Browsing by Author "Jitmaneeroj, Boonlert"

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    An Empirical Analysis of Sovereign Credit Risk Co-movement between Japan and ASEAN Countries
    (Journal of Economics and Behavioral Studies, 2016) Jitmaneeroj, Boonlert; Ogwang, John
    Japan is the most developed economy in Asia. However, it has been on record for being the most heavily indebted country among OECD countries. In many circumstances, the high sovereign debt level indicates a high possibility of sovereign credit risks associated with investment in government bond. The high sovereign credit risk may also generate a number of negative externalities for private businesses operating in the host country. This paper investigates whether sovereign credit risk of Japan as measured by its sovereign credit default swap (SCDS) can better predict and commove with sovereign credit risk of selected ASEAN countries. The bivariate VAR model was used to test for Granger Causalities among these countries SCDS premiums and correlation analysis to investigate co-movements between SCDS of these countries. The results indicate that Japan’s sovereign credit risks do not co-move with those of ASEAN countries, Furthermore, Sovereign credit risks of ASEAN countries tend to lead those of Japan as evidenced by unidirectional causalities from these countries to Japan. The overall suggestion is that sovereign credit risk of Japan is not likely to influence those of ASEAN. The paper concludes with some implications for businesses.
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    Time matters less: Variance partitioning of return on equity for banks in Uganda
    (SSRN, 2023) Jitmaneeroj, Boonlert; Ogwang, John
    This study investigates variations in the return on equity (ROE) and its determinants within Ugandan banks from 2010 to 2020. Using a two-level hierarchical linear model (HLM), we analyze ROE variability at both time and bank levels, considering temporal effects and the impact of specific bank-level variables on ROE. Variance decomposition reveals that the variability in ROE is more attributable to bank-specific factors than to temporal ones, signifying that individual banks’ practices have a more pronounced impact on performance than time-bound fluctuations. Our HLM results, marked by high intraclass correlation coefficients (ICC) that range between 64.4% and 85.8%, underscore the dominance of bank-level variables in accounting for ROE variations. Key determinants of ROE identified by the HLM analysis include inflation, policy uncertainty, assets, equity, profits, profit margin, asset turnover, equity multipliers, and nonperforming loans. A primary takeaway from our findings is the potential for operational efficiency enhancements and judicious investment decisions to produce favorable shifts in ROE. For banking managers, this highlights the necessity for ongoing process refinement and meticulous investment scrutiny. We recommend that policymakers mull over incentives for these practices, possibly through regulatory concessions or guidelines endorsing efficient operational benchmarks.