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Chamadanai Marknual

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Photo of Chamadani Marknual
  • Title: Mr
  • Position: PhD Student - Department of Economics

Contact Details

Student information

  • Load: PhD Student Full Time
  • Principal supervisor: Prof Jeffrey Sheen
  • Associate supervisor: Dr. Natalia Ponomareva
  • Date of submission: 17/08/2014
  • Thesis title: Inflation Targeting Response to Asset Price Misalignment: a Comparison Study between Asian Small Opened-Economies
  • Abstract:

    For the past two decades, inflation targeting has become a monetary policy regime in many countries especially emerging economies. During the 1960s to the 1980s, many industrialized countries experienced high and volatile inflation rate. Since then, a low and stable inflation rate has been is the ultimate goal of monetary policy. Mishkin and Schmidt-Hebbel (2007) provide evidence that many countries on an inflation target can achieve a lower inflation rate in the long run as well as obtain inflation rates close to their targets. Thus, inflation targeting is often credited with reducing both the level and variability of inflation.

    Although the official target anchor that the central bank announces to the public is inflation, this does not mean that the central bank has only a single objective to achieve. The optimal target criterion involves not only inflation, but also the output gap and perhaps other macroeconomic variables. Borio and Lowe (2002), Cecchetti, Genberg and Wadhawani (2003), Kontonikas and Ioannodis (2005) and Akram and Eitrheim (2008) apply a New Keynesian model to investigate the appropriate reaction of central bank to asset price misalignment and suggest that an inflation target can be achieved at any given time horizon with smoothing path. Hence, monetary policy should not strongly respond to inflation but should also react to stabilize the output gap and asset prices.

    This research attempts to evaluate the monetary policy rules that are able to stabilize both the price level and asset prices in small open-economies.

    The implications of an inflation targeting for asset prices will be examined by applying a standard New Keynesian model for small open-economies. To parameterize the model, this study will use a Bayesian method and then solve the model by the method of undetermined coefficients. Prior to using the model, this research will investigate the propagation of monetary policy shocks by simulating impulse responses. Thereafter, the sensitivity analysis will be undertaken to examine how macroeconomic variables change when different interest rate rule parameters are applied. This research will also test for robustness by comparing the variability of macroeconomic variables when different welfare loss functions are employed. Finally, the research will evaluate the performance of different interest rate rules compared with a Taylor-type rule by assess the efficiency and welfare loss. Interest rate rule that generate the least standard deviation of macroeconomic variables as well as the least welfare loss is considered as an optimal inflation targeting.

  • Purpose: Since 2009, concern about sovereign default risk widens the European bond spread. The Spanish spread surged due to larger-than-expected budget deficit. Therefore, term structure model that links fiscal exposure can explain how yield evolves during crisis.
  • Originality: Yield curve can be decomposed into latent factors. Nelson and Siegel (1987) fitted yield curve with exponential-polynomial factor loading. However, the yield evolution is also driven by macro-variables as in Diebold, Rudebusch and Aruoba (2006). So far, there is still lack of economic literatures that clarifies how fiscal variable affects yield.
  • Key Literature/theoretical perspective: Regarding Schuknecht et. al. (2009), sovereign default risk determines spread. Wider spread implies higher risk-aversion. Borgy et.al. (2011) employed affine model to explain a large spread in Eurozone and found strong relationship between fiscal insolvency and yield.
  • Design/methodology/approach: This study used end-of-month Spanish yield and macro-variables, including budget deficit from 1998 to 2011. Yield is modelled by the Nelson-Siegel. Assuming latent factors and macro-variables follow a first order vector autoregressive process and presenting in a state space form, all parameters can be estimated by using prediction error decomposition of the likelihood and obtain optimal estimates via the Kalman filter.
  • Findings: The estimation of the Spanish yield fitted the data and reproduced the stylized facts well. To examine the dynamic of yield via impulse response function, I found the improvement of budget balance leads to a transitory significant response of yield curve level and slope.
  • Keywords: “Tests of Technical Trading Profitability in Australian Financial Markets”

Research Experience

In English:
  • The Effect of Speculative Attack on Thai Foreign Exchange Market and the Balance of Payment Crisis, Research Project Submitted in Partial Fulfillment of the Requirement for the Master of Arts in International Economics and Finance, Faculty of Economics, Chulalongkorn University, 1997 (under the supervision of Associate Professor Kitti Limsakul, Faculty of Economics, Chulalongkorn University)
  • Human Development in the Rural Area of Thailand, the Japan Center for Economic Research (JCER) in coordination with the World Bank, 2001 (under the supervision of Associate Professor Sompop Manarungsan, Faculty of Economics, Chulalongkorn University)
  • The Study of Economic Impact of the Implementation of Taxation on Rolled-your-own Tobacco, Philip Morris (Thailand) Limited and The Excise Tax Department. Ministry of Finance, 2005
  • Inflation Targeting Response to Asset Price Misalignment: the Case of Thailand, Research Project Submitted in Partial Fulfillment of the Requirement for the Master of Commerce in Economics, Faculty of Business and Economics, University of Melbourne, 2009 (under the supervision of Associate Professor Chris Edmond, Faculty of Business and Economics, University of Melbourne) 
In Thai:
  • The Impact of Financial Liberalization on Thailand Interest Rate, Individual Study Submitted in Partial Fulfillment of the Requirement for the Bachelor of Economics, Faculty of Economics, Chulalongkorn University, 1993 (under the supervision of Assistant Professor Charles Keng-chon, Faculty of Economics, Chulalongkorn University)
  • TAC Customer Satisfaction Survey, AIS Public Company Limited, 1998
  • Billing On-time Delivery Service, AIS Public Company Limited, 1999
  • MEA Customer Satisfaction Survey, Metropolitan Electricity Authority, 2000 (under the supervision of Associate Professor Kitti Limsakul, Faculty of Economics, Chulalongkorn University)
  • The Measurement of the Non-observed Economy in Thailand, Office of the National Economic and Social Development Board, 2004
  • Prime Minister Thaksin Shinawatra’s Grassroot Developement Policy: a Policy Monitoring and Evaluation of the Economic and Social Impact during 2001-2004, Office of the National Economic and Social Development Board, 2005 (under the supervision of Associate Professor Sakon Varanyuwatana, Faculty of Economics, Thammasat University)
  • The Impact of Avian Influenza Epidemic on Economic and Consumer Confidence, the National Research Council of Thailand, 2005  
  • Fiscal Decentralization in Thailand: Retrospective and Prospective, Office of National Decentralization Committee, 2006 (under the supervision of Associate Professor Sakon Varanyuwatana, Faculty of Economics, Thammasat University) 
  • The Cost-effectiveness Analysis on the Implementation of Individualized Educational Program for the Student with Autism and Pervasive Developmental Disorder-Not Otherwise Specified (PDD-NOS), the National Research Council of Thailand, 2006

Publications

In English:

  • “The Measurement of the Non-observed Economy in Thailand”, Country Paper Presented in “OECD/UNESCAP/ADB Workshop on Assessing and Improving Statistical Quality: Measuring the Non-Observed Economy” Bangkok 2004
In Thai:
  • “Debt Crisis and Thailand Public Debt Position”, Journal of Management Sciences, Faculty of Management Sciences, Bansomdejchaopraya Rajabhat University, 2000  
  • “Balance of Payment Crisis: a Thailand Case”, Journal of Management Sciences, Faculty of Management Sciences, Bansomdejchaopraya Rajabhat University, 2001 
  • “A Study of Prime Minister Thaksin Shinawatra’s Development Policy on Strengthen Grassroot Economy”, Journal of Management Sciences, Faculty of Management Sciences, Bansomdejchaopraya Rajabhat University, 2002 
  • “A Study of Prime Minister Thaksin Shinawatra’s Development Policy on Strengthen Grassroot Economy”, Conference Paper in “Strategic Administration for Thailand Development” the First National Conference on Development Administration, 6-7 September 2002, Faculty of Management Sciences, Bansomdejchaopraya Rajabhat University, 2002 
  • “Thai Economy: On the Path of Recovery”, Journal of Management Sciences, Faculty of Management Sciences, Bansomdejchaopraya Rajabhat University, 2003
  • "Informal Economy: An Economic Perspective". Journal of Economic and Social Development, Office of the National Economic and Social Development Board, 2004
  • “Gross Domestic Product: Is It Suitable Index for Development”. Journal of Economic and Social Development, Office of the National Economic and Social Development Board, 2005 
  • “Gross Domestic Happiness: A Conceptual Framework and Implication for Thailand Economic Development Indicator”. Journal of Economic and Social Development, Office of the National Economic and Social Development Board, 2007
  • "The Relationship between Private Consumption and Disposable Income in Thailand: An Evidence of Permanent Income Hypothesis". Journal of Economic and Social Development, Office of the National Economic and Social Development Board, 2008
  • “The Effect of Intra-regional Trade and Economic Integration in Asia on Thailand’s Export and Import Price Indices”. Journal of Economic and Social Development, Office of the National Economic and Social Development Board, 2008