สถาบันวิจัยเศรษฐกิจป๋วย อึ๊งภากรณ์

ผลงานวิจัยฉบับเต็มโดยนักวิจัยของสถาบันและนักวิชาการภายนอก

THE IMPACT OF REGIONAL ISOLATIONISM: DISENTANGLING REAL AND FINANCIAL FACTORS

 

No. 34
29 มิถุนายน 2559

The Impact of Family Business Apprenticeship on Entrepreneurship and Survival of Small Businesses: Evidence from Thailand

abstract

This paper investigates the impact of exposure to a family business and participating in a family business on individuals decision to start a business (self-employed and small business) and their likelihood of survival. We find that individuals who have a family member doing business are more likely to start their own business. However, only individuals who have actually worked in the family-owned business are more likely to survive longer. This paper demonstrates that the higher the number of hours they worked in a family business, the higher the probability of survival. The impact remains significant even if the sample includes only individuals who are the spouses of business owners. The impact of prior experience from helping a family business depreciates over a short period of time. This result suggests that entrepreneurial skills can be learnt from an apprenticeship in small businesses.

No. 33
22 มิถุนายน 2559

The Output Euler Equation and Real Interest Rate Regimes

abstract

Output Euler equations (OEE) for the US deliver slope estimates that are not significantly different from zero. This finding is counterintuitive as it implies a zero elasticity of intertemporal substitution (EIS) and aggregate demand movements that are nonresponsive to the short-term real interest rate. This paper shows that failure to account for regime changes in the dynamics of the real interest rate is responsible for the zero EIS result. In doing so, an empirical investigation is carried out based on an unobserved components framework with Markov-switching parameters that models the underlying process for the real interest rate jointly with the OEE. According to the estimation results, the ex-post real interest rate is a highly persistent process with means, variances and degrees of persistence that are different for the periods 1966-1980, 1980-1985, and 1985-2015. Once these changes in real interest rate behavior are taken into account, estimates for the EIS are 0.1 and are no longer statistically insignificant. This finding is robust to various measures of the output gap as well as alternative specifications for the time-varying natural real rate.

No. 32
15 มิถุนายน 2559

Childhood Post Traumatic Stress Disorder and Later-Life Outcomes: A Hidden Consequence of the 1989 Typhoon Gay

abstract

In human capital literature, it is established that skills are cross-productive and that the production technology is dynamic. This study looks at a case of Thailand and shows that a damage of mental health capital early on in life has a significant adverse effect on schooling attainment. We take the event of Typhoon Gay in 1989 in Thailand’s South-Eastern region as a random trigger of Post-Traumatic Stress Disorder prevalence amongst young children in the disaster area. Using both micro datasets and a unique survey, we find strong evidence that disaster affected children suffered from a long-term undetected reduction in their mental health capital and thus worse accumulation of skills in other dimensions.

No. 31
8 มิถุนายน 2559

International Correlation Asymmetries: Frequent-but-Small and Infrequent-but-Large Equity Returns

Bruno Solnik and Thaisiri Watewai

abstract

We propose a novel regime-switching model to study correlation asymmetries in international equity markets. We decompose returns into frequent-but-small diffusion and infrequent-but-large jumps, and derive an estimation method for many countries. We find that correlations due to jumps, not diffusion, increase markedly in bad markets leading to correlation breaks during crises. Our model provides a better description of correlation asymmetries than GARCH, copula and stochastic volatilit ymodels. Good and bad regimes are persistent. Regime changes are detected rapidly and risk diversification allocations are improved. Asset allocation results in and out-of-sample are superior to other models including the 1/strategy.

No. 30
1 มิถุนายน 2559

Daily Movements in the Thai Yield Curve: Fundamental and Non-Fundamental Drivers

abstract

This paper attempts to identify the key determinants of daily yield movements in the Thai government bond market. It finds that Thai short-term yield movements are solely driven by domestic factors, namely policy rate expectations and bond supply. By contrast, longer-tenor yields are also found to be affected by global factors, namely global monetary conditions and global risk appetite. Apart from these “fundamental” factors, the net-buying pressures of foreign players, and not those of domestic investors, are also found to exert significant influence over the Thai medium and long rates. Taken alone, this finding may appear somewhat alarming as it implies that foreign activity can be a significant source of market volatility. Further investigations suggest, however, that the detected foreign influence may be due to informational reasons; foreign investors lead yield movements because they provide price-relevant “private” information to the market. Viewed in this light, the detected foreign influence may not altogether be so detrimental, at least insofar as normal periods are concerned.

No. 29
25 พฤษภาคม 2559

Corporate Debt Maturity and Future Firm Performance Volatility

abstract

We propose a simple idea that corporate debt maturity should serve as a good indicator of future firm performance volatility. We show in a simple two-period model that the riskiness of corporate investment is a decreasing function of corporate debt maturity. If “observable” corporate debt maturity and ex ante “unobservable” corporate risk-taking is highly correlated, corporate debt maturity should be highly correlated with “ex post” realized firm performance volatility in following years. Using data on publicly listed firms in 10 developing and developed countries over the period 1991-2013, we find that future firm operating performance volatility decreases as corporate debt maturity increases and that future firm value volatility is not associated with corporate debt maturity. In addition, banking sector development and export intensity of a country play an important role in determining firm operating performance volatility.

No. 28
18 พฤษภาคม 2559

Monetary Policy with Imperfect Knowledge in a Small Open Economy

Yu-chin Chen and Pisut Kulthanavit

abstract

Incorporating adaptive learning into a small-open-economy DSGE model, we analyze how monetary policy rules should adjust when agents’ information set deviates from that assumed under the rational expectations framework. We find that when agents observe current shocks but do not observe the parameters governing key macroeconomic dynamics, the resulting distortion is small and the preferred policy under rational expectations works well. However, the welfare cost of imperfect knowledge becomes quite severe when agents also have to learn about the structural shocks to the economy. Monetary policy can play a significant role in mitigating distortions associated with this form of imperfect knowledge.

No. 27
11 พฤษภาคม 2559

Risk and Return in Village Economies

abstract

This paper provides a theory-based empirical framework for understanding the risk and return on productive capital assets and their allocation across activities in an economy characterized by idiosyncratic and aggregate risk and thin formal markets for real and financial assets. We apply our framework to households running business enterprises in Thai villages with extensive networks, taking advantage of panel data: income, assets, consumption, gifts, and loans. We decompose risk and estimate the risk premia faced by households, distinguishing aggregate risk from idiosyncratic, potentially diversifiable risk. This distinction matters for estimating measures of underlying productivity and has important policy implications.

No. 26
4 พฤษภาคม 2559

Night Lights, Economic Growth, and Spatial Inequality of Thailand

abstract

This paper explains the method using a set of night light imaginary to estimate GPP of Thailand. This method is quite new but widely acceptable in the area of economics because luminosity of night lights is normally based on the amount of economic activities in each area. The results showed a high and significant correlation between the night lights and the GPP growth. Even if the estimation was controlled by some specific factors, such as population density, timing size of agricultural or manufacturing sector, the relationship is still robust. After this relationship is confirmed in the provincial level of Thailand, this research applied the results to show the relationship between economic values and spatial inequality, which indicates new understanding about spatial development patterns.

No. 25
27 เมษายน 2559

Simplified Spectral Analysis and Linear Filters for Analysis of Economic Time Series

abstract

We develop and simplify spectral analysis of time series. The main focus is on the spectral representation theorem, Bochner’s theorem, and some key results concerning time-invariant linear filters. We then show how to apply these key results to shed some light on various applications including Yule-Slutsky effects, seasonal adjustment and trend estimation. We also show how spectral analysis can indicate appropriateness of certain statistical models when applied with some economic time series.

No. 24
20 เมษายน 2559

Welfare Impacts of Index Insurance in the Presence of a Poverty Trap

Sommarat Chantarat, Andrew G. Mude, Christopher B. Barrett, and Calum G. Turvey

abstract

This paper evaluates the welfare impacts of an index-based livestock insurance designed to compensate for satellite-based predicted livestock mortality in northern Kenya, where previous work has established the presence of poverty traps. We simulate household wealth dynamics based on rich panel and experimental data. The bifurcated livestock dynamics associated with the poverty trap gives rise to insurance valuation that is highly nonlinear in herd size. Estimated willingness to pay among vulnerable groups who most need insurance is, on average, lower than commercially viable rates. Targeted premium subsidization nonetheless appears to offer more cost-effective poverty reduction than need-based direct transfers.

No. 23
5 เมษายน 2559

A Market Based Solution for Fire Sales and Other Pecuniary Externalities

abstract

We show how bundling, exclusivity and additional markets internalize fire sale and other pecuniary externalities. Ex ante competition can achieve a constrained efficient allocation. The solution can be put rather simply: create segregated market exchanges which specify prices in advance and price the right to trade in these markets so that participant types pay, or are compensated, consistent with the market exchange they choose and that type’s excess demand contribution to the price in that exchange. We do not need to identify and quantify some policy intervention. With the appropriate ex ante design we can let markets solve the problem.

No. 22
23 มีนาคม 2559

Macroprudential Policy in a Bubble-Creation Economy

abstract

This paper analyzes macroprudential policy in the form of loan-to-value (LTV) restriction in a bubble-creation economy of Martin and Ventura (forth- coming). We find that implementation of LTV policy may generate multiple equilibria. Moreover, its effectiveness in terms of investment and size of bubbles depends on the degree of financial friction. In high-capital steady state, low (high) financial friction implies that bubbles originally crowd out (in) investment, so that implementation of LTV policy causes bubbles to decrease (remain unchanged) and enhances (reduces) investment. However, in low-capital equilibrium, the policy has ambiguous effects. LTV policy may help to lower the possibility of sunspot equilibria in two aspects: (1) by destabilizing the low-capital steady state and (2) by confining the set of consistent market sentiments in the presence of high financial friction.

No. 21
9 มีนาคม 2559

Assessing Tax Incentives for Investment: Case Study of Thailand

abstract

Tax incentives for investment are very popular among developing countries but they are costly and unlikely to compensate for other shortcomings. One of the reasons many governments often uses when expanding the tax incentives is that their tax incentives are inferior relative to those of competitors. This study examines the impacts of those tax incentives on the tax competitiveness using the case study of Thailand. It takes into account important tax provisions under both standard and preferential tax treatments, and computes effective average tax rates (EATRs) applied to the country’s focused industries. It then compares Thailand’s EATRs with those of ASEAN peers. Such industry-specific lens is crucial since the tax benefits offered as well as the composition of investment assets can vary substantially between industries. It finds that, Thailand’s investment incentives are broadly comparable to those offered by its ASEAN peers. Under the maximum incentives, the EATRs range from 6-9% depending on the investment intensity in each industry. This suggests that, with the exception of targeted incentives for the biotec industry, the government should refrain from throwing any more tax or monetary incentives and focus on fixing structural shortcomings. The results also indicate that accelerated depreciation and investment tax allowance are two options that may perform better than the tax holiday in term of minimizing the incentive redundancy.

No. 20
24 กุมภาพันธ์ 2559

Central Bank Communication and Monetary Policy Effectiveness: Evidence from Thailand

abstract

This paper has two main objectives. First, we introduce a novel textual analysis technique for estimating latent policy position in the monetary policy committee (MPC) statement based on word frequencies (so called ‘Wordfish’, developed by Slapin and Proksch, 2008). This method is applied to extract informational content embed in the MPC statements during the first decade of inflation targeting in Thailand. Second, we provide a comprehensive assessment of communication on monetary policy effectiveness in three main aspects, i.e. predictability of short-run policy interest rate, monetary transmission mechanism and the ability to anchoring long-run inflation expectations. Specifically, by augmenting our communication measure with various Taylor-type rule specifications, it is found that monetary policy statements help to improve short-run predictability of policy interest rate. Furthermore, using structural vector autoregression, we find that the impulse responses of policy rate shock on output and inflation are stronger when communication is included, indicating the improved efficacy of the transmission mechanism process. Our econometric results also indicate that the MPC statement exerts its influence over the yields with longer maturities. Finally, an increase in policy interest rate can anchor expected inflation only in the short run, while monetary policy communication provides additional effects to long-term inflation expectations.