Data, Research and Policy Design
Fiscal Stimulus and Household Debt: Evidence from Thailand’s First-Car Buyer Tax Rebate
This paper studies the impacts of Thailand’s 2011-2012 first-car tax rebate scheme on household debt using the account-level loan data from National Credit Bureau. While the literature mostly concentrates on the macroeconomic effects of such stimulus, this study focuses on the effects on individuals who borrow to finance their durable-goods purchases. We show that the program led to higher delinquency on loans and crowded out other loan originations. Our findings are consistent with the demand-shifting mechanism—the rebates encouraged participants to purchase their cars very prematurely. The results were more adverse for passenger car buyers than for truck buyers. We also find local spillover effects of the program on non-auto loans and on individuals not participating in the program.
Intensive and Extensive Margins of Labour Supply in Thailand: Decomposing the Pattern of Work Behaviours
The paper highlights the important differences between the extensive margins (participation) and the intensive margins (hours-of-work) of labour supply, in the case of Thailand. We use Thailand’s Labour Force Survey to explore the evolution of labour supply at both margins over the past three decades. We show that Thailand’s extensive margins of labour supply follow the conventional life-cycle pattern of an inverted U-shape along the age distribution. However, for the intensive margins, occupation types and education levels play significant roles in dictating the shape of hours-of-work along the life-cycle. We employ a pseudo-cohort analysis to allow us to track the same representative age-gender sample across their life time. While we find that men supply more mean hours per capita than women, we do not find much marriage premium on the intensive margin among those who worked. Marriage premium is highly noticeable along the extensive margin. At all ages, women have smaller extensive margins. Female workforce also reduce the margins more strongly when they reach older ages than men. In our statistical exercise combining a decomposition approach with forecasting, we find that a policy targeting raising participation rates work more effective than a policy on intensive margins, in increasing the total hours-of-work of the working age population.
Welfare Analysis of the Universal Health Care Program in Thailand
I estimate and decompose the welfare benefit of Thailand’s universal health care policy, also known as the 30 Baht program. The total welfare impact of the 30 Baht program is defined as the amount of consumption that an enrollee would need to give up that would leave her at the same expected utility as without the 30 Baht program. I find that the total welfare benefit is approximately 75 cents per one dollar of government spending. The main source of the welfare effect can be attributed to improved consumption smoothing rather than increases in the consumption level. Using difference in differences method, I find that the effect of the 30 Baht program on income is signicantly positive, while the effect on consumption is slightly negative but not significant. This implies that the 30 Baht program has a positive impact on savings and future consumption, rather than current consumption.
Collectivism and Connected Lending
National culture may affect the prevalence of connected lending. This study aimed to assess the effects of national culture, especially collectivism, on the need for special connections with banks, which is a measure of connected lending. The researcher obtained national culture data from both Hofstede’s work and the GLOBE project. Using data covering more than 5000 firms in 51 countries, this study found that GLOBE Institutional Collectivism decreases the need for special connections, while Hofstede Collectivism and GLOBE In-Group Collectivism do not. This suggests that the need for special connections with banks is different from the corruption of bank officials.
Multi-Firm Entrepreneurship and Financial Frictions
An entrepreneur’s ability to save is crucial to mitigating aggregate productivity losses caused by underdevelopedfinancial markets. Previous studies of this mechanism assume that an entrepreneur’s savings come from income generated by only onefirm. In contrast, this paper uses a large, novel dataset from Thailand and, using a legal mandate that Thai households have unique surnames, documents a large share of entrepreneurs with income from multiplefirms. They can therefore accumulate wealth from various sources, allowingfinancially constrained firms that are owned by multi-firm entrepreneurs to grow faster and survive longer than those owned by single-firm entrepreneurs. Motivated by these facts, I develop a tractable model of multi-firm entrepreneurship in the presence of financial frictions and study its impact on aggregate productivity and the allocation of capital. After calibrating to match the salient features of the Thai data, I find that the aggregate productivity loss due tofinancial frictions would rise from 7% to 21% if entrepreneurs could not own multiple firms.
Monetary Policy, the Financial Cycle and Ultra-low Interest Rates
Do the prevailing unusually and persistently low real interest rates reflect a decline in the natural rate of interest as commonly thought? We argue that this is only part of the story. The critical role of financial factors in influencing medium-term economic fluctuations must also be taken into account. Doing so for the United States yields estimates of the natural rate that are higher and, at least since 2000, decline by less. As a result, policy rates have been persistently and systematically below this measure. Moreover, we find that monetary policy, through the financial cycle, has a long-lasting impact on output and, by implication, on real interest rates. Therefore, a narrative that attributes the decline in real rates primarily to an exogenous fall in the natural rate is incomplete. The influence of monetary and financial factors should not be ignored. Exploiting these results, an illustrative counterfactual experiment suggests that a monetary policy rule that takes financial developments systematically into account during both good and bad times could help dampen the financial cycle, leading to higher output even in the long run.
More Than Words: A Textual Analysis of Monetary Policy Communication
This paper employs various tools from computational linguistics to monetary policy statements to gain exploratory insights into the nature of central bank communication. The sample was taken from a wide array of central banks, covering major central banks and others under the inflation-targeting (IT) regime, from 2000 to 2015. Three major aspects of communication were examined in this study, namely (i) readability – the ease with which a reader can understand a written text, (ii) topics – the key themes that are discussed in the policy statements, and (iii) tones – how positive/negative the outlook is in the central bank’s language assessment.
Glancing at Labour Market Mismatch with User-generated Internet Data
In this project, we will conduct a series of research exercise to demonstrate how selected web-based data sources can provide additional insights for labour market analysis, beyond what conventional government-conducted surveys can offer. We exploit web-based data from selected job-boards and resume postings under Thai domain to provide some insights on job vacancy statistics, labour market mismatch between required skill vis-a-vis attained skill at occupation level and the gap between reservation wage and productivity. We also test for potential impacts of the 300-baht minimum wage increase in 2013 and find negative relationship with our measure of province-level labour market tightness. We also use this dataset to investigate labour market discriminations using separate perspective of firms and job seekers.
Economic Fundamentals and Spill-over among Asian Term Structures
This paper estimates affine term structure models of government bonds in selected 5 emerging countries during 2002-2015 periods. It aims to study the relationship between sovereign bond markets and the real economy. The analysis confirms evidences earlier that macroeconomic variables help explaining yield curve and term premium dynamics. For short-term bonds, yield’s responses to shocks are mostly carried by policy channel. For long-term bonds, responses are mostly from term premium. Furthermore, there are external factors that could generate yields co-movement in some emerging-economy countries. Our findings therefore suggest that portfolio diversification would benefit investors who allocate their assets globally. Central banks, however, have to face with difficulties in managing bond market as they have to oversee risk factors affecting investors’ risk perception and causing cross-country spill-over effects.
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 Role of Reimbursement Approaches on Healthcare Demand: The Case of Thai Civil Servants Medical Benefit Scheme
This paper examines how a change in the reimbursement process of a health insurance provider affects healthcare demand. Specifically, we examine the effect of the launch of the Direct Billing Payment program (DBP) to the Thai Civil Servant Medical Benefit Scheme on outpatient visits and expenditures. Before the change, its beneficiaries must pay the medical service fees upfront and send the receipts to the government for full reimbursement. This process can take up to several months. The DBP program requires the government to pay the hospitals directly. Effectively, the program frees up the liquidity constraint without changing the medical service prices perceived by healthcare consumers and providers. Using panel patient-level data from a large hospital, we find that the new billing system leads to a moderate increase in the number of outpatient visits, but a large surge in the expenditures, especially for prescription drugs.
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.