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สถาบันวิจัยเศรษฐกิจป๋วย อึ๊งภากรณ์
Puey Ungphakorn
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Call for Papers: PIER Research Workshop 2025
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Year
2025
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2022
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24 August 2022
20221661299200000
No. 186

Monetary Policy and Risk-Taking: Evidence from Thai Corporate Bond Markets

Abstract

This paper examines the risk-taking channel of monetary policy in the context of Thai corporate bond market. Based on newly-issued non-financial corporate bonds from 2001 to the third quarter of 2020, we find that low interest rates are associated with greater issuance of bonds with worse risk ratings, which is more pronounced for bonds from the property sector. In addition, these bonds tend to have longer maturity. However, we do not find evidence of compression of risk premium or underpricing of risks during these low-rate periods. We then examine whether any types of bond investors are prone to the search-for-yield behaviour. Using the Bank of Thailand's confidential debt securities holding dataset from 2013 onward, our results show that individuals, rather than banks and institutional investors, are the prime holder of high-risk bonds. Conditional on bond risk ratings, only two groups of bondholders appear to bias toward higher-yield bonds. These include individuals and other depository financial institutions, namely saving cooperatives and money market mutual funds. Our results point toward weak evidence of risk-taking among corporate bond investors during the low-rate environment.

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JEL: E44E52G11G12
Tags: monetary policyinterest raterisk takingsearch for yieldcorporate bondunderpricing of riskexcess bond premium
The views expressed in this workshop do not necessarily reflect the views of the Puey Ungphakorn Institute for Economic Research or the Bank of Thailand.
Warinthip Worasak
Warinthip Worasak
Bank of Thailand
Nuwat Nookhwun
Nuwat Nookhwun
Puey Ungphakorn Institute for Economic Research
Pongpitch Amatyakul
Pongpitch Amatyakul
Bank of Thailand

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Email: pier@bot.or.th

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