GSDE: Dissertations

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The long-term performance of private equity backed companies in Chinese market
Zhan, Mengyu; Sorasart Sukcharoensin (National Institute of Development Administration, 2022)
Academic research related to private equity has been focused on the study of initial underpricing and short-run performance. The first aim of this study is to analyze all the Chinese Initial Public Offering (IPOs) from 2010-2014, with the sample containing of 916 firms, to provide additional evidence on the long-run performance of IPOs invested by private equity. This research fulfills the gap that whether the long-term performance of IPOs enterprises invested by private equity exceed the IPOs without private equity on two aspects of market and operating performance. The study shows that for both market and operating performance for the Chinese IPOs depends on the time period and the methodology used. Firstly, for the market performance by using CAR (cumulative abnormal return) method, the result shows that mid-term (3 years) performance of private equity backed IPOs is lower than non-PE (private equity) backed. While for the long-term (5 years) performance of PE-backed IPOs is better than non-PE backed IPOs. On contrary, the BHARs (buy-and-hold returns) of PE backed IPOs is slightly lower than non-PE backed IPOs. Therefore, for the operating performance, only by Tobin’s Q method, the PE-backed IPOs is outstanding the non-PE backed IPOs. The second objective of this research is to study the influence of IPO prospectus information for the long-term performance of the IPO enterprises. The results show that the characteristics of the IPO: size of the issue, innovation patents, company industry area, hot market index-have a stable significant influence on the stock performance of companies for five years after IPO. On the other aspect: operating performance, parameters of research and development expense, growth in sales, company’s asset size and the hot market index are directly related to the performance after IPO. These results confirm some hypothesis for the explanation of the long-term performance of IPOs in Chinese capital market.
Media freedom and corruption
Tanrapan Tanavichcha; Tongyai Iyavarakul (National Institute of Development Administration, 2023)
The objective of this study is to investigate the impact of press freedom on corruption and analyze how internet freedom affects corruption. The empirical analysis involved an unbalanced panel of 118 countries from 1998 to 2017, covering a period of 20 years for press freedom and corruption. Additionally, an unbalanced panel of 46 countries from 2011 to 2020 was used to analyze internet access and corruption over a 10-year period. The results show that press freedom and its legal, political, and economic influences have a statistically significant negative effect on corruption, indicating that a free press reduces corruption. However, in the empirical analysis involving internet freedom and corruption, the study finds no significant effect. Furthermore, it reveals that countries with high exports of natural resources tend to experience increased corruption, while factors such as economic growth and political rights can reduce corruption. These results remain consistent in both the press and internet media sections of the study.
Valuing the attribute enhancements of urban park: a case of the King Rama IX international mangrove botanical garden, Thailand
Aekkapat Laksanacom; Udomsak Seenprachawong (National Institute of Development Administration, 2022)
The King Rama IX international mangrove botanical garden, Thailand provides a bundle of benefits, including a source for exchanging knowledge on mangrove forests and recreation opportunities. This study was applied a choice experiment to investigate the potential users’ preferences and willingness to pay for different educational programs and recreational enhancement projects in The King Rama IX international mangrove botanical garden, Thailand. The empirical results from conditional logit model show the potential users are willing to pay 25 Baht, 27 Baht, 89 Baht, and 102 Baht for improved museum design, information signs, recreation activities, and facilities, respectively. Two groups of visitors are targeted in this research: residents and non-residents. The results showed that the heterogeneity of preferences exists within each of these group. In particular, non-residents attain generally higher values for improvements than residents. For example, non-residents were willing to pay more for museum designs and information signs. It is also argued that the use of model with co-variate in choice experiment has advantage over the model without co-variate since the co-variate model was relaxed the condition of constant parameter for all respondents. The results suggest that the planning and management of this place subject to budget constraints should take into account the attributes of this botanical garden and the preferences of visiting citizens to improve their welfares.
The effects of venture capital network centrality on earnings management, profitability, and stock price during lockup of IPOs : evidence in the US market
Yosavee Niranvichaiya; Sorasart Sukcharoensin (National Institute of Development Administration, 2022)
This study investigates the effect of network centrality, which is a key important measure in social science for the level of connection and influence each actor has in the network, of the venture capital firm (VC), on earnings management level, choice of earnings management, subsequence economics performance, and long-term stock return of the VC-backed portfolio companies. The results of the study suggest that companies backed by VCs with higher network centrality level, or being more “centralized”, is more likely to use accrual-based earnings management, more likely to have higher subsequence economic performance, as measure by the difference in future return-on-assets, and is more likely to have a better long-term stock return, as indicated by higher buy-and-hold abnormal return.
Distributional impact of carbon taxation on household energy consumtion in Thailand
Supawan Saelim; Anan Wattanakuljarus (National Institute of Development Administration, 2018)
Distributional impact of a carbon tax on household demand can be relevant in terms of securing public acceptance of a carbon tax and clarifying the implications for policy design. Despite the growing literature about the impact of a carbon tax on the economy and environment, in-depth studies of distributional impact on the welfare of households are relatively scarce in Thailand. Although the distributional impact on households is only a part of the carbon tax story, it is very important for policy analysis, both in terms of securing public acceptance and policy design. Such policy design includes appropriate revenue-recycling options to reduce adverse effects on lowincome households and social objectives such as income inequality and poverty incidence. This study aims to estimate the distributional effects on households from changes in energy prices induced by a carbon tax, and explore the impact of the policy on social development indicators such as income inequality and poverty incidence in Thailand. The study simulates carbon tax scenarios and estimates distributional effects of the tax on household welfare, income inequality, and poverty rates based on household consumption. The study employs a microsimulation model incorporating the economy-wide effects of the tax on prices (through an input-output model) and consumers’ behavioral responses to changes in prices (through demand system estimations). The methods applied in this study include household energy demand estimation using the Quadratic Almost Ideal Demand system (QUAIDS) model to understand energy consumption behavior. In addition, the study also empirically examines the relationship between per capita welfare losses and a range of socioeconomic factors using multivariate regression analysis. The study utilizes monthly cross-sectional data of the national Household Socio-economic Survey (SES) for the years 2009, 2011 and 2013, and monthly consumer price indices for demand system estimation. The demand estimation results indicate that the pricing policy in the energy sector (e.g. through taxation) is likely to be ineffective in reducing energy consumption in the residential sector as the energy demand is inelastic. However, households are more responsive to reducing their consumption of transport fuels than electricity consumption when prices change. The results of the study also have useful implications for predicting behavioral responses and the welfare impact on households from changes in energy prices induced by other fuel taxes and energy-related policies aimed to sustainably incentivize the use of cleaner energy in the long run. In addition, socioeconomic factors, such as geographic region, labor market status, household structure and education, are significantly associated with individual welfare losses across energy and non-energy consumption types even after controlling for income. The results of a carbon tax simulation indicate that a carbon tax is progressive in Thailand under revenue-recycling scenarios of expanding social transfer programs. When carbon tax revenues are recycled through elderly pensions, the carbon tax could reduce the poverty rate and improve the welfare of households in the lowest quintile. The results imply that the distributional impacts of environmental taxes could result in favorable outcomes for income inequality and poverty reduction in developing countries. The study concludes that the concerns about the negative impact of environmental taxes on social objectives such as income inequality and poverty incidence in Thailand tend to be minimal, and less than what one might expect based on empirical results from developed countries. Lump-sum transfers of only a partial amount of carbon tax revenues to households can offset the negative effects on income inequality and poor households.
Property tax in Thailand : a case for value capture taxation
Kanokporn Saiyasittipanich; Adis Israngkura (National Institute of Development Administration, 2015)
This study presents a new financial resource for Thailand called "Property Value Capture” mechanism. The mechanism is applied to finance public infrastructure project through capturing either some or all of the "excess value" or the incremental value of real estate generated by a public scheme. This mechanism not only reduces government's total expenditures for public infrastructure projects, but also reduces the tax burden on the overall population. The first step in this study is to investigate the amount of economic rent for condominium projects located along the sky train station (Light Green Lines Extensions, On Nut to Bearing station) .The datasets used in this research have been collected from two sources. First, the data on market sale price and structural characteristics of the condominiums was obtained from property owners and brokers of the condominiums by interview and website search for the period from December 2013 to August 2014. Four Hundred forty-one (441) condominium units were randomly selected for our survey and were used to estimate the impact of the sky train station and other factors on property values. This study have applied the concept of Hedonic Pricing Method (HPM) to estimate the implicit price of the Light Green Lines Extensions and other factors by using two difference type of the functional forms; 1) log-linear, and 2) linear Box-Cox functional form. The implicit prices (or economic rents) of condominium units are found to be between 150.46 to 195.04 baht per unit for every meter closer to the sky train station. Therefore, condominiums located directly adjacent to the sky train station were roughly 150,460 to 195,040 baht more than an identical condominium located 1,000 meter away when considering the average value. The total amount of the economic rent for condominium projects located within 1,000 meter, 1,500 meter, and 2,000 meter of the sky train station is estimated roughly at 2,359,072,495.61 baht, 2,988,644,281.37 baht, and 3,378,377,226.87 baht respectively. While, the number of condominium projects in each area was 49, 59, and 69 projects respectively. The excess real estate value was derived directly from the construction of the Light Green Line Extensions. The second step in this research study is to apply a concept of a "betterment tax" imposed on property holders who received a direct and unique benefit from the Light Green Lines Extension in three assessment areas; 1,000 meter, 1,500 meter, and 2,000 from the sky train station. The total betterment tax burden from our estimation of 49 condominium projects, located within the 1,000 meter assessment area was equivalent to 592,704,431.85 baht or 25.12 percent of the economic rent. The total tax burden of the 59 condominium projects, located within the 1,500 meter assessment area equaled 408,918,475.90 baht or 13.68 percent of the implicit price. Whereas, the total amount of tax burden for condominiums located within the 2,000 meter assessment area, or 69 condominiums projects; was equal to 314,439,864.17 baht or 9.31 percent of the economic rent. The successful implementation a betterment tax strategy in Thailand depends upon four issues; 1) the betterment tax rate, should not be excessively high; otherwise the taxpayer will oppose a public development project in their neighborhood, 2) for social acceptance, the local government must actively work to promote the benefits, positive aspects and fairness of the tax, 3) Thai government should improve and provide a necessary technology for increasing an efficiency of land appraisal system, and 4) the Land Department should appraise a value of real-estate every year in order to obtain the real market price and other attributes of real-estate.
Valuing a high altitude mountain ecosystem and creating policy instruments for ecotourism development : a case study of Yulong mountain, China
Zhang, Zhuoran; Udomsak Seenprachawong (National Institute of Development Administration, 2015)
This dissertation consists of three connected parts: The first part is a research paper examines the tourism demand and assesses consumer surplus from visiting a unique tourist attraction site: glaciers in Mt. Yulong, Yunnan, China by using the Zonal Travel Cost Method (henceforth, ZTCM). I aim to uncover the use value of this particular site in tourism development. I divide domestic travelers into 20 groups based on the demographical and geographical characteristics of their place of residence. The empirical results show that the economic value of the glaciers in the tourism industry is more than 3 billion Chinese Yuan (CNY), roughly equivalent to 500 million dollars at the exchange rate of March 2016, which is approximately 10% of the local GDP. The high estimated value of the glaciers suggests that some conservation policy interventions are necessary. The second research paper attempts to elicit the maximum willingness to pay by the travelers for the ecotourism development, which would conserve the glaciers and the ecosystem in Mt. Yulong. The survey was conducted in Mt. Yulong among the travelers during June to December 2015, and the focused group talk technique was applied. A total of 1,500 survey questionnaires were distributed and 889 returned with completed information. The estimated willingness to pay by each traveler’s averages around 220 CNY, which is equivalent to 35 US Dollars at the exchange rate of March 2016. This amount was almost twice higher as the entrance fee to the site and indicates that the travelers are highly concerned with the environmental quality during their traveling experiences and are in favor for the eco-friendlier tourism. The third part of this dissertation is a discussion paper that aims to compare different techniques of intervention instruments based on the particular situations in Lijiang and Mt. Yulong. This paper combines researches and recommendations from the environmental scientists of Chinese Science Academy and the economic attributions uncovered from the previous two parts of this dissertation into consideration. Even though various market base instruments have their unique advantages and might all be achieving in the case of Mt. Yulong, the Payments for Ecosystem Service (henceforth, PES) package seems to be most effective in addressing the environmental conservation issues as well as enhancing the economic development.
Essays on income tax evasion
Lee, Jeong Dae; Sasatra Sudsawasd (National Institute of Development Administration, 2018)
Tax evasion has a direct impact on government revenues and therefore capacity to provide public goods. Moreover, tax evasion imposes a welfare cost on society by having to resort to more distortionary taxes and discouraging financial transparency, both of which result in inefficient allocation of resources. If tax evasion is concentrated in certain segments of society, equity concerns also arise. The objective of my dissertation is to enhance our understanding of tax evasion-why people cheat the government, old and new ways of cheating, and which remedies may be effective. In Chapter 2, “Cheating the government: Does taxpayer perception matter?”, I ask whether people cheat (in the form of misreporting their income to tax authorities) because they know that they can get away with it or because they genuinely feel that the rules are unfair. Specifically, I incorporate taxpayer perception into a widely used consumption-based method for estimating income tax evasion. Compared to the standard method which distinguishes taxpayers only by their occupational or income type as a way of measuring their “ability” to misreport income, the refined method introduces taxpayers who may be “able but unwilling” to cheat because they feel fairly treated with respect to public services and compared to other taxpayers. Applied to a longitudinal data for Korea (2007-2015), the standard method yields a uniform tax evasion rate of 13 percent, but the refined method provides a range of 7 to 25 percent based on taxpayer perception. This implies that strategies for improving tax compliance must be tailored to different motivations for tax evasion. In Chapter 3, “Hide-and-seek: Can tax treaties reveal offshore wealth?”, I highlight that information asymmetry becomes a far greater challenge in a multiplejurisdiction context, where offshore centres can facilitate tax evasion. In response, governments have introduced new tax treaties to facilitate the exchange of financial account information between jurisdictions, including traditional tax havens. Based on international banking statistics, I examine whether these treaties have had a material impact on offshore tax evasion. Based on panel regression analysis, I find that crossborder deposits in traditional haven jurisdictions, taken as a proxy for offshore evasion in the literature, have declined substantially. However, I also find that these offshore assets are being relocated to few non-compliant tax havens and moreover, “non-haven” offshore financial centres, most notably the United States, which has yet to commit to reciprocal and automatic exchange of information and establish a public register of ultimate beneficial ownership.
Macroeconomic linkage and policy coordination in Asean : a global var analysis
Dau, Thi Mai Lein; Yuthana Sethapramote (National Institute of Development Administration, 2018)
This dissertation aims to comprehensively investigate international macroeconomic linkages among ASEAN-5 countries as well as among ASEAN-5 countries with the rest of the world in a multinational system. Through estimating Global VAR models, the results show several key findings: 1) Generally, ASEAN-5 economies generally respond strongest to real GDP shocks from China, Japan and the United State; especially, China has played an increasing role to ASEAN-5 economy over the study period. However, the responsiveness of ASEAN countries to external shocks varies across countries. Additionally, there exist intra-regional spillovers within ASEAN-5 economies. Regarding to the determinants of ASEAN-5 countries’ economic fluctuation, East Asian countries and the United State have played an increasing role. In particular, the main determinants from East Asia countries are real factors, while those from countries outside the region are financial factors. 2) With a specific focus on external policy spillovers, it finds that both intra- and inter-regional fiscal and monetary spillovers have significant impacts on ASEAN-5 countries. External expansionary fiscal shocks generally cause a significant increase in ASEAN-5 countries’ real GDP; especially, the effects of fiscal spillovers from other East Asian countries (especially, China) are much stronger than those from advanced Western countries. In contrast to fiscal spillover, the effects of monetary spillovers are inconclusive and monetary spillovers from advanced Western countries are stronger than those from East Asian countries. Interestingly, intra-regional policy spillovers among ASEAN countries are also found; particularly, intraregional monetary spillover seems to be stronger than intra-regional fiscal spillovers. 3) Due to inverse impact of external spillovers on ASEAN-5 countries which indicates the need of policy coordination, the study tried to investigate the impact of introducing a common interest rate on ASEAN-5 countries’ real GDP. Generally, a common interest rate would lead to higher GDP growth rate in all member countries in the long run. However, how much each member country could gain depends on which interest rate is applied; such as Singapore and the Philippines seem to gain more from a relatively higher interest rate while a relatively lower common interest rate would lead higher growth rate in the case of Indonesia, Malaysia and Thailand.
Oil price shocks and sector returns in the stock exchange of Thailand
Krit Theplib; Komain Jiranyakul (National Institute of Development Administration, 2019)
This thesis is aimed to contribute to the literature through investigating linkages between the volatility of oil prices and Thailand stock market returns in various industries. Economic theories have established that oil price shocks could create chain reaction effects on the real economic activities. Theoretically, oil price shocks is one of the factors that impact the performance of the Thai stock market. In this thesis, the GARCH approach was employed to determine the impacts of the oil price shocks on each industrial sector listed on the Stock Exchange of Thailand (SET) and on the SET index itself. We analyzed the trend of returns on each industry index from July 2004 to September 2015 using daily data. Overall, we found significant evidence that oil price shocks can alter volatilities of the eight industry indices in terms of both direction and size.
Currency carry trade in emerging market countries
Sitthidej Bumrungsub; Wisit Chaisrisawatsuk (National Institute of Development Administration, 2015)
This dissertation comprises of two purposes: 1) to examine the causal relationship and the volatility spillover between returns of carry trade strategies and equity markets; and 2) to demonstrate the time-varying risk premium of the carry trade. The Granger causality test under the Vector Autoregressive (VAR) model and the multivariate DCC-GARCH (1,1) are employed for the first purpose. The second one adopts the multi-factor model and the Logistic Smooth Transition Regression (LSTAR) for pricing carry trade returns which depend on the returns of equity and bond factors. The risk exposures to factors are allowed to vary across FX volatility regimes. The daily data of ASEAN-5 emerging markets and developed economies span from August 2006 to March 2015, covering 2,251 observations.
The parental time allocation for the Thai economy
Pittaya Gomolman; Wisit Chaisrisawatsuk (National Institute of Development Administration, 2015)
In the altruism hypothesis, parents care about the well-being of their children. They invest both their material resources and time into raising their children because they gain utility from such behaviors. Many economic literatures have focused on the material part of investment in children, such as the education expenditure and bequests. However, time investment is thought to be equally important to the development of children’s skills and abilities. The parental time allocation for child care can affect basic cognitive and behavioral skills of a child, which in turn will have an impact, together with formal schooling, on his human capital and on his productivity. Since parent’s time devoted to child care is taken away from leisure and/or paid employment, parents consider the benefits and costs of time spent on activities and make decisions to allocate their time between the activities in the best possible way that gives them maximum utility. These decisions are based on private returns and costs. From the macroeconomic perspective, a social planner would choose the amounts of parental time for child care so that it results in an optimal solution to achieve a social objective. This social optimal parental time allocation for child care may not coincide with the parents’ decisions in a competitive economy. This draws our motivation to find out what the social parental allocation for child care would be in order to achieve social objectives, in particular, maximizing the total output and minimizing inequality. Our first objective in this study is to construct an economic model with intergenerational transfer within the family that includes bequests, education and parental time allocation for child care, to mimic the earning and income inequality of Thailand. The second objective is to determine the parental time allocation for the Thai economy regarding different social goals such as minimizing earning inequality, minimizing wealth inequality and maximizing total output.
The economics of preserving a world heritage site : the case of Vat Phou and associated ancient setlements within the Champasak cultural landscape, Champasak province, Lao P.D.R.
Kaysone Chansina; Udomsak Seenprachawong (National Institute of Development Administration, 2015)
Heritage resources are important to society due to their historic, educational, tourist and community value. In order to preserve and maintain these resources for current and future generations, understanding human interactions and values are important. For that purpose, this dissertation utilizes economic tools and techniques to identify factors that influence heritage values, and quantifies the economic values of the general public regarding heritage recreation and preservation. Three empirical studies are presented in this dissertation: Empirical Study 1 measures the economic value of Vat Phou and Associated Ancient Settlements within the Champasak Cultural Landscape (Vat Phou), using zonal travel cost method (ZTCM); Empirical Study 2 estimates the willingness-to-pay of Lao citizens to preserve the historic structures at Vat Phou, using contingent valuation methodology (CVM); Empirical Study 3 analyzes the relationship between Lao citizens’ socio-demographic characteristics and their willingness to pay behavior toward the value of cultural landscape (Vat Phou) by applying an economic application discussed in Empirical Study 1 and 2.
Public funding system for Thailand higher education
Nuttaya Yuangyai; Amonrat Apinunmahakul (National Institute of Development Administration, 2016)
This study employs a two-stage double-bootstrap Data Envelopment Analysis (DEA) to evaluate efficiency of Thai public Higher Education Institutions (HEIs) and investigate the relationship between public funding and HEIs’ efficiency. The results from the first-stage analysis disclose a rather high level of average teaching efficiency score, but low level of average research efficiency score. From the analysis of scale efficiency, the findings reveal that teaching inefficiency of Thai public HEIs is mainly caused by inappropriate production scale. Contrarily, research inefficiency of Thai public HEIs is mainly caused by the ability to manage their resources for producing research but not the scale of production. The results from the second-stage analysis indicate that there are two important factors having positively contribution to teaching and research efficiency: the ratio of public funding to Full Time Equivalent Students (FTEs) and the degree of HEIs’ management autonomy and flexibility. Only budgetary factor negatively influencing on teaching and research efficiency is the percentage of HEIs’ investment expenditure. Besides, the government’s share in HEIs’ revenue has negative effects on teaching efficiency, but positive effects on research efficiency. This study, therefore, suggests to Thai government that (a) public funding to HEIs based on numbers of FTEs should be increased and mechanism to allocate public funding should be related to HEIs’ performance; (b) to improve teaching and research efficiency, HEIs should be encouraged to increase mobilization of resources by providing an environment and incentive which makes clear about the benefits of educational support; (c) the revolution of the public HEIs to an autonomous status should be strongly encouraged by: separating out the two roles of national government agencies in the HE Sector; aligning academic and non-academic autonomy; strengthening accountability mechanisms; creating the enabling environment for HE Reform. Finally, to improve HEIs efficiency the following specific changes should be implemented for inefficient HEIs to approach the best practices: improving teaching quality; improving faculty incentive and evaluation systems; constructing better align curricula and instruction with labour market needs; developing HEIs-based research efforts being consistent with individual institutional missions; and improving public-private and cross-border research partnerships.
A welfare analysis of pollution control and FDI
Kanthasat Boontem; Santi Chaisrisawatsuk (National Institute of Development Administration, 2017)
Foreign Direct Investment (FDI) inflows to the host country can drive economic growth especially in developing countries. It is then the strategic planning of such a host country to create a roadmap appealing to these foreign interests. Several policies are then looked at, whereby host countries would implement them in order to attract and leverage these FDI inflows into their economies. On the other hand, when we consider how companies look at their expenditures in terms of overall cost minimization, foreign investors are looking to regions with specific dynamics and countries that can minimize their business while creating economies of scale in the process. Since there are pollution emits from the production process and there are promulgated pollution control regulations in the host country, the cost of pollution abatement is therefore embedded into production costs. Since 1970s there has been a debatable topic among economists about the relation between stringent level of pollution control enforcements and amount of FDI inflows which is related to the pollution heaven hypothesis. The hypothesis states that foreign investors invest in the host countries that having low enforcements of pollution controls and less environmental regulations which perpetually reduce their expenditures and thus create the formula and basis for their decision making. A cycle is then created, with a global conscience saying that these countries are considered by foreign investors as pollution heavens. So, though the countries benefit from constant FDI inflows into their economies, they are also confronted with the inevitability of major environmental impact issues. In this regard, greater economic problems may occur in the long run when the country is forced to look at its overall welfare and wellbeing while weighing their opportunity costs. This dissertation reexamines the relation between pollution control enforcements and FDI inflows, using measurable environmental indicators to quantify the laxity of pollution control enforcements. It examines the impact of pollution control enforcements on FDI inflows, with the null hypothesis that less enforcement will attract more FDI, in industries across the spectrum as well as individual industries. The study was done on a global platform with separate groups of ASEAN countries and domestically within Thailand. Data from the World Bank, UNCTAD and Thailand’s Board of Investment between the years 2008 to 2013 were used with panel data regression. Mixed results were obtained; low levels of pollution control enforcements significantly attracted FDI inflows to ASEAN countries and East Asia Pacific Regions, while in the cases of Europe, Central Asia and the Latin Americas no significant results were found. For Thailand, as a host country, firm-level evaluation procedures using pollution intensity value together with laxity of pollution control enforcements were evaluated. There existed a significant relation between low levels of pollution control enforcements in Thailand and FDI inflows from foreign investors. Evidence of a relation between pollution control enforcements and FDI inflows in Thailand is continuously determined by Computable General Equilibrium (CGE) model in order to investigate the welfare effect to economic agents and also the country as a whole. Thailand’s Social Accounting Matrix (SAM) of the year 2005 was used in CGE to evaluate changes in household’s income as well as for corporate, the government, outputs, exports, imports, aggregate consumption, and the GDP. The welfare investigation by comparison, looks at gains from the increase in household income and GDP versus the loss from the devastating environmental impacts which is not measured or determined in this study. However, evaluation of such welfare loss from the environmental impacts is introduced as a conceptual dimension in the appendix at the end of this study.
Agricultural land abandonment in Thailand
Nararuk Boonyanam; Adis Israngkura (National Institute of Development Administration, 2015)
Thai farmers' poverty stems from several factors such as falling crop prices, high input costs for crop production, shortage of cash for investment, erratic rainfall distribution and all types of land use problems such as landlessness, land rights, land infrastructure and land fragmentation. Although the government has implemented several legislative actions and programs to address these problems, Thai farmers remain largely poor and severe poverty is visible in the form of agricultural land abandonment. Therefore, studying the causes of land abandonment will reflect the causes of poverty and the effectiveness of government agricultural policies. Although the issue of agricultural land abandonment has drawn a lot of attention, rigorous quantification studies are rarely attempted. The objective of this research is to identify the factors that cause agricultural land abandonment and the appropriate policy measures for effectively addressing the problem. The study area is Khon-Kaen Province where a total of 808 agricultural parcel samples were selected for this study. This study utilizes the optimization method based on duality production theory to derive input demand, output supply and land allocation equations. The Simultaneous Tobit estimation was used to estimate the system of nine equations. The study identified the major contributing factors for land abandonment as follows: agricultural machinery prices, followed by semi-right of property right, pesticide price, full right of property right, sugarcane prices, land rental laws, water supply, soil quality, parcel size, and distance to city. Based on the findings, this study recommends the following policies (1) land infrastructure development; (2) limited holding size; (3) community title deeds; (4) agricultural zoning and (5) price subsidy programs with certain adjustments. The existing land rental laws need to be revised while land allocation programs, debt moratorium projects, adverse possession laws and reform of land and property tax act are inconclusive policies. An implication for farmers based on this study is to recognize that the factor behind their poverty do not come from the lack of property right over the land. In addition, they should consider putting more concern in the water supply and soil quality management, finding most appropriate crop for small plot production as well as take advantage of the Agricultural Land Rental Act of 1981 trough leasing process.
The empirical study of the stock returns and the volatility of the stock exchange of Thailand
Supachok Thakolsri; Komain Jiranyakul (National Institute of Development Administration, 2015)
This study investigates the relationship between equity market risks and returns in various aspects. First, the implied volatility transmissions between international stock markets--the United States, European countries, Japan, and Thailand--are examined. The results from the VAR analysis with its application, including the causality tests, show that there exists a bi-directional causality between the returns of the SET50 index and its implied volatility such that both the leverage effect (return-driven) hypothesis and the volatility feedback effect (volatility-driven) hypothesis are satisfied. In addition, the dependencies of the implied volatility series across different countries exist such that changes in uncertainty in the U.S. stock market are transmitted to other markets, including Thailand stock returns and volatility. Second, regarding the asymmetric property of volatility which is characterized by asymmetric GARCH models and the subprime effect, it was found that the subprime effect is significant in the volatility of the SET and eight industry group returns. Positive and negative shocks have different effects on the conditional variance of the agribusiness and food, consumer products, industrials, property and construction, and services industries. However, the ARCH effect was found in the SET index returns and all industries' returns such that the GARCH(1,1) model is appropriate in such a case. The leverage effect hypothesis and volatility feedback hypothesis are also satisfied at the industry level. Third, the return-volatility tradeoff was found to be significantly positive at the aggregate level and 6 industries among all 8 industries, which are agribusiness and food, consumer products, financials, property and construction, resources, and services. However, the interest rate effect on excess returns was statistically significant at the aggregate level and some industries: industrials, property and construction, and resources. The estimates of the relative risk aversion index implies that the industries whose index ranked from highest to lowest were services, agribusiness and food, consumer products, property and construction, financials, technology, resources, and industrials.The major finding implies that volatility measured by conditional standard deviation or variance appear to be important in determining excess stock returns at the aggregate level and industry level for Thailand's stock market, and investors may obtain higher stock returns only by incurring additional risk. There exist instantaneous causal relations between returns and risk such that stock returns are caused by volatility, and returns also lead to stock volatility. In addition, it can be inferred from the negative relationship between the option-derived implied volatility and stock returns that an increase in stock volatility raises the expected risk premium, and lower stock prices through volatility-driven effect, and negative stock returns increases financial leverage, which makes the stock riskier and increases its volatility through a return-driven effect. Regarding the international perspective, the leading role of the U.S. market inferred from the VAR model, impulse response analysis, and variance decomposition can be utilized when predicting not only expected volatilities but also stock returns in Thailand's stock market. Finally, the global financial crisis effect on Thailand's stock returns volatility at both the aggregate level and all eight industries deduced from the modified GARCH models should lead to the development of measures to prevent another future crisis through coordinated crisis management and resolution, and regional cooperation.
Essays in macroeconomics : a DSGE approach
Dunyo, Samuel Kwesi; Saran Sarntisart (National Institute of Development Administration, 2021)
This dissertation consists of two independent essays in macroeconomics. The first essay examined environmental policy and convexity of climate change damage functions while the second one analyzed the impact of Covid-19 pandemic on the Thai economy. Environmental Policy and Convexity of Climate Change Damage Functions: An Experiment with New Keynesian DSGE model. The paper seeks out to investigate how varying degree of convexity of climate change damage function affect economic output and the dynamic response of macroeconomic variables to shocks under different environmental policy regimes. In an economy featuring nominal rigidities and monopolistically competitive firms together with climate change mitigation policy and firm abatement effort, the results show that the choice of damage function affects long term growth of the economy and the performance of climate mitigation policy. A highly convex climate damage function has a significant contractionary effect on economic output and by extension consumption and private investment. This result stands irrespective of the environmental policy put in place. The impact of exogenous shocks on the macroeconomic variables is higher the higher the degree of convexity of the damage function. Cap-and-trade policy compresses the response of macroeconomic variables to these shocks, irrespective of curvature of the damage function. The results are robust to different calibration of the climate damage functions. Impact of Covid-19 On the Thai Economy and The Effectiveness of Monetary Policy: A Bayesian DSGE Model Approach. This study estimates a medium scale dynamic stochastic general equilibrium (DSGE) model for the Thai economy to evaluate the impact of the Covid-19 containment policy on the key macroeconomic aggregates. Shock to labor supply is considered the main transmission channel. We discuss the role of monetary policy in the economic recovery and also identify dominant shocks driving the business cycle. Thai quarterly series from 2011Q1 to 2021Q2 is used for the Bayesian estimation of the model. Though the pandemic shock caused sharp decline in output, consumption and investment, the results suggest a fast recovery in growth rates of the variables in about 2.5 years. At the same time, the dominant shocks that account for output variation in the medium to long term are investment, labor supply, productivity and monetary policy shocks. This revealed the important role of monetary policy in the economic growth of Thailand. The key drivers of Thai household consumption in the long run are investment, labor supply, productivity and monetary policy shocks. On average, investment shock appears to be the key driver of the business cycle at all horizons.

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