การศึกษาทางเศรษฐมิติว่าด้วยการปันส่วนสินเชื่อในระบบธนาคารพาณิชย์ไทย / สมพร ริมพะสุต = An econometric study on credit rationing in Thai commerical banking system / Somporn Rimpasut
This research aims to find out the existence of the credit rationing in the Thai commercial banking system after the implementation of the Bank of Thailand's policy on the loan rate liberalization. The study will apply econometric methodology. Namely, the ordinaly least squares and the two-stage least squares. The estimation of real demand and supply for loan model indicates that the real credit demand has no relationship with the real loan rate where as the real credit supply relates to the real loan rate in the same direction. The study points out that the credit rationing, which results from the disequilibrium of real loan rate adjustment, can significantly affect loan supply. Additionally, the amount of credit rationing, calculated from the differences between the real demand and real supply estimated by the ordinaly least squares and the two-stage least wquares, was tested, we found the results of both methods are not significantly different at 99% confident level. Furthermore, the hypothesis test shows that loan-rate liberalization policy reduces the amount of credit rationing significantly. This implies that credit rationing still exists in Thai financial system, and the Bank of Thailand's loan rate liberalizaing policy can affect the allocation of loan demand and supply. The more the amount of credit rationing decreases, the more money market tends to meet the equilibrium position. When a causality test between credit rationing and macro-economic variables including money supply, consumer price index, private investment index, quantity of export and emport is done, it is found that credit rationing is not the cause of all listed macro-economic variables, however, credit rationing is by the supply of money.
