ชั้น 2 ธนาคารแห่งประเทศไทย
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.
Long Run Risk Model and Equity Premium Puzzle in Thailand
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.
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.
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.
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.
Analyzing and Forecasting Thai Macroeconomic Data using Mixed-Frequency Approach
Macroeconomic data are an important piece of information in decision making for both the public and private sectors in Thailand. However, the release of key macroeconomic data, usually in a lower frequency such as quarterly, is not always in a timely manner. Using the higher frequency data such as monthly and daily to analyze or forecast the lower frequency data can mitigate the release timing effect. This study applies the mixed-frequency data approach to analyze and forecast Thai key macroeconomic data. The mixed data sampling regressions with various specifications are employed and implemented through some macroeconomic data such as gross domestic product and inflation. The results show that in most cases the mixed-frequency models outperform the autoregressive integrated moving average model, which we used as the benchmark model, even during the COVID-19 period. Some policy implications can also be drawn from the analysis.
Eliciting Individual Discount Rates in Thailand: A Tale of Two Cities
This paper aims to elicit individual discount rates in Thailand using real monetary incentives in the lab-in-the-field setting. We investigate the differences in the discount rates between two different districts with different socioeconomic characteristics. One represents rural agricultural society while another represents an urban industrialised society. We also compare the results between different elicitation methods. The paper provides two main insights. First, the elicited discount rates are significantly different between the two districts. Second, the discount rates also vary across time-horizon suggesting different risk consideration with respect to the time horizon. We also address an intertemporal experimental design issue that results should be indifferent between elicitation methods and find procedural invariant between the choice and matching tasks.
Myths and Facts about Inequalities in Thailand
This paper analyzes inequalities in Thailand over the past three decades and the implications of Covid-19 on existing inequalities. We show that while total income and consumption inequalities in Thailand have been declining, it raises concerns regarding some drivers behind the declining trends. First, the decline in income inequality among the older households is largely driven by private transfers. Given Thailand’s demographic transformation into aging society, this channel is not sustainable. Second, despite the increasing longevity trend, household heads aged 55-69 years old have become inactive in the labor markets over the years. Among active households, the earnings inequality among households who mainly earn from farming activities has risen. However, such increase was masked at the aggregate level because of the higher shares of households working in non-farm sectors and the decline in their earnings inequality. Third, while consumption inequality has fallen similarly to income inequality for all age groups, the low-income households remain highly exposed to income shock. These poor households have much higher shares of essential spending, which are harder to adjust. Finally, while the full effects of Covid-19 on inequality are still unfolding, our evidence shows that in the short-run the poor and the low educated are vulnerable to job and earnings losses.
How Do Taxpayers Respond to Tax Subsidy for Long-term Savings? Evidence from Thailand’s Tax Return Data
This paper uses a panel of personal income tax return data for the population of Thai tax filers to examine how individuals respond to tax subsidy for long-term savings. We utilize the 2013 tax reform that lowered the price subsidy for long-term savings in order to obtain causal identification. Our difference-in-difference analysis illustrates that there is a considerable heterogeneity in the individual responses to the subsidy cut—with middle-income taxpayers responding much greater than their high-income counterparts. Among the middle-income group, we also find that the subsidy reduction has larger effects on decisions of smaller contributors. Finally, we provide some suggestive evidence that taxpayers who are younger, less financially sophisticated and less financially disciplined exhibit stronger responses to the subsidy cut. Our findings shed light on the heterogeneity of individual responses which are crucial for policymakers who consider an incremental change in the existing tax incentive scheme.
All I have to do is dream? The role of aspirations in intergenerational mobility and well-being
We study the determinants and consequences of educational and occupational aspirations. Basing our enquiry on the British NCDS 1958 cohort data, we assess the importance of aspirations for social mobility above and beyond other established determinants. We document educational and occupational inequalities in young individuals’ aspirations, whereby parental aspirations are a strong predictor of children’s aspiration-levels. While we find a positive correlation between aspirations and later achievement, we also provide evidence for reduced well-being in adulthood if aspirations in adolescence were higher than actual achievements later in life.
The Income and Consumption Effects of Covid-19 and the Role of Public Policy
This paper provides empirical evidence on how the labour market impacts of the covid-19 pandemic vary across workers’ incomes, assets, characteristics and household structures in the UK. Using data from the UK Household Longitudinal Study, we find that less educated and young workers are most likely to be laid-off. This is particularly the case for females. Moreover, less educated workers tend to have low income and low assets, limiting their ability to maintain consumption in the face of reduced income. This is compounded at the household level by assortative partnering between workers with similar education levels. We analyse the source of these inequalities by relating employment outcomes to factors related occupational and industrial characteristics. We then conduct a quantitative assessment of the likely impact of covid-19 on households’ consumption and find that, because the adverse labour market impacts are concentrated on workers with low income and low assets, 70 percent of households in the bottom fifth of the income distribution cannot maintain their usual expenditure for even one week. Finally, we consider the effectiveness and distributional implications of two different policy interventions: the Coronavirus Job Retention Scheme in the UK and Economic Impact Payments in the US. Our findings suggest that both policies can alleviate the increase in consumption inequality that would have otherwise arisen during the pandemic. In the short term, the US-style one-off payment is most effective at providing affected households with the means to smooth consumption. However, the CJRS provides better insurance against prolonged disruption as the program provides continuous income support.
Common Ownership, Domestic Competition, and Export: Evidence from Thailand
We use administrative data of all registered firms in Thailand, both public and private, to study the relationships between common ownership, market power, and firms’ export behaviors. Our results suggest that firms in ownership networks tend to have higher market power as measured by markup. In addition, markup is negatively associated with a firm’s propensity to export, its likelihood of product upgrade, and the chance of survival in foreign markets. Our findings have policy implications on antitrust regulations and competitiveness policies, especially in export-oriented economies dominated by powerful business conglomerates.
Understanding the Bimodality of the Export Intensity Distribution in Thailand
The literature has established a pattern that exporters in developed countries sell most of their output in their domestic markets. However, recent evidence finds that firm-level export intensity, defined as the ratio of exports to revenue, in at least 47 countries is bimodally distributed. In this paper, we investigate the determinants of the bimodality of Thailand’s export intensity distribution by using Thailand’s manufacturing firm-level census data covering the period between 2007-2017. We do not find evidence that firm productivity can explain the variation in export intensity. We document that firms with export intensity at least 90 percent, so-called “pure exporters,” can be explained by (i) the firm’s characteristics, (ii) the demand-side factor, and (iii) the government’s policy. Pure exporters are relatively young, have foreign ownership, produce narrow product variety, and export to high-income countries. The government’s policy, such as investment promotion, can raise firms’ export intensity and encourage firms to become pure exporters, there by emphasizing another important channel through which the government can increase exports.
Cash flow uncertainty and IPO underpricing: Evidence from Thai REITs
REIT IPOs in Thailand are less underpriced than stock IPOs (2.45% compared to 23.0%), which is a common finding across many international markets (Chan, Chen and Wang, 2013). One of the most common explanations for IPO underpricing is adverse selection arising from information asymmetry. However, research in IPO tends not to investigate this issue directly due to the difficulty in estimating ex-ante uncertainty. REITs provide a unique research setting because some REITs enjoy income guarantee, which can reduce cash flow uncertainty. We find that REITs with income guarantee are much less underpriced on average, corroborating the linkage between cash flow uncertainty and IPO underpricing. We confirm that REITs with income guarantee tend to have lower systematic risk (measured by CAPM beta) and returns, making the nature of some REITs more debt-like than equity-like.
Effect of Minimum Wage on Changes in the Thai Labor Market
This study evaluates the effect of the minimum wage on changes in the Thai labor market from 2002 to 2010, when the real minimum wage gradually decreased, and 2011 to 2013 when the real minimum wage substantially increased. These changes include labor force participation, employment, dis-employment, weekly working hours, real hourly wages, real hourly total labor income, and various other types of income. This study uses the individual-level panel data generated from the Matched-Outgoing Rotation Group (Matched-ORG) of the Thai Labor Force Survey. We observed the negative effect of minimum wage on employment, where the elasticity was in the range of – 0.0029 to -0.0474. We also observed the dis-employment for the foreign workers. We found that firms adjust working hours and various types of income to mitigate minimum wage shock. We conclude that the competitive equilibrium theory can reasonably explain the effect of minimum wage on employment as well as the overall changes in the Thai labor market from 2002 to 2013.