Chulalongkorn University Theses and Dissertations (Chula ETD)
Other Title (Parallel Title in Other Language of ETD)
บทบาทของระดับการกระจุกตัวของตลาดธนาคารในประเทศไทยต่อผลกระทบของนโยบายทางการเงินบนความเสี่ยงของธนาคาร
Year (A.D.)
2021
Document Type
Independent Study
First Advisor
Roongkiat Ratanabanchuen
Faculty/College
Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)
Department (if any)
Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)
Degree Name
Master of Science
Degree Level
Master's Degree
Degree Discipline
Finance
DOI
10.58837/CHULA.IS.2021.89
Abstract
This research investigates the effect of monetary policy on bank risk exposure and the role of banking market concentration in affecting their relationship by using the data of 11 commercial banks listed in the Stock Exchange of Thailand at the quarterly frequency over the period of 2001-2019. The different measurements of bank risk exposure variables and monetary policy indicators given interest rate changes from the previous quarters, interest rate variations relative to their long-term trends, low interest rates and prolonged low interest rates are applied to secure the robustness in estimation results based on dynamic model namely the two-step system GMM estimator, while five variables of macroeconomic conditions and seven variables of bank-specific characteristics are controlled. Further, the focused explanatory variable of banking market concentration by asset size is incorporated as the interaction term with monetary policy indicators to study its effect on the relationship between monetary policy stance and bank risk exposure. Consistent with the previous literature, the main results of this study suggest that bank risk exposure increases when a monetary policy easing is implemented through not only lowering interest rates relative to the previous quarters and their long-term trends, but also low interest rates and the extended period of low interest rates. Though, such impacts on bank risk exposure during an expansionary monetary policy are mitigated by more concentration in banking market.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Khongtip, Sasichanok, "The role of a banking market concentration in the effect of monetary policy on bank risk: evidence from Thailand" (2021). Chulalongkorn University Theses and Dissertations (Chula ETD). 7705.
https://digital.car.chula.ac.th/chulaetd/7705