Chukiat Chaiboonsri

Frontier of Econometrics Time Series Analysis in ICT's Stock Market of Thailand: Maximum Entropy Bootstrap Approach

Abstract Maximum Entropy Bootstrap proposed by Vinod and Lacalle (2009) was tested in the Stock Exchange of Thailand(SET) to demonstrate an influence significant relationship with three companies listed in the Technology Industry Group, Information & Communication Technology (ICT) Sector during period of 2008-2012(daily data). From statistical relationship, can easily be overwhelmed by computed forces far more powerful than the past statistical procedures. The study found the exact boundaries of an influence significant relationship indicated the reason to believe Maximum Entropy Bootstrap newer, wiser, and more powerful than conventional statistics are. The progress of Maximum Entropy Bootstrap through the past many years is quantitatively reviewed for the first time used with the Stock Exchange of Thailand (SET). Probabilistic capability and coverage density function are both found to fix the problem especially the case of time series econometrics model estimation.

Relationships between Effective and Expected Interest Rates as a Transmission Mechanism for Monetary Policy: Evidence on the Brazilian Economy using MS-models and a Bayesian VAR

This work applies Markov-switching models and a Bayesian VAR in order to verify empirical relationships between expected and effective short term interest rates in Brazil. The main results corroborate the theoretical idea according to which the Central Bank can smooth adjustments of effective short term interest rates, given that these last ones have effects on expected short term rates, thereby influencing long term interest rates, which are fundamental for controlling output activity and price changes. Besides, the MS-models show that these empirical relationships are more significant under a “higher response regime”. At last, the BVAR test yields impulse-response functions showing that shocks in expected rates have more persistent impacts on effective rates than what is observed from the opposite direction. This evidence gives support for the idea of a transparent and predictable monetary policy in Brazil.

The Production of Thailand's Sugarcane: Using Panel Data Envelopment Analysis (Panel DEA) Based Decision on Bootstrapping Method

Abstract This study examine the statistical properties of technical efficiency (TE) was estimated by Data Envelopment Analysis in the panel data setting (Panel DEA) using collected data for sugarcane farming households in major regions of Thailand. The information about sugarcane in during period of 5 crop from 2008-2012 to analyse technical efficiency. A Panel Bootstrap Method is conducted to indicate statistical exactness of Panel Data Envelopment Analysis. Bootstrapping DEA panel data approach was used in empirical analysis despite being an important statistical tool for improving the estimation accuracy. Technical efficiency is modelled as a function of sugarcane yield and production factors. The results from the deterministic, indicate that the statistical properties, technical efficiency in term of sugarcane yield per rai * is significantly influenced by Area planted per rai and Rainfall (mm Lilit) as rainfall regional factors. In addition, scale efficiency analysis shows that for two ordinarily long years, the efficiency analysis of farm households involved in sugarcane production can be adopted for policy recommendation based on bootstrapping DEA panel data approaches because the mean of bootstrapping Panel DEA approach equal to the mean of DEA approach in the panel data setting in both 2008 and 2011 only. This is the contribution of this paper whenever the scholars want to estimate the DEA panel data approaches the results of these Simulations confirm these theoretical results by bootstrapping Panel DEA approach.

International Tourists Arrival to Thailand: Forecasting by Non-linear Model☆

Abstract The aim of this study is to provide non-linear forecasting models for prediction of the international tourist arrival to Thailand by using data from period 1998-2014(Feb.). The seasonal unit root test (HEGY-test extent version) was carried out to test this data. Based on this testing is found that the number of international tourist arrivals to Thailand was affected by seasonal unit root process for during period of this study. Therefore, both the MS-VAR model and AR model are employed to predict this data for future of Thailand. The empirical results from this research was concluded that in high seasonal period can be use AR (2)-MLE, AR (2)-MLE-bootstrapping, and AR(1)-ME-bootstrapping to predict the number of international tourist arrivals to Thailand for future years. However, in low seasonal period only AR(1)-ME-bootstrapping can be used to predict the number of international tourist arrival to Thailand for future years.

Forecasting methods for safeguarding ASEAN-5 stock exchanges during extreme volatility

The main reason for using Bayesian approach and Pickandss dependent function for prediction and estimation in this research is the beginning of the multiplex econometric methods. The multiplex econometric examination resulted that predictive value of the minimum index points on real-time for five stock markets consisting of SGX, KLSE, SET, IDX, and PSE. Comparison of the previous examples should illustrate the wide range of gain or loss values related resulting from changing factors on the economic stimulus policy before the potential occurrence of financial crisis after 2015. As indicated previously, the majority results are only as good as the input data from the selected period, 1987-2015. The results of this research may use to be a signal to present the financial disorder in five ASEAN Exchange markets involving an economic weakening. Moreover, it would be used to guide the defining of any policy for protection of financial disorders.

Money Supply Influencing on Economic Growth-wide Phenomena of AEC Open Region

Abstract This paper aims to study a big picture on relationship between money supply and economic growth-wide phenomena of AEC open region including Thailand, Indonesia, Singapore, Malaysia, Philippines, Vietnam, Lao PDR and Cambodia. The macro variables comprise of economic growth-wide phenomena or GDP growth rates and money growth-wide phenomena or money supply, consisting of money (M1) and demand deposits (DD) of selected countries in ASEAN were tested by using secondary data, covering during nineteen yearly period from 1995 to 2013. Panel unit root and estimation models by using panel ARDL of Pooled Mean Group Estimator (PMGE) were conducted to observe the long run relationship and the short run relationship as a speed of adjustment to the long run equilibrium. The result showed that narrow money (M1), demand deposits (DD), and GDP growth rates were stationary with I(0) and I(1) levels. Also, the result outputs shown coefficients of estimation indicated that money supply were associated with economic growth-wide phenomena of AEC open region in long run including a speed of adjustment to long term equilibrium.

An Economics Analysis of Relationship between the AEC's Demand for ICT and Economy Development Using PCHVAR(x)-Model

Abstract This research is preliminary information of some empirical findings based on an analysis demand for ICT by the panel conditionally homogenous vector autoregressive(x)-model (PCHVAR(x)-model). Moreover, the data was used in this research started from 1996-2011 by panel data in terms of yearly. The empirical results from this research based on simultaneous equation analysis (PCHVAR(x)-model) has already indicated that the AEC demand for fixed phone was higher impacted by AEC population than AEC demand for mobile phone. However, the AEC demand for mobile phone was higher impacted by AEC GDP than AEC demand for fixed phone. In terms of AEC demand for internet user was not involved into the panel conditionally homogenous vector autoregressive(x)-model because it has a difference number of order in the panel unit root test process among of each country in AEC. It is meaning that among of each country in AEC has a different opportunity to access the world wide information. This is a big duel to stimulate ICTs plan to keep going develop for AEC countries more than now a day.

AEC's Demand for ICT: Maximum Entropy Bootstrap Approach in Panel Data☆

Abstract This paper is preliminary information of some empirical findings based on an analysis demand for ICT by using public access facilities of AEC countries. The purpose of the study is to quantify ICT for well-being development of AEC countries with special emphasis on mobile phone, fixed phones and internet user. The maximum entropy bootstrap approach in panel data was presented that rejected the property of stationary. Moreover, the methodology was stratified both the ergodic theorem and the central limit theorem. Firstly, there is a statistically significant positive nonlinear relationship between endogenous demand for mobile phone and exogenous as (1) the number of AEC population and (2) GDP of AEC countries. Secondly, there is a statistically significant positive nonlinear relationship between endogenous demand for fixed phone and exogenous as (1) the number of AEC population and (2) GDP of AEC countries. Lastly, there is a statistically significant positive nonlinear relationship between endogenous demand for internet user and exogenous as (1) the number of AEC population and (2) GDP of AEC countries. The results confirmed that every one percent increase in the number of AEC population influenced on a decrease of AEC demand for ICT by using public access facilities covering mobile phone, fixed phones and internet user.

The Dependence Structure and Co-movement toward between Thai's Currency and Malaysian's Currency: Markov Switching Model in Dynamic Copula Approach (MSDC)☆

Abstract The international finance modelling of AECs currencies have to be investigated more on copula approach that tests as a standard tool in financial modelling. Probabilistic capability and exposure density function are looking how to obtain empirical data for the econometric modelling of time series for financial problems. A unique question for opportunity to study this issue in the financial field is how accurate are the predictions of Markov Switching Model in Dynamic Copula approach (MSDC) algorithm. Dependent structure and co-movement between which cover available daily data during the period 2006-2013 of currencies both Thai Baht (THB) and Malaysian Ringgit (MYR) were investigated. The model selection based on AIC and BIC confirmed that the Elliptical copula fitted for those currencies appreciated value to against the US dollar. The model selection based on AIC and BIC indicated that the Elliptical copula fitted for those currencies depreciated value to against the US dollar. The overall benefit is to give the applied researchers knowledge and information which researchers can understand and apply to obtain confirmation a new reliable knowledge of MSDC and protect the wealth of money market and safety every working day.

Weak dependence between the Brazilian consumer inflation and expected inflation: non–linear and Copulas methods and a note on the Central Bank's credibility

By implementing the Copulas method, this work analyses the dependence relationship or structure between the Brazilian consumer observed inflation and the expected inflation, from January 2005 to June 2011. Its results are consistent with some works for the Brazilian case, as the dependence structure measures showed that there exists a weak relationship between those variables, thereby confirming the hypothesis of high credibility for the Brazilian monetary policy under the inflation targeting period.