สถาบันวิจัยเศรษฐกิจป๋วย อึ๊งภากรณ์




No. 101
25 ธันวาคม 2561

The Journey to Less-Cash Society: Thailand’s Payment System at a Crossroads


Digital technology is changing the way we transact and pay each other, but cash usage remains dominant in many countries. In Thailand, it remains a question whether and to what extent electronic payments (e-payment) can replace cash. What is the role of a central bank amid challenges and opportunities at this crossroads? The paper explores global trends in cash and e-payment and outlines Thailand’s existing retail payment landscape. Both physical and IT/ICT infrastructure are assessed at micro-level with regard to Thailand’s readiness to move away from cash. However, given coexistence of cash and e-payment at present, we explore ways in which efficiency of cash management process can be improved. Data on cash distribution by geographical area are utilized to illustrate usage of Thai consumers and identify costs and inefficiency associated with cash management. On the other hand, adoption of e-payment can play a critical role in moving toward a less-cash society, if not a cashless one. The paper highlights the latest data on e-payment behavior in Thailand, especially PromptPay transactions as well as mobile/internet transactions after the transfer fee reduction in March 2018.

No. 100
20 ธันวาคม 2561

Integrating Monetary Policy and Financial Stability: A New Framework


Since the aftermath of the Global Financial Crisis during 2007-2008, financial stability (FS) has become top priority for central banks around the world. The conduct of monetary policy (MP) sees no exception. By leveraging on the existing literature, we propose a systematic approach to incorporate FS considerations into MP framework. This starts with calculating a financial cycle (FC) which is a measure of financial imbalances and a predictor of financial crises. We then look at an FS dashboard which consolidates pockets of risks facing the financial sector, and show how it may be used in FS surveillance. Next, we discuss the concept of model development and introduce an example of a model platform to facilitate MP formulation. Nevertheless, when implementing MP to address FS risks, policymakers encounter an inter-temporal trade-off between financial and price stability. A key challenge towards MP decision-making is, therefore, to strike a balance between both mandates by designing the appropriate policy mix between monetary and macroprudential policies. As a demonstration of our approach, we discuss, in each section, an on-going attempt at the Bank of Thailand to systematically incorporate FS into flexible inflation targeting.

No. 99
30 พฤศจิกายน 2561

Thailand’s Car Tax Rebate Scheme and Consumption Responses: the Role of Durable Goods with Adjustment Costs


In 2011, Thailand faced the largest ood in seventy years. In response to the unexpected crisis the Thai government rolled out Thailand’s car tax rebate scheme in an attempt to prevent the economy from slipping into a deep recession. This study investigates consumption responses to changes in vehicle prices induced by the car tax rebate scheme presented in the framework of a life-cycle model. The model features durable goods with adjustment costs and non-homothetic preference. The key features match the fact that car purchases are lumpy and infrequent and that cars are luxury goods in Thailand. Additionally, liquidity constraints and adjustment costs are also important features for the evaluation of shorter-run consumption responses. Key parameters are estimated to match household-level data. Then partial equilibrium responses, which are key inputs to inform the aggregate outcome of the policy, are simulated given a distribution of the population wealth, income,and age in the economy. Findings show that Thai households have large elasticity of intertemporal substitution (EIS), hence large responses to the scal stimulus. Furthermore, non-homotheticity in the preference generates heterogeneous policy responses varied by household income and wealth. The model predicts that the temporary price shock will lead to a large cutback in future consumption and saving, consistent with the evidence shown by aggregate data. A number of alternative policy experiments are also conducted.

No. 98
5 พฤศจิกายน 2561

What Anchors for the Natural Rate of Interest?


The paper takes a critical look at the conceptual and empirical underpinnings of prevailing explanations of low real (inflation-adjusted) interest rates over long horizons and finds them incomplete. The role of monetary policy, and its interaction with the financial cycle in particular, deserve greater attention. By linking booms and busts, the financial cycle generates important path dependencies that give rise to intertemporal policy trade-offs. Policy today constrains policy tomorrow. The policy regime is not neutral and can exert a persistent influence on the economy’s evolution, including on the real interest rate. This raises serious conceptual and practical questions about the use of the natural interest rate as a monetary policy guidepost. In developing the analysis, the paper also provides a specific critique of the safe asset shortage hypothesis – a hypothesis that has gained considerable popularity in recent years.

No. 97
11 ตุลาคม 2561

Institutional Capital Allocation and Equity Returns: Evidence from Thai Mutual Funds’ Holdings


Information about mutual funds’ stock holdings can provide useful signal for investors. In this study, we show that portfolio of stocks that are not favored by mutual funds tend to perform poorly, with monthly returns of 0.38% to 0.82% lower than stocks more widely held. When compared against asset pricing models, portfolio of such stocks can have monthly alphas as low as -0.33%, and the reason seems unrelated to stock-picking ability. One possible explanation is that demand from institutional investors can drive up stock prices, highlighting the importance of investor clientele in emerging market asset pricing.

No. 96
10 ตุลาคม 2561

Chasing Returns with High-Beta Stocks


One of the proposed explanations for the low-beta anomaly – a prevalent yet puzzling empirical finding that stocks with low systematic risk tend to earn higher returns than the Capital Asset Pricing Model (CAPM) predicts and vice versa – is that leveraged-constrained and index-benchmarked mutual funds drive up demand for high-beta stocks, leading to systematic mispricing. We find evidence that Thai mutual fund managers, on average, favor high-beta stocks and tend to alter their portfolio composition of high-beta stocks in response to fund flows. In addition, funds that hold high-beta stocks perform poorly compared to their peers: a one standard deviation increase in high-beta stock holdings is associated with a 1.3 percentage point decrease in future relative returns.

No. 95
9 ตุลาคม 2561

Location choice and tax responsiveness of foreign multinationals: Evidence from ASEAN countries


This study uses a firm-level dataset to examine the impacts of taxation on multinationals’ decisions to set up new foreign subsidiaries in developing ASEAN countries. It finds that taxes play a critical role in MNEs’ location choice decision, with tax incentives being instrumental for maintaining location choice probabilities associated with each host country. The findings also indicate important heterogeneity in the tax responsiveness. First, the tax sensitivity for high-tech firms is significantly lower than that for low-tech firms. Second, having a prior presence in the respective host country is associated with substantially lower tax responsiveness. Finally, in accordance with international tax-avoidance considerations, the tax responsiveness is significantly diminished for affiliates with a connection to tax-haven countries. These provide important policy implications for developing-country governments that consider employing tax incentives to attract MNEs.

No. 94
4 กันยายน 2561

Household Debt and Delinquency over the Life Cycle


This paper uses loan-level data from Thailand’s National Credit Bureau to study household debt over the life cycle of borrowers. The wide coverage and the granularity of the data allow us to decompose the aggregate, commonly-used debt per capita and delinquency rate into components that unveil the extensive and intensive margins of household indebtedness. This decomposition allows us to analyze debt holding, debt portfolio, and delinquency for each age and cohort. We find the striking inverted-U life cycle patterns of indebtedness as predicted by economic theories. However, peaks are reached at different ages for different loan products and different lenders. We also find that debt has expanded over time for all age groups. In particular, the younger cohorts seem to originate debt earlier in their lives than the older generations. Meanwhile, older borrowers remain indebted well past their retirement age. Finally, we find a downward pattern of delinquency over the life cycle. Our findings have important policy implications on financial access and distress of households as well as economic development and financial stability of the economy.

No. 107
31 สิงหาคม 2561

Stylized Facts on Thailand’s Residential Electricity Consumption: Evidence from the Provincial Electricity Authority


This paper documents a few stylized facts of the residential electricity consumption in Thailand. Using an administrative billing records of 16 million residential meters, we find the following stylized facts and potential uses of the data. First, electricity consumption pattern can be used as proxies for household’s wealth and wealth inequality since it reflects ownership of durable electrical appliances. Second, bill payment choices suggest that a majority of the households still face non-trivial transaction costs in paying their utility bills. Lastly, the electricity consumption pattern suggests that wealthier households are more sensitive to the temperature change but are less sensitive to the change in price.

No. 93
23 สิงหาคม 2561

Value Investing with Quality in the US Public Insurance Companies

Peerapong Dhangwatnotai and Sampan Nettayanun


This study explores the value investing strategy coupling with quality metrics for the U.S. insurance industry. It uses apparent measures of insurance company efficiency such as loss ratio, expense ratio, combined ratio, and investment yield to construct portfolios. There are evidences of value premium as measured by PB and PE ratios. It is not clear that the quality metrics can give superior returns for investors. The anomalies can partially be explained by Fama-French five-factor model (FF5)’s market factor, value factor and profitability factor. The study also proposes using a new five-factor model that changes the profitability (quality) factor slightly from the Fama-French five-factor model. The adjusted FF5 “local” using insurance local factors do not improve the ability to explain the portfolios’ returns.

No. 92
14 สิงหาคม 2561

Educational Assortative Mating and Income Inequality in Thailand


This study measures educational assortative mating in Thailand and its relationship with income inequality using national labor force survey data from 1985-2016. Since the 1990s, Thailand shows a trend of decreasing educational homogamy, but there is evidence of continuing educational hypergamy in Thai households. Using the semiparametric decomposition method of DiNardo, Fortin and Lemieux (1996), the study finds that educational assortative mating has affected changes in household income inequality over time. Furthermore, there exists a negative relationship between income inequality and marital sorting with same education, which contradicts evidence found in developed countries.

No. 91
6 สิงหาคม 2561

On Worker and Firm Heterogeneity in Wages and Employment Mobility: Evidence from Danish Register Data

Rasmus Lentz, Suphanit Piyapromdee and Jean-Marc Robin


In this paper, we develop a model of wage dynamics and employment mobility with unrestricted interactions between worker and firm unobserved characteristics in both wages and employment mobility. We adopt the finite mixture approach of Bonhomme et al. (2017). The model is estimated on Danish matched employer-employee data for the period 1985-2013. The estimation includes gender, education, age, tenure and time controls. We find significant sorting on wages and it is stable over the period. Sorting is established early in careers, increasing during the first decade after which it declines steadily. Job-to-job mobility displays a “mean-reverting” pattern that maintains correlations between worker and firm types to a stationary level. Counterfactuals demonstrate that sorting is primarily driven by two channels: First, a “preference” channel whereby higher wage workers are more likely to accept jobs in higher wage firms. Second, a job finding channel where the job destination distribution out of non-employment is stochastically increasing in the wage type of the worker.

No. 90
9 กรกฎาคม 2561

The Impact of LTV policy on Bank Lending: Evidence from Disaggregate Housing Loan Data


How did the Loan-to-Value (LTV) measures aimed at increasing resilience of the banking system affect banks’ lending? This paper utilizes bank-level and contract-level data of housing credit in Thailand spanning from 2004 to 2017, and applies the panel data and probit approaches in evaluating the impact of LTV measures introduced in 2009, 2011 and 2013 on the housing loans. We find that the LTV measures had an impact on banks’ risk-taking behavior in ways consistent with the policy’s objectives. The effects manifest in a reshaping of LTV distribution of the targeted loan sector rather than a credit growth slowdown at the bank level. In addition, the size of adjustment varies across different types of banks, with stronger response from large and small banks compared with medium banks. Overall, our results suggest that certain macroprudential policies can achieve target-specific outcome, but with differential impact across banks. Nevertheless, questions remain regarding the channels through which LTV measures impact bank lending and factors underlying diverging response among banks.

No. 89
5 กรกฎาคม 2561

Bank Profitability and Risk-Taking in a Low Interest Rate Environment: The Case of Thailand


This paper studies the effects of monetary policy on the bank profitability and risk-taking. Using banklevel and account-level data sets of Thai banks during the period 2004-2017, we find that lower interest rates tend to reduce profitability. The effect works mainly through the impact of the interest rates on bank net interest income. At the bank level we find limited evidence of increased riskiness in the overall balance sheet of Thai banks when interest rates are low. However, the account-level results from a duration analysis suggest that low rates may lead to higher loan default risk and lower loan quality for long-term loans, particularly those in the portfolio of small and medium banks. Small firms seem to be more affected by bank risk-taking behavior. We also find that when the interest rate remains low for a protracted period, this tends to further increase bank risk-taking in new loans, though it helps lower the default risk for existing loans. The findings overall point to the potential unintended consequences of a low-for-long monetary policy accommodation with implications on financial stability.

No. 88
18 มิถุนายน 2561

Labour Supply of Married Women in Thailand: 1985-2016


This study investigates the labour supply behaviour of married Thai women with reference to their own and their spouse’s wages. By utilising data of the national Labour Force Survey in Thailand from 1985 to 2016, the wage imputation technique and the instrumental variables approach are applied to correct sample selection and to alleviate endogeneity, common issues that cause bias in estimating female labour supply. By controlling for spousal education and number of children, the main findings indicate an inverse relationship between married women’s labour supply and wages, contrary to the results found in most developed countries. The estimated own wage elasticity ranges from -1.70 to -2.40 and cross elasticity ranges from -0.16 to -0.17, indicating that the impact of own wage on labour supplied is much larger than spouse’s wage. The results from disaggregation classified according to different socioeconomic backgrounds also show the negative elasticities between own and spouses’ wage across all subgroups, except for those with university degrees and higher income.