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Asia and Pacific > Thailand

You are looking at 1 - 8 of 8 items for :

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Cover IMF Working Papers
On the Macroeconomic Consequences of Over-Optimism
Paul Beaudry
and
Tim Willems
Is over-optimism about a country's future growth perspective good for an economy, or does over-optimism also come with costs? In this paper we provide evidence that recessions, fiscal problems, as well as Balance of Payment-difficulties are more likely to arise in countries where past growth expectations have been overly optimistic. To examine this question, we look at the medium-run effects of instances of over-optimism or caution in IMF forecasts. To isolate the causal effect of over-optimism we take an instrumental variables approach, where we exploit variation provided by the allocation of IMF Mission Chiefs across countries. As a necessary first step, we document that IMF Mission Chiefs tend to systematically differ in their individual degrees of forecast-optimism or caution. The mechanism that transforms over-optimism into a later recession seems to run through higher debt accumulation, both public and private. Our findings illustrate the potency of unjustified optimism and underline the importance of basing economic forecasts upon realistic medium-term prospects.
Keywords:
WP; real GDP; noise shocks; sentiment; forecasts; recessions; IMF country team; recession dummy; IMF mission chief; IMF decision makers; IMF team; Estimation techniques; Global
Cover IMF Working Papers
Effectiveness of Capital Outflow Restrictions
Christian Saborowski
,
Sarah Sanya
,
Hans Weisfeld
, and
Juan Yepez
This paper examines the effectiveness of capital outflow restrictions in a sample of 37 emerging market economies during the period 1995-2010, using a panel vector autoregression approach with interaction terms. Specifically, it examines whether a tightening of outflow restrictions helps reduce net capital outflows. We find that such tightening is effective if it is supported by strong macroeconomic fundamentals or good institutions, or if existing restrictions are already fairly comprehensive. When none of these three conditions is fulfilled, a tightening of restrictions fails to reduce net outflows as it provokes a sizeable decline in gross inflows, mainly driven by foreign investors.
Keywords:
WP; outflow control index; capital; outflow restriction; Capital flows; Capital controls; Emerging economies; inflow control intensity; flow variable; control tightening; capital flow restriction; interest rate stabilization; outflow control restriction; Capital outflows; Industrial production; Vector autoregression; Global
Cover IMF Staff Country Reports
Indonesia: Selected Issues
International Monetary Fund
This Selected Issues paper assesses Indonesia’s trade integration relative to underlying country characteristics. The paper analyzes Indonesia’s vulnerabilities, especially compared with the eve of the crisis in 1997. Various indicators suggest that the underlying fundamentals are significantly stronger. The paper examines key features of the financial safety net (FSN) in view of international standards and concludes that the current system is capable of timely addressing bank problems. It looks at determinants of, and constraints to, credit growth in recent years.
Keywords:
ISCR; CR; Indonesia; bank; spending; FDI inflow; priority spending; Indonesia's lack; chapter III; portfolio inflow; Credit; Fiscal space; Financial safety nets; Deposit insurance; Gravity models; Asia and Pacific; Global; East Asia; Southeast Asia
Cover IMF Working Papers
Early Warning Systems: A Survey and a Regime-Switching Approach
Mr. Abdul d Abiad
Previous early-warning systems (EWSs) for currency crises have relied on models that require a priori dating of crises. This paper proposes an alternative EWS, based on a Markov-switching model, which identifies and characterizes crisis periods endogenously; this also allows the model to utilize information contained in exchange rate dynamics. The model is estimated using data for the period 1972-99 for the Asian crisis countries, taking a country-by-country approach. The model outperforms standard EWSs, both in signaling crises and reducing false alarms. Two lessons emerge. First, accounting for the dynamics of exchange rates is important. Second, different indicators matter for different countries, suggesting that the assumption of parameter constancy underlying panel estimates of EWSs may contribute to poor performance.
Keywords:
WP; exchange rate; growth rate; Markov chain; Currency crisis; early warning system; regime switching; Markov switching; crisis probability; short-term debt; nominal exchange rate; crisis date; identification method; crisis vulnerability; discriminant analysis; crisis index; crisis measure; crisis duration; crisis-identification threshold; Currency crises; Early warning systems; Exchange rates; Markov-switching models; Global
Cover IMF Working Papers
Speculative Attacks in the Asian Crisis
Mr. Zhiwei Zhang
This paper takes the Asian crisis as an example to show that the Autoregressive Conditional Hazard (ACH) model is a powerful tool for studying the time series features of speculative attacks. The ACH model proposes a duration variable to capture the changes in the frequency of attacks, which might be an important factor influencing investors' expectations. The empirical results show that the ACH model explains the crisis far better than the Probit model. The duration variable is highly significant while most fundamentals are not. The contagion effect is tested and accepted under the ACH specification.
Keywords:
WP; exchange rate; ACH; currency crisis; duration analysis; ACH model; ACH specification; contagion effect; specification to model change; contagion theory; contagion variable; Probit models; Exchange rate adjustments; Currencies; Exchange rates; Real exchange rates; Global; East Asia
Cover IMF Working Papers
Contagion, Monsoons, and Domestic Turmoil in Indonesia: A Case Study in the Asian Currency Crisis
Ms. Sweta Chaman Saxena
and
Ms. Valerie Cerra
This paper investigates whether Indonesia’s recent currency crisis was due to domestic fundamentals, common external shocks (“monsoons”), or contagion from neighboring countries. Markov-switching models attribute speculative pressure on Indonesia’s currency to domestic political and financial factors and contagion from speculative pressures in Thailand and Korea. In particular, the results from a time-varying transition probability Markov-switching model (which overcomes some drawbacks of previous methods) show that inclusion of exchange rate pressures from Thailand and Korea in the transition probabilities improves the conditional probabilities of crisis in Indonesia. There is also evidence of contagion in the stock market.
Keywords:
WP; transition probability; Currency crisis; Contagion; Indonesia; Markov-switching models; crisis state; Indonesia's MPI; pressure in Thailand; exchange rate pressure; forecasted values; crisis in Indonesia; exchange rate crisis; confidence index; overvalued exchange rate; MSM result; MPIS from Thailand; Exchange rates; Real effective exchange rates; Probit models; Stock markets; Asia and Pacific; Global; East Asia; South Asia
Cover IMF Working Papers
Are Currency Crises Predictable? A Test
Ms. Catherine A Pattillo
and
Mr. Andrew Berg
This paper evaluates three models for predicting currency crises that were proposed before 1997. The idea is to answer the question: if we had been using these models in late 1996, how well armed would we have been to predict the Asian crisis? The results are mixed but somewhat encouraging. One model, and our modifications to it, provide useful forecasts, at least compared with a naive benchmark. The head-to-head comparison also sheds light on the economics of currency crises, the nature of the Asian crisis, and issues in the empirical modeling of currency crises.
Keywords:
WP; probability of crisis; KLR crisis date; crisis index; currency crisis; Currency crises; vulnerability indicators; Asian crisis; balance of payments crises; crisis prediction; crisis countries Thailand; crisis probability; crisis date; Real exchange rates; Early warning systems; Probit models; Current account; Global; Asia and Pacific; Africa
Cover IMF Working Papers
Saving in Southeast Asia and Latin America Compared: Searching for Policy Lessons
Mr. Christian Thimann
and
Mrs. Anuradha Dayal-Gulati
This paper examines empirical determinants of private saving for a sample of economies in Southeast Asia and Latin America over the period 1975–95. It uses panel estimations to establish relationships between private saving rates and a range of policy and nonpolicy variables. The findings show that fiscal policy, particularly social security arrangements, influence private saving; also macroeconomic stability and financial deepening appear to have been important in accounting for differences in saving behavior between the two regions.
Keywords:
WP; saving; GDP; financial market; saving rate; Southeast Asia; Latin America; government saving; saving scheme; A. saving trend; saving behavior; saving motive; Private savings; Income; Estimation techniques; Financial sector development; Pension spending