintended consequences, we find that the incentive significantly raised the probability of firm’s survival and encouraged new firm registration, as the policy intended.

No. 147
12 มกราคม 2564

Understanding a Less Developed Labor Market through the Lens of Social Security Data


While understanding labor market dynamics is crucial for designing the country’s social protection programs, prohibitive longitudinal surveys are rarely available in less developed countries. We illustrate that employment history from Social Security records can provide several important insights by using data from a middle-income country, Thailand. First, in contrary to the traditional view, we find that the formal and informal sectors are quite connected. Our analysis of millions of individual histories by a machine learning technique shows that more than half of registered workers left the formal sector either seasonally or permanently long before their retirement age. This finding raises a question of whether the social protection schemes being separately designed for formal and informal workers are effective. Second, the semi-formal workers also had a much flatter wage-age profile compared to those always staying in the formal sector. This observation calls for effective redistributive tools to prevent earnings inequality to translate into disparities in old-age and transmit to the next generation. Lastly, on the employer size, we find that almost half of formally registered firms had fewer than five employees, the benchmark often used to define informal firms. This result suggests that the distributions of firm sizes differ across countries and the employer size alone is unlikely sufficient to define informal workers.