Paravee Maneejuk | Chiang Mai University (original) (raw)

Papers by Paravee Maneejuk

Research paper thumbnail of Measuring Dependence in China-United States Trade War: A Dynamic Copula Approach for BRICV and US Stock Markets

Studies in computational intelligence, Nov 14, 2020

The phenomena of trade war between China and United States (US) leads us to examine the spillover... more The phenomena of trade war between China and United States (US) leads us to examine the spillover effects of US stock market volatility on the BRICV stock markets (Brazil, Russia, India, China, and Vietnam). Thus, the dynamic correlations between US and each BRICV stock market, is measured using the flexible dynamic conditional correlations based bivariate GARCH-with-jumps model. The result of both classical bivariate GARCH(1,1) model and bivariate GARCH(1,1)-with-jumps model show that all stock returns have high volatility persistence with the value higher than 0.95. Moreover, the result of DCC-Copula part shows a dynamic correlations between US and each stock in BRICV. We find that the dynamic correlations for all pairs are similar and are not constant. We also find that US stock market has a positive correlations with BRICV stocks between 2012 and 2019. When, we compare the correlations between pre and post trade war in 2018, we observe that bivariate copula between US-China, US-Vietnam and US-Brazil seems to be affected by the trade war as there exhibit a large drop of the correlations after 2018.

Research paper thumbnail of Contagion Effects Among Stock Markets, Treasury Bill, Petroleum, Gold, and Cryptocurrency During the COVID-19 Pandemic: A Dynamic Conditional Correlation Approach

Studies in computational intelligence, Jul 27, 2021

COVID-19 leads us to examine the contagion effects among various financial market volatilities du... more COVID-19 leads us to examine the contagion effects among various financial market volatilities during January 2018–July 2020 embracing the pre- and the during the COVID-19 pandemic. Selected developed and emerging stock markets, bond, oil, gold, and cryptocurrency markets are considered and the dynamic conditional correlations based multivariate GARCH-type models are employed to measure the dynamic correlations among the financial market volatilities. The dynamic correlation enables us to analyse the degree of contagion effects. The results show that most of our return series experience a high volatility persistence with the value higher than 0.80, except for the stock market of US (DJI) and the gold market. When we compare the degree of contagion effects before and during COVID-19, the conditional correlation significantly increases after the COVID-19 announcement in many pairs of financial markets, indicating the contagion effects among these markets during the recent COVID-19 months. However, it is observed that the dynamic correlations between gold-DJI, gold-Stock Exchange of Thailand (SET), and US treasury bill (TNX) are negative during the COVID-19 pandemic, indicating that gold can act as the safe-haven asset for these three markets. © 2022, The Author(s), under exclusive license to Springer Nature Switzerland AG.

Research paper thumbnail of Comparison of entropy measures in generalized maximum entropy estimation

Journal of physics, Jul 1, 2018

Research paper thumbnail of Impact of Economic Policy Uncertainty on Thailand Macroeconomic Variables

Springer eBooks, Aug 6, 2020

This study aims to investigate the impact of the international economic policy uncertainty (U.S.,... more This study aims to investigate the impact of the international economic policy uncertainty (U.S., China, and Japan) on the Thai macroeconomy by using Global Vector Autoregressive (GVAR) model. The model is used to investigate the dynamic relationship across the country. The Generalized impulse response function is also used to examine the response of the macroeconomic indicators against the EPU shock. The results confirm that the economic policy uncertainty can transmit from one country to another country through the trading relationship. In the case of Thailand, the one standard error positive shock of the economic policy uncertainty (EPU) in major economies lead to a decline in Thai economic activities. We find that the foreign EPUs contribute a large impact on Thai export and import.

Research paper thumbnail of Do Copulas Improve an Efficiency of Seemingly Unrelated Regression Model

International Journal of Intelligent Technologies and Applied Statistics, Jun 1, 2016

The conventional SUR model has a strong assumption of normally distributed residuals which might ... more The conventional SUR model has a strong assumption of normally distributed residuals which might not be realistic. What this paper suggests is to take an advantage from Copulas approach in order to relax this normality assumption. Therefore, we introduce the Copulabased SUR model as an alternative to the conventional SUR model. The performance and accuracy of the proposed model are evaluated through the simulation study. We then apply the Copula-based SUR model to the real data set of Thai rubber and compare the estimation result with the result obtained from the conventional SUR model. The results of this paper could support our suggestion that the Copulas can be used appropriately to relax the assumption of normality of residuals in the conventional SUR model.

Research paper thumbnail of Spatial Spillover Effects of Internet Development on Foreign Trade in China

Sustainability, Feb 26, 2023

This article is an open access article distributed under the terms and conditions of the Creative... more This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY

Research paper thumbnail of Time-varying co-movement analysis between COVID-19 shocks and the energy markets using the Markov Switching Dynamic Copula approach

Energy Reports, Sep 1, 2021

The spread of the COVID-19 pandemic in 2020 has contributed a large impact on various economic se... more The spread of the COVID-19 pandemic in 2020 has contributed a large impact on various economic sectors and the energy sector is no exception. In this paper, we analyze the time-varying correlation between COVID-19 shocks (positive and negative) and energy markets (natural gas, gasoil, heating oil, coal, and crude oil) in the time-varying environment. This study adds to the literature by implementing the Markov-switching dynamic copula with Student-t distribution to explore the unexpected COVID-19 pandemic shock effects on energy markets. Our results revealed that (i) there is evidence of correlation between COVID-19 shocks and all energy markets; (ii) the contributions of COVID-19 shocks on energy markets are not constant along 2020. (iii), there is evidence of a similar response of the energy markets to the positive and negative COVID-19 shocks. c

Research paper thumbnail of Survival and Duration Analysis of MSMEs in Chiang Mai, Thailand: Evidence from the Post-COVID-19 Recovery

Mathematics, Feb 4, 2023

This article is an open access article distributed under the terms and conditions of the Creative... more This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY

Research paper thumbnail of Comparison of Entropy Measures in Panel Quantile Regression and Applications to Economic Growth Analysis

Research paper thumbnail of Research Report from the Overseas Training Program 2 2017 in Thailand on “Migrants, Minorities and the Role of Women”

国際開発研究フォーラム, Mar 1, 2018

Administrative introduction by Eiji Shinkai, Kei Fukunaga Methodology, revisited by Naoko Shinkai... more Administrative introduction by Eiji Shinkai, Kei Fukunaga Methodology, revisited by Naoko Shinkai Note: This table does not include preparatory seminars addressed to all the participants of OTP2, such as "Pre-departure presentation of research proposals for the program," other special lectures by invited professors for other destinations, and "Post-OTP2 presentation of research outputs for the program.

Research paper thumbnail of Bayesian Empirical Likelihood Estimation of Smooth Kink Regression

Thai Journal of Mathematics, May 6, 2019

The smooth kink regression model is introduced in this study. The model provides more flexibility... more The smooth kink regression model is introduced in this study. The model provides more flexibility in investigating the nonlinear effect of independent variable on dependent variable. The logistic function is considered as a regime weighting function for separating our two-regime model. In the estimation point of view, we employ the Bayesian empirical likelihood (BEL) as it gives a flexible way of combining data with prior information from our knowledge and the empirical likelihood in order to avoid the misspecification of the likelihood function. The performance and accuracy of the estimation from our proposed model is examined by the simulation study and real data.

Research paper thumbnail of An Empirical Examination of Maximum Entropy in Copula-Based Simultaneous Equations Model

Thai Journal of Mathematics, Dec 27, 2017

In our previous work, copulas were used to connect different marginal distributions in a system o... more In our previous work, copulas were used to connect different marginal distributions in a system of linear equations. And in this study, we aim to further improve the way to join the marginal distributions. We propose entropy copulabased simultaneous equations model, in which the copulas are employed to improve the modeling of joint distribution. Under this model, we do not have to assume a specific distribution for the margins; instead, they are derived from the entropy method. This study will provide a conceptual idea of bivariate entropy copulabased simultaneous equations model and an explanation of how this method works. Then, an empirical experiment will be conducted to explore the performance of our proposed model.

Research paper thumbnail of Expectile Kink Regression: An Application to Service Sector Output

Studies in computational intelligence, Dec 20, 2017

In this study, we propose a non-linear model for explaining the relationship between the dependen... more In this study, we propose a non-linear model for explaining the relationship between the dependent and the independent variables beyond the conditional mean. We extend the kink approach to expectile regression thus the model provides a more flexible means to explain the non-linear relationship in the model across different expectile indices. We also introduce the sup-F statistic test for the existence of kink effect in each expectile. The simulation and application studies are also proposed to examine the performance of our model. We apply our methodology to study the input factor affecting service sector growth in Asian economy. The use of this model allows us to identify and explore the non-linear labour effect on the service output. We can find both labour effect and kink effect present over a range of expectiles in the service output in this application.

Research paper thumbnail of Modelling Volatility Spillovers and Cross Hedging among Major Agricultural Commodity Futures

World Academy of Science, Engineering and Technology, International Journal of Agricultural and Biosystems Engineering, May 4, 2017

Research paper thumbnail of Survival Analysis of Thai Micro and Small Enterprises During the COVID-19 Pandemic

Journal of Business Economics and Management, Nov 16, 2022

Micro and small enterprises (MSEs) are important to the local economy and are the most crucial so... more Micro and small enterprises (MSEs) are important to the local economy and are the most crucial source of employment in Thailand. Using the three-round survey data, we assess the impact of COVID-19 on the survival probability of MSEs in the tourism and manufacturing sectors. Enterprise characteristics such as owner characteristics, employment and business strategies are examined as potential factors to mitigate or stimulate business failures. The Cox proportional hazards model and Kaplan-Meier estimator are employed. Our findings reveal that the survival probability paths from the three rounds of survey show a gradual decrease of survival probability from the first week of interview and approximately 50% of MSEs could not survive longer than 52 weeks during the COVID-19 pandemic. We also find that the survival of MSEs mainly depends on location, number of employees, and business model adjustment, namely operation with social distancing and online marketing. Particularly, retaining employees and not reducing the working hours are one of the key factors increasing the survivability of MSEs. However, the longer length of the crisis reduces the contribution of these key factors. The longer the period of the COVID-19 pandemic, the lower the chance of MSEs survivability.

Research paper thumbnail of Revisiting the Environmental Kuznets Curve hypothesis in OECD during 1970–2016: Panel smooth transition regression

Energy Reports, Dec 1, 2022

Research paper thumbnail of Economic survival duration of Thai workers during COVID-19

Ekonomska Istrazivanja-economic Research, Aug 8, 2022

Research paper thumbnail of Maximum Entropy Quantile Regression with Unknown Quantile

Thai Journal of Mathematics, Dec 27, 2017

Selecting quantile level in quantile regression model has been problematic for some researchers. ... more Selecting quantile level in quantile regression model has been problematic for some researchers. Thus, this paper extends the analysis of quantile regression model by regarding its quantile level as an unknown parameter, as it can improve the prediction accuracy by estimating an appropriate quantile parameter for regression predictors. We develop a primal generalized entropy estimation to obtain the estimates of coefficients and quantile parameter. Monte Carlo simulations for quantile regression models with unknown quantile show that the primal GME estimator outperforms other alternatives like least squares and maximum likelihood estimators when the true quantile parameter is assumed to deviate from median. Finally, our model is applied to study the effect of oil price on stock index to examine the performance of the model in real data analysis.

Research paper thumbnail of Predicting Contagion from the US Financial Crisis to International Stock Markets Using Dynamic Copula with Google Trends

Mathematics, Nov 2, 2019

The accuracy of contagion prediction has been one of the most widely investigated and challenging... more The accuracy of contagion prediction has been one of the most widely investigated and challenging problems in economic research. Much effort has been devoted to investigating the key determinant of contagion and enhancing more powerful prediction models. In this study, we aim to improve the prediction of the contagion effect from the US stock market to the international stock markets by utilizing Google Trends as a new leading indicator for predicting contagion. To improve this contagion prediction, the dynamic copula models are used to investigate the structure of dependence between international markets and the US market, before, during, and after the occurrence of the US financial crisis in 2008. We also incorporate the Google Trends data as the exogenous variables in the time-varying copula equation. Thus, the ARMAX process is introduced. To investigate the predictive power of Google Trends, we employ the likelihood ratio test. Our empirical findings support that Google Trends is a significant leading indicator for predicting contagion in seven out of 10 cases: SP-FTSE, SP-TSX, SP-DAX, SP-Nikkei, SP-BVSP, SP-SSEC, and SP-BSESN pairs. Our Google-based models seem to predict particularly well the effect of the US crisis in 2008. In addition, we find that the contribution of Google Trends to contagion prediction varies among the different stock market pairs. This finding leads to our observation that the more volatile the market time-varying correlation, the more useful Google Trends.

Research paper thumbnail of Minimum Wages and Wage Distribution in Thailand

Journal of Technology and Operations Management

Minimum wage policies were designed to raise the wages of low-skilled workers. In this study, we ... more Minimum wage policies were designed to raise the wages of low-skilled workers. In this study, we use data from the Thai Labor Force Survey (2011-2020) to examine the impact of the minimum wage policy on the wage distribution using a quantile regression model corrected for sample selection with a copula. We find that the minimum wage has the strongest effect on the lowest quantile and the effect decreases toward the higher quantiles. This confirms the effectiveness of the minimum wage policy in raising the wages of low-income individuals. In addition, there is also a spill-over effect on individuals in higher wage quantiles. The effect of the minimum wage estimated by our model is smaller compared to the standard quantile regression. This suggests that without correcting for sampling bias, the estimated effect of the minimum wage leads to an upward bias.

Research paper thumbnail of Measuring Dependence in China-United States Trade War: A Dynamic Copula Approach for BRICV and US Stock Markets

Studies in computational intelligence, Nov 14, 2020

The phenomena of trade war between China and United States (US) leads us to examine the spillover... more The phenomena of trade war between China and United States (US) leads us to examine the spillover effects of US stock market volatility on the BRICV stock markets (Brazil, Russia, India, China, and Vietnam). Thus, the dynamic correlations between US and each BRICV stock market, is measured using the flexible dynamic conditional correlations based bivariate GARCH-with-jumps model. The result of both classical bivariate GARCH(1,1) model and bivariate GARCH(1,1)-with-jumps model show that all stock returns have high volatility persistence with the value higher than 0.95. Moreover, the result of DCC-Copula part shows a dynamic correlations between US and each stock in BRICV. We find that the dynamic correlations for all pairs are similar and are not constant. We also find that US stock market has a positive correlations with BRICV stocks between 2012 and 2019. When, we compare the correlations between pre and post trade war in 2018, we observe that bivariate copula between US-China, US-Vietnam and US-Brazil seems to be affected by the trade war as there exhibit a large drop of the correlations after 2018.

Research paper thumbnail of Contagion Effects Among Stock Markets, Treasury Bill, Petroleum, Gold, and Cryptocurrency During the COVID-19 Pandemic: A Dynamic Conditional Correlation Approach

Studies in computational intelligence, Jul 27, 2021

COVID-19 leads us to examine the contagion effects among various financial market volatilities du... more COVID-19 leads us to examine the contagion effects among various financial market volatilities during January 2018–July 2020 embracing the pre- and the during the COVID-19 pandemic. Selected developed and emerging stock markets, bond, oil, gold, and cryptocurrency markets are considered and the dynamic conditional correlations based multivariate GARCH-type models are employed to measure the dynamic correlations among the financial market volatilities. The dynamic correlation enables us to analyse the degree of contagion effects. The results show that most of our return series experience a high volatility persistence with the value higher than 0.80, except for the stock market of US (DJI) and the gold market. When we compare the degree of contagion effects before and during COVID-19, the conditional correlation significantly increases after the COVID-19 announcement in many pairs of financial markets, indicating the contagion effects among these markets during the recent COVID-19 months. However, it is observed that the dynamic correlations between gold-DJI, gold-Stock Exchange of Thailand (SET), and US treasury bill (TNX) are negative during the COVID-19 pandemic, indicating that gold can act as the safe-haven asset for these three markets. © 2022, The Author(s), under exclusive license to Springer Nature Switzerland AG.

Research paper thumbnail of Comparison of entropy measures in generalized maximum entropy estimation

Journal of physics, Jul 1, 2018

Research paper thumbnail of Impact of Economic Policy Uncertainty on Thailand Macroeconomic Variables

Springer eBooks, Aug 6, 2020

This study aims to investigate the impact of the international economic policy uncertainty (U.S.,... more This study aims to investigate the impact of the international economic policy uncertainty (U.S., China, and Japan) on the Thai macroeconomy by using Global Vector Autoregressive (GVAR) model. The model is used to investigate the dynamic relationship across the country. The Generalized impulse response function is also used to examine the response of the macroeconomic indicators against the EPU shock. The results confirm that the economic policy uncertainty can transmit from one country to another country through the trading relationship. In the case of Thailand, the one standard error positive shock of the economic policy uncertainty (EPU) in major economies lead to a decline in Thai economic activities. We find that the foreign EPUs contribute a large impact on Thai export and import.

Research paper thumbnail of Do Copulas Improve an Efficiency of Seemingly Unrelated Regression Model

International Journal of Intelligent Technologies and Applied Statistics, Jun 1, 2016

The conventional SUR model has a strong assumption of normally distributed residuals which might ... more The conventional SUR model has a strong assumption of normally distributed residuals which might not be realistic. What this paper suggests is to take an advantage from Copulas approach in order to relax this normality assumption. Therefore, we introduce the Copulabased SUR model as an alternative to the conventional SUR model. The performance and accuracy of the proposed model are evaluated through the simulation study. We then apply the Copula-based SUR model to the real data set of Thai rubber and compare the estimation result with the result obtained from the conventional SUR model. The results of this paper could support our suggestion that the Copulas can be used appropriately to relax the assumption of normality of residuals in the conventional SUR model.

Research paper thumbnail of Spatial Spillover Effects of Internet Development on Foreign Trade in China

Sustainability, Feb 26, 2023

This article is an open access article distributed under the terms and conditions of the Creative... more This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY

Research paper thumbnail of Time-varying co-movement analysis between COVID-19 shocks and the energy markets using the Markov Switching Dynamic Copula approach

Energy Reports, Sep 1, 2021

The spread of the COVID-19 pandemic in 2020 has contributed a large impact on various economic se... more The spread of the COVID-19 pandemic in 2020 has contributed a large impact on various economic sectors and the energy sector is no exception. In this paper, we analyze the time-varying correlation between COVID-19 shocks (positive and negative) and energy markets (natural gas, gasoil, heating oil, coal, and crude oil) in the time-varying environment. This study adds to the literature by implementing the Markov-switching dynamic copula with Student-t distribution to explore the unexpected COVID-19 pandemic shock effects on energy markets. Our results revealed that (i) there is evidence of correlation between COVID-19 shocks and all energy markets; (ii) the contributions of COVID-19 shocks on energy markets are not constant along 2020. (iii), there is evidence of a similar response of the energy markets to the positive and negative COVID-19 shocks. c

Research paper thumbnail of Survival and Duration Analysis of MSMEs in Chiang Mai, Thailand: Evidence from the Post-COVID-19 Recovery

Mathematics, Feb 4, 2023

This article is an open access article distributed under the terms and conditions of the Creative... more This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY

Research paper thumbnail of Comparison of Entropy Measures in Panel Quantile Regression and Applications to Economic Growth Analysis

Research paper thumbnail of Research Report from the Overseas Training Program 2 2017 in Thailand on “Migrants, Minorities and the Role of Women”

国際開発研究フォーラム, Mar 1, 2018

Administrative introduction by Eiji Shinkai, Kei Fukunaga Methodology, revisited by Naoko Shinkai... more Administrative introduction by Eiji Shinkai, Kei Fukunaga Methodology, revisited by Naoko Shinkai Note: This table does not include preparatory seminars addressed to all the participants of OTP2, such as "Pre-departure presentation of research proposals for the program," other special lectures by invited professors for other destinations, and "Post-OTP2 presentation of research outputs for the program.

Research paper thumbnail of Bayesian Empirical Likelihood Estimation of Smooth Kink Regression

Thai Journal of Mathematics, May 6, 2019

The smooth kink regression model is introduced in this study. The model provides more flexibility... more The smooth kink regression model is introduced in this study. The model provides more flexibility in investigating the nonlinear effect of independent variable on dependent variable. The logistic function is considered as a regime weighting function for separating our two-regime model. In the estimation point of view, we employ the Bayesian empirical likelihood (BEL) as it gives a flexible way of combining data with prior information from our knowledge and the empirical likelihood in order to avoid the misspecification of the likelihood function. The performance and accuracy of the estimation from our proposed model is examined by the simulation study and real data.

Research paper thumbnail of An Empirical Examination of Maximum Entropy in Copula-Based Simultaneous Equations Model

Thai Journal of Mathematics, Dec 27, 2017

In our previous work, copulas were used to connect different marginal distributions in a system o... more In our previous work, copulas were used to connect different marginal distributions in a system of linear equations. And in this study, we aim to further improve the way to join the marginal distributions. We propose entropy copulabased simultaneous equations model, in which the copulas are employed to improve the modeling of joint distribution. Under this model, we do not have to assume a specific distribution for the margins; instead, they are derived from the entropy method. This study will provide a conceptual idea of bivariate entropy copulabased simultaneous equations model and an explanation of how this method works. Then, an empirical experiment will be conducted to explore the performance of our proposed model.

Research paper thumbnail of Expectile Kink Regression: An Application to Service Sector Output

Studies in computational intelligence, Dec 20, 2017

In this study, we propose a non-linear model for explaining the relationship between the dependen... more In this study, we propose a non-linear model for explaining the relationship between the dependent and the independent variables beyond the conditional mean. We extend the kink approach to expectile regression thus the model provides a more flexible means to explain the non-linear relationship in the model across different expectile indices. We also introduce the sup-F statistic test for the existence of kink effect in each expectile. The simulation and application studies are also proposed to examine the performance of our model. We apply our methodology to study the input factor affecting service sector growth in Asian economy. The use of this model allows us to identify and explore the non-linear labour effect on the service output. We can find both labour effect and kink effect present over a range of expectiles in the service output in this application.

Research paper thumbnail of Modelling Volatility Spillovers and Cross Hedging among Major Agricultural Commodity Futures

World Academy of Science, Engineering and Technology, International Journal of Agricultural and Biosystems Engineering, May 4, 2017

Research paper thumbnail of Survival Analysis of Thai Micro and Small Enterprises During the COVID-19 Pandemic

Journal of Business Economics and Management, Nov 16, 2022

Micro and small enterprises (MSEs) are important to the local economy and are the most crucial so... more Micro and small enterprises (MSEs) are important to the local economy and are the most crucial source of employment in Thailand. Using the three-round survey data, we assess the impact of COVID-19 on the survival probability of MSEs in the tourism and manufacturing sectors. Enterprise characteristics such as owner characteristics, employment and business strategies are examined as potential factors to mitigate or stimulate business failures. The Cox proportional hazards model and Kaplan-Meier estimator are employed. Our findings reveal that the survival probability paths from the three rounds of survey show a gradual decrease of survival probability from the first week of interview and approximately 50% of MSEs could not survive longer than 52 weeks during the COVID-19 pandemic. We also find that the survival of MSEs mainly depends on location, number of employees, and business model adjustment, namely operation with social distancing and online marketing. Particularly, retaining employees and not reducing the working hours are one of the key factors increasing the survivability of MSEs. However, the longer length of the crisis reduces the contribution of these key factors. The longer the period of the COVID-19 pandemic, the lower the chance of MSEs survivability.

Research paper thumbnail of Revisiting the Environmental Kuznets Curve hypothesis in OECD during 1970–2016: Panel smooth transition regression

Energy Reports, Dec 1, 2022

Research paper thumbnail of Economic survival duration of Thai workers during COVID-19

Ekonomska Istrazivanja-economic Research, Aug 8, 2022

Research paper thumbnail of Maximum Entropy Quantile Regression with Unknown Quantile

Thai Journal of Mathematics, Dec 27, 2017

Selecting quantile level in quantile regression model has been problematic for some researchers. ... more Selecting quantile level in quantile regression model has been problematic for some researchers. Thus, this paper extends the analysis of quantile regression model by regarding its quantile level as an unknown parameter, as it can improve the prediction accuracy by estimating an appropriate quantile parameter for regression predictors. We develop a primal generalized entropy estimation to obtain the estimates of coefficients and quantile parameter. Monte Carlo simulations for quantile regression models with unknown quantile show that the primal GME estimator outperforms other alternatives like least squares and maximum likelihood estimators when the true quantile parameter is assumed to deviate from median. Finally, our model is applied to study the effect of oil price on stock index to examine the performance of the model in real data analysis.

Research paper thumbnail of Predicting Contagion from the US Financial Crisis to International Stock Markets Using Dynamic Copula with Google Trends

Mathematics, Nov 2, 2019

The accuracy of contagion prediction has been one of the most widely investigated and challenging... more The accuracy of contagion prediction has been one of the most widely investigated and challenging problems in economic research. Much effort has been devoted to investigating the key determinant of contagion and enhancing more powerful prediction models. In this study, we aim to improve the prediction of the contagion effect from the US stock market to the international stock markets by utilizing Google Trends as a new leading indicator for predicting contagion. To improve this contagion prediction, the dynamic copula models are used to investigate the structure of dependence between international markets and the US market, before, during, and after the occurrence of the US financial crisis in 2008. We also incorporate the Google Trends data as the exogenous variables in the time-varying copula equation. Thus, the ARMAX process is introduced. To investigate the predictive power of Google Trends, we employ the likelihood ratio test. Our empirical findings support that Google Trends is a significant leading indicator for predicting contagion in seven out of 10 cases: SP-FTSE, SP-TSX, SP-DAX, SP-Nikkei, SP-BVSP, SP-SSEC, and SP-BSESN pairs. Our Google-based models seem to predict particularly well the effect of the US crisis in 2008. In addition, we find that the contribution of Google Trends to contagion prediction varies among the different stock market pairs. This finding leads to our observation that the more volatile the market time-varying correlation, the more useful Google Trends.

Research paper thumbnail of Minimum Wages and Wage Distribution in Thailand

Journal of Technology and Operations Management

Minimum wage policies were designed to raise the wages of low-skilled workers. In this study, we ... more Minimum wage policies were designed to raise the wages of low-skilled workers. In this study, we use data from the Thai Labor Force Survey (2011-2020) to examine the impact of the minimum wage policy on the wage distribution using a quantile regression model corrected for sample selection with a copula. We find that the minimum wage has the strongest effect on the lowest quantile and the effect decreases toward the higher quantiles. This confirms the effectiveness of the minimum wage policy in raising the wages of low-income individuals. In addition, there is also a spill-over effect on individuals in higher wage quantiles. The effect of the minimum wage estimated by our model is smaller compared to the standard quantile regression. This suggests that without correcting for sampling bias, the estimated effect of the minimum wage leads to an upward bias.