Working Papers

Long Run Risk Model and Equity Premium Puzzle in Thailand
Sartja Duangchaiyoosook and Weerachart T. Kilenthong. PIER Discussion Paper, April 2021.


This paper shows that the long-run risk model of Bansal and Yaron (2004) can potentially solve the equity premium and risk-free rate puzzles in Thailand. In particular, the calibrated values of the risk aversion and the elasticity of intertemporal substitution are empirically plausible. Risk decomposition results indicate that long-run risk is the most important risk component relevant to asset prices; that is, asset prices in Thai financial markets are most sensitive to small changes in news regarding long-term expected growth rates. Volatility risk also has an impact on asset prices but its impact is just about a quarter of the impact of the long-run risk.

Parental Time and Material Investments in Rural Thailand
Weerachart T. Kilenthong and Dinh Thi Ngoc Tu,
PIER Discussion Paper, September 2017, Online Appendix,
(This is an older version of “Do Parental Absence and Children’s Gender Affect Early Childhood Investment? Evidence from Rural Thailand”, accepted for publication at the Singapore Economic Review.)


This paper studies the roles of family structure, wage and child’s gender on parental time and material investments in rural Thailand. Our findings consistently show that female children received more time, but less material investments. The material investment was significantly lower for children in households with no parents, while the difference in time investment was not significant. Based on an economic model of parental investment, these results suggest the factor share of time relative to material input is larger for girls and households with no parents. We also identified the elasticity of substitution between time and material investments, which suggests that both of the inputs are surprisingly complementary. We cannot reject that the skill formation is a Cobb-Douglas production function.

The Impact of Family Business Apprenticeship on Entrepreneurship and Survival of Small Businesses: Evidence from Thailand
Weerachart T. Kilenthong and Kittipong Rueanthip. PIER Discussion Paper, June 2016,
(This is an older version of “Entrepreneurship and Family Businesses in Thailand”, accepted for publication at Asian-Pacific Economic Literature.)


This paper investigates the impact of exposure to a family business and participating in a family business on individuals decision to start a business (self-employed and small business) and their likelihood of survival. We find that individuals who have a family member doing business are more likely to start their own business. However, only individuals who have actually worked in the family-owned business are more likely to survive longer. This paper demonstrates that the higher the number of hours they worked in a family business, the higher the probability of survival. The impact remains significant even if the sample includes only individuals who are the spouses of business owners. The impact of prior experience from helping a family business depreciates over a short period of time. This result suggests that entrepreneurial skills can be learned from an apprenticeship in small businesses.

Segregated Security Exchanges with Ex Ante Rights to Trade: A Market-Based Solution to Collateral-Constrained Externalities
Weerachart T. Kilenthong and Robert M. Townsend, NBER Working Paper, May 2014.


This paper studies a competitive general equilibrium model with default and endogenous collateralized contracts. The possibility of trade in spot markets creates externalities, as spot prices and the bindingness of collateral constraints interact. We propose a market based solution which overcomes the externalities problem and obviates the needs for any government policy intervention. If agents are allowed to contract ex ante on market fundamentals determining the state-contingent spot prices used to unwind collateral, over and above contracting on true underlying states of the world, then standard existence and welfare theorems apply, that is, competitive equilibria are equivalent with Pareto optima.

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