Browsing by Author "Yuthana Sethapramote"
Now showing items 1-7 of 7
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Competition and the bank lending channel : evidence from bank - level data in Thailand
; (National Institute of Development Administration, 2018)
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
; (National Institute of Development Administration, 2018)
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 ... -
FINANCIAL DEVELOPMENT AND ECONOMIC GROWTH IN ASIA
; (National Institute of Development Administration, 12/8/2022)
This study has the propose to investigate the relationship between financial development and economic growth of overall countries in Asia, using the financial development indicators such as banking development indicators, stock market development indicators and economic growth taken as a panel data of all 48 countries in Asia that cover the period of 1975-2015. The study also proceeds the country-specific effects by applying panel data fixed effects methods, performing the causality test using panel var causality and apply the Generalized Method ... -
Regime-switching housing price cycle in China
; (National Institute of Development Administration, 2018)
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 ... -
STOCK RETURN PREDICTABILITY IN EMERGING MARKETS
; (National Institute of Development Administration, 13/8/2021)
The stock return predictability still be a puzzle in the financial economics society that have not yet solved for several decades. Some of them believe that they are predictable, and that stakeholders are able to ensure opportunities to allocate their assets in advance while others disagree and believe in stock market efficiency. In spite of the fact that a number of researchers that have recognized the predictive model as fact, there are still some doubts in terms of econometric issues. Econometricians generally agree that the predictive ... -
Thermodynamics formulation of economics
; (National Institute of Development Administration, 2019)
We consider a group of information-symmetric consumers with one type of commodity in an efficient market. The commodity is fixed asset and is non-disposable. We are interested in seeing if there is some connection of thermodynamics formulation to microeconomics. We follow Carathéodory approach which requires empirical existence of equation of state (EoS) and coordinates before performing maximization of variables. In investigating EoS of various system for constructing the economics EoS, unexpectedly new insights of thermodynamics are discovered. ...