Narrow Your Choices

Refine By Topic

Refine By Series

Refine By Language

Refine By Date

—

Refine By IMF Taxonomy

Refine By JEL Taxonomy

Refine by LOC Taxonomy

Refine By THEMA Taxonomy

  • Print
  • Save

Asia and Pacific > Thailand

You are looking at 1 - 10 of 31 items for :

  • Type: Journal Issue x
  • Stock exchanges x
Clear All Modify Search
Cover IMF Working Papers
We Are All in the Same Boat: Cross-Border Spillovers of Climate Risk through International Trade and Supply Chain
Are assets in a landlocked country subject to sea-level rise risk? In this paper, we study the cross-border spillovers of physical climate risks through international trade and supply chain linkages. As we base our findings on historical data between 1970 and 2018, we observe that globalization increased the similarity of countries’ global climate risk exposures. Exposures to foreign climatic disasters in major trade partner countries (both upstream and downstream) lower the home-country stock market valuation for the aggregate market and for the tradable sectors. We also find that exposures to foreign long-term climate change risks reduce the asset price valuations of the tradable sectors at home. Findings in this paper suggest that climate adaptation efforts in a country can have positive externalities on other countries’ macrofinancial performance and stability through international trade.
Keywords:
climate risk; financial spillover; supply chain; financial stability; WP; risk exposure; disaster damage; spillover index; exposure measure; assets ratio; expected return; Climate change; Stock markets; Foreign currency exposure; Financial sector; Natural disasters; Global
Cover IMF Working Papers
Exchange Rate Fluctuations and International Portfolio Rebalancing in Thailand
Mr. Jacob Gyntelberg
,
Mr. Subhanij Tientip
, and
Mr. Mico Loretan
We present empirical evidence that the Thai baht’s value is driven in part by investors’ cross-border equity portfolio rebalancing decisions. Our results are based on comprehensive datasets of FX and stock market transactions undertaken by nonresident investors in Thailand in 2005 and 2006. Higher returns in the stock market relative to a reference stock market are associated with net sales of equities by these investors and a depreciation of the Thai baht. Net purchases of Thai equities lead to an appreciation of the Thai baht. Foreign investors do not appear to hedge the foreign exchange risk related to their stock market positions.
Keywords:
WP; investor; baht; exchange rate; dollar; Thailand; Foreign exchange market; capital flows; equity market; portfolio rebalancing; Thai baht; spot exchange rate; order flow; FX market; nonresident investor; Currency markets; Stock markets; Exchange rates; Currency swaps; Global
Cover IMF Working Papers
Private Information, Capital Flows, and Exchange Rates
Mr. Jacob Gyntelberg
,
Mr. Subhanij Tientip
, and
Mr. Mico Loretan
We demonstrate empirically that not all capital flows influence exchange rates equally: Capital flows induced by foreign investors’ stock market transactions have both an economically significant and a permanent impact on exchange rates, whereas capital flows induced by foreign investors’ transactions in government bond markets do not. We relate these differences in the price impact of capital flows to differences in the amounts of private information conveyed by these flows. Our empirical findings are based on novel, daily-frequency datasets on prices and quantities of all transactions of foreign investors in the stock, bond, and onshore FX markets of Thailand.
Keywords:
WP; FX order flow; FX transaction; FX dealer; Thai baht; bond order flow; bond order flow series; component FX order flow; customer order flow; FX order flow shock; FX risk; FX swap order flow; swap transaction; Order flow; private information; exchange rate models; market microstructure; exchange rate fluctuation; responses to FX order flow shock; FX order flow regression; flow series; Citibank customer order flow; Stock markets; Currency markets; Securities markets; Exchange rates; Global
Cover IMF Working Papers
Risk Sharing and Financial Contagion in Asia: An Asset Price Perspective
Mr. Phurichai Rungcharoenkitkul
This paper assesses financial integration in Asia in terms of risk-sharing benefit versus financial-contagion cost. We construct a new measure of risk sharing based on a term structure model, which allows identification of realized stochastic discount factors. Risk sharing is low in Asia, and varies across time and countries, whereas contagion risks are more significant intra-regionally, and relatively stable over the past decade. An overall tradeoff exists between risk sharing and contagion, but the terms of tradeoffs vary across countries, depending on relative economic fluctuations and inflation differentials. Asia, therefore, can potentially enhance risk sharing without raising contagion risk.
Keywords:
WP; Risk sharing; financial crisis; financial integration; contagion; affine term structure model; contagion risk; time series; standard deviation; risks low; spillover risk; market rule; benefit perspective; Financial contagion; Financial sector development; Asset prices; Stock markets; Asia and Pacific; Global
Cover IMF Working Papers
Global Volatility and Forex Returns in East Asia
Sanjay Kalra
During 2001-07, increases in mature market volatility were associated with declines in forex returns for East Asian countries, consistent with an overall "flight to safety" effect. Estimates from GARCH models suggest that a 5 percentage point increase in mature market equity volatility generated an exchange rate depreciation of up to ½ percent. This sensitivity rose during the latter period in the sample, suggesting greater integration of Asian financial markets with global markets. Unconditional standard deviations estimated from these models also provide operational measures of "long-term" and "excess" volatility in forex markets. Long-run forex volatility declined as Asian economies settled down with generally stronger fundamentals in the post-crisis period to more flexible regimes along with a generally lower level of mature market volatility.
Keywords:
WP; VDAX indices
Cover IMF Working Papers
Corporate Governance Quality: Trends and Real Effects
Mr. Kenichi Ueda
,
Mr. Gianni De Nicolo
, and
Mr. Luc Laeven
This paper constructs a composite index of corporate governance quality, documents its evolution from 1994 through 2003 in selected emerging and developed economies, and assesses its impact on aggregate and corporate growth and productivity. Our investigation yields three main findings. First, corporate governance quality in most countries has overall improved, although to varying degrees and with a few notable exceptions. Second, the data exhibit cross-country convergence in corporate governance quality with countries that score poorly initially catching up with countries with high corporate governance scores. Third, the impact of improvements in corporate governance quality on traditional measures of real economic activity-GDP growth, productivity growth, and the ratio of investment to GDP- is positive, significant, and quantitatively relevant, and the growth effect is particularly pronounced for industries that are most dependent on external finance.
Keywords:
WP; CGQ Index; economic activity; growth rate
Cover IMF Policy Discussion Papers
Vanishing Contagion?
Mr. Paolo Mauro
,
Tatiana Didier
, and
Mr. Sergio L. Schmukler
While a number of emerging market crises were characterized by widespread contagion during the 1990s, more recent crises (notably, in Argentina) have been mostly contained within national borders. This has led some observers to wonder whether contagion might have become a feature of the past, with markets now better discriminating between countries with good and bad fundamentals. This paper argues that a prudent working assumption is that contagion has not vanished permanently. Available data do not seem to point to a disappearance of the main channels that contribute to transmitting crises across countries. Moreover, anticipation of the Argentine crisis by international investors may help explain the recent absence of contagion.
Keywords:
PDP; crisis; investor; mutual fund; market price; net; crises; international integration; international transmission of shocks; emerging market country; mutual fund holding; ERM crisis; crisis economy; crisis month; Mutual funds; Emerging and frontier financial markets; Hedge funds; Stock markets; East Asia; Eastern Europe
Cover IMF Working Papers
When in Peril, Retrench: Testing the Portfolio Channel of Contagion
International Monetary Fund
One plausible mechanism through which financial market shocks may propagate across countries is through the effect of past gains and losses on investors' risk aversion. We first present a simple model on how heterogeneous changes in investors' risk aversion affect portfolio decisions and stock prices. Second, we empirically show that, when funds' returns are below average, they adjust their holdings toward the average (or benchmark) portfolio. In other words, they tend to sell the assets of countries in which they were "overweight," increasing their exposure to countries in which they were "underweight." Based on this insight, we construct a matrix of financial interdependence reflecting the extent to which countries share overexposed funds. This index can improve predictions about which countries are likely to be affected by contagion from crisis centers.
Keywords:
WP; emerging market; mutual fund
Cover IMF Working Papers
The Quality Effect: Does Financial Liberalization Improve the Allocation of Capital?
Mr. Abdul d Abiad
,
Nienke Oomes
, and
Mr. Kenichi Ueda
The study documents evidence of a "quality effect" of financial liberalization on allocative efficiency, which is measured by the dispersion in Tobin's Q across firms. Based on a simple model, the authors predict that financial liberalization, by equalizing access to credit, reduces the variation in expected marginal returns. They test this prediction using a new financial liberalization index and firm-level data for five emerging markets: India, Jordan, Korea, Malaysia, and Thailand. They find strong evidence that financial liberalization, rather than financial deepening, improves allocative efficiency.
Keywords:
WP; financial liberalization; bank credit; dependent variable; liberalization index; Tobin’s Q; investment; allocative efficiency; inequality; liberalization subcomponent; credit allocation; inflation rate; production function; liberalization date; stock market capitalization; book value; liberalization exercise; Stock markets; Inflation; Credit; Market capitalization; Financial sector; East Asia; Global
Cover IMF Working Papers
Fatal Attraction: A New Measure of Contagion
Mr. Tamim Bayoumi
,
Mr. Manmohan S. Kumar
,
Mr. Giorgio Fazio
, and
Mr. Ronald MacDonald
This paper proposes a new measure of contagion that is good at anticipating future vulnerabilities. Building on previous work, it uses correlations of equity markets across countries to measure contagion, but in a departure from previous practice it measures contagion using the relationship of these correlations with distance. Also in contrast to previous work, our test is good at identifying periods of "positive contagion," in which capital flows to emerging markets in a herd-like manner, largely unrelated to fundamentals. Identifying such periods of "fatal attraction" is important as they provide the essential ingredients for subsequent crises and rapid outflows of capital.
Keywords:
WP; crisis; Contagion; international capital flows; emerging market crises; crisis outbreak; tequila crisis; market correlation; Asia crisis; Russia crisis; exchange rate panel; uninformed investor; Emerging and frontier financial markets; Real exchange rates; Capital inflows; Exchange rates; Stock markets; Asia and Pacific