Browsing by Author "Yuthana Sethapramote"
Now showing items 1-5 of 5
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COMPETITION AND THE BANK LENDING CHANNEL: EVIDENCE FROM BANK – LEVEL DATA IN THAILAND
; (NIDA, 8/11/19)
This paper attempts to assess the degree of competition in Thailand’s banking system, and examine the evolutionary effect of bank regulations. Furthermore, this paper investigates how a change in competition can affect the monetary policy on bank lending channel in Thailand. This study employs panel data from ten commercial banks over quarterly time periods from 2001–2015. The competition variable is measured using the Lerner index. Bank regulations can be divided into four groups: (i) restrictions on banking activities, (ii) limitations on foreign ... -
ESSAYS ON CREDIT RISK MEASUREMENT
; (NIDA, 8/11/19)
This dissertation investigates the applications of the Merton KMV model with the conditional volatility (GARCH) to measure credit risk in Thailand. The thesis consists of three essays. First essays calculate the distance to defaults during Mar 2010 to Apr 2018 with various methods and check the validity of the data to provide warning indicator of the default in the 461 listed companies. Result show that Both Merton KMV and conditional volatility GARCH distance to default move with the same direction while conditional volatility GARCH distance to ... -
Exchange rate co-movement and volatility spill over in Africa
; (National Institute of Development Administration, 2015)
Although research interest in why and how economies are related to each other continues to accumulate (Joyce, 2013, Todd, 2008), our understanding of the mechanisms through which economic turmoil in one region transmits to another is still unclear. The motivations for this study were to examine the volatility transmission in the African foreign exchange market and the global world through financial interdependence and factors explaining exchange rate co-movement. The thesis set out to find answers to the questions of volatility spill over ... -
REGIME-SWITCHING HOUSING PRICE CYCLE IN CHINA
; (NIDA, 4/2/19)
This paper aims to examine the house price cycle at the province level of China using the three-regime Markov-switching model. Our findings indicate that, in Xinjiang, Chongqing and Jiangsu, there was no secular slowdown in growth since the rapid-growth regime re-emerged at some stage. While during economic downturn and rapid economic growth, house prices fall and grow fastest, respectively, in the central region. However, during normal growth regime, house prices increase fastest in the eastern provinces. These findings indicate regional ... -
The Spillover Effects of Global Economic Policy Uncertainty (GEPU) on Emerging Equity Markets: Evidence from Thailand
; (NIDA, 8/9/19)
This paper examines the spillover effects of Global Economic Policy Uncertainty (GEPU) index and other global risk factors, i.e. CBOE Volatility Index (VIX index), oil prices and gold prices, on the Stock Exchange of Thailand (SET). The empirical results show that both GEPU and VIX indices has significant impacts on the returns of stock market in Thailand before 2010. After 2010, the effects of GEPU on the stock return are not statistically significant. However, the VIX index still significantly affect on the return and volatility of ...