Browsing GSDE: Dissertations by Author "Yuthana Sethapramote"

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    Competition and the bank lending channel : evidence from bank - level data in Thailand 

    Jakkrich Jearviriyaboonya; Yuthana Sethapramote (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 ...
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    Essays on credit risk measurement 

    Pornpong Sakdapat; Yuthana Sethapramote (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 ...
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    Exchange rate co-movement and volatility spill over in Africa 

    Carsamer, Emmanuel; Yuthana Sethapramote (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 ...
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    Forecasting government bond yields in Thailand 

    Wantana Buaban; Yuthana Sethapramote (National Institute of Development Administration, 2021)

    This dissertation aims to comprehensively investigates key macroeconomic factors and bond yield interaction in Thai bond market, and analyzes the impacts of both domestic and international economic factors on the fixed income yields in different maturities of 1-, 3-, 5-, 7-, and 10-year movements, as well as forecasts the future bond yields of different maturities with macroeconomy, including comparing the best predictive yields with each model. Through estimating VAR, Bayesian VAR, and Single Equation (SE) approaches as well as Random Walk (RW) ...
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    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 ...