สถาบันวิจัยเศรษฐกิจป๋วย อึ๊งภากรณ์

ผลงานวิจัยฉบับเต็มโดยนักวิจัยของสถาบันและนักวิชาการภายนอก

COLLECTIVISM AND CONNECTED LENDING

 

No. 57
5 เมษายน 2560

Collectivism and Connected Lending

abstract

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.

No. 56
22 มีนาคม 2560

Multi-Firm Entrepreneurship and Financial Frictions

abstract

An entrepreneur’s ability to save is crucial to mitigating aggregate productivity losses caused by underdeveloped financial markets. Previous studies of this mechanism assume that an entrepreneur’s savings come from income generated by only one firm. 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 multiple firms. They can therefore accumulate wealth from various sources, allowing financially 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 to financial frictions would rise from 7% to 21% if entrepreneurs could not own multiple firms.

No. 55
8 มีนาคม 2560

Monetary Policy, the Financial Cycle and Ultra-low Interest Rates

Mikael Juselius, Claudio Borio, Piti Disyatat and Mathias Drehmann

abstract

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.

No. 54
22 กุมภาพันธ์ 2560

More Than Words: A Textual Analysis of Monetary Policy Communication

abstract

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.

No. 53
25 มกราคม 2560

Glancing at Labour Market Mismatch with User-generated Internet Data

abstract

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.

No. 52
11 มกราคม 2560

Economic Fundamentals and Spill-over among Asian Term Structures

abstract

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.

No. 51
28 ธันวาคม 2559

Trend Inflation Estimates for Thailand from Disaggregated Data

abstract

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.

No. 50
14 ธันวาคม 2559

Heterogeneous Exporters’ Responses to Trade Liberalization in a Two-Dimensional Product Space

abstract

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.

No. 49
30 พฤศจิกายน 2559

The Social Cost of Thailand’s Transportation Fuel Pricing Policy

abstract

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.

No. 48
16 พฤศจิกายน 2559

The Role of Reimbursement Approaches on Healthcare Demand: The Case of Thai Civil Servants Medical Benefit Scheme

abstract

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.

No. 47
2 พฤศจิกายน 2559

Optimal Environmental Policies and Renewable Energy Investment in Electricity Markets

abstract

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. I find 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.

No. 46
19 ตุลาคม 2559

Value Investing: Circle of Competence in the Thai Insurance Industry

abstract

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.

No. 45
5 ตุลาคม 2559

The Economic Impacts of Extreme Rainfall Events on Farming Households: Evidence from Thailand

Sirikarn Lertamphainont and Robert Sparrow

abstract

We investigate how rainfall shocks, in terms of floods and droughts, affect income, consumption, and coping responses of farming households in Thailand. We draw on a province pseudo-panel, combining household-level information from repeated cross-sectional farm household surveys over the period of 2006-2010 and provincial-based measures of annual rainfall shocks. These rainfall shock variables are constructed from high frequency rainfall time series, identifying the incidence of excessive and deficit rainfall events. We find that crop income falls sharply as a results of rainfall shocks, while there is evidence of income smoothing through asset transactions and off-farm employment in response to excessive rainfall but not deficit rainfall. This suggests that deficit rainfall events are more difficult to insure against as droughts not only reduce crop income but also limit households’ opportunities to smooth income. On average, households seem to be able to smooth their consumption when affected by floods or droughts, although we do see a reduction in spending on luxury and miscellaneous items in case of droughts in order to maintain necessary consumption. Dissaving and asset sales are prevalent strategies for consumption smoothing. Finally, our findings emphasise wealth-differentiated effects of rainfall shocks as landless households seem more vulnerable to rainfall shocks than landholding households due to their limited ability to smooth income and consumption.

No. 44
21 กันยายน 2559

Trade, Wage Premia and Labor Shortages

abstract

Recent trade theories with heterogeneous firms build upon labor market frictions and search to generate rent sharing between firms and their employees and workforce adjustments following trade liberalization. However, little empirical attention has been paid to potential labor shortages. Using firm-level vacancy data from Thailand’s manufacturing sector for 2003-2006, I construct the ratios of vacancies to employment to measure the extent of labor shortages across firms. I find that a cut in input tariffs raises not only wages at firms that use imported intermediates, but also their vacancies to employment ratios relative to firms that only source inputs locally. Importantly, firms with high vacancies to employment ratios pay higher wages, and even more so for importers of intermediate inputs. This evidence is consistent with the hypothesis that labor shortages constitute one empirically documentable mechanism by which importing firms pay higher wages: they search more intensively for workers, suffer more from hiring constraints, and hence increase their wage offers to raise adequately skilled employment following input tariff cuts.

No. 43
7 กันยายน 2559

Dissecting Thailand’s International Trade: Evidence from 88 Million Export and Import Entries

abstract

With a trade-to-GDP ratio of over 130 percent, Thailand is one of the most open emerging market economies in the world. Through a transactional-level database of over 88 million customs entries, this paper provides a comprehensive picture of the dynamic evolution of Thai international trade, highlighting both the intensive as well as extensive margins. Focusing on exports and exporting firms, we document the highly concentrated, specialized and fragile nature of export activity.