The systemic risk in Thailand: the role of tourism industry

ABSTRACT

The study analyses the contribution of the tourism, banking, property fund and real estate, and finance and securities industries to the systemic risk of Thailand. Using quantile regression, the study estimates the measures of systemic risk (conditional Value-at-Risk (CoVaR) and delta conditional Value-at-Risk (∆CoVaR)) and examines the relevance of various industries in increasing the systemic risk of Thailand using Kolmogorov – Smirnov test. The findings support the relevance of the tourism industry in significantly contributing to the systemic risk in Thailand. The study also highlights the systemic relevance of the tourism industry during the COVID-19 period in Thailand, when the industry was severely impacted, which adversely affected its systemic risk.

KEYWORDS:

• Systemic risk
• economic growth
• COVID-19
• Thailand
• Tourism industry

Disclosure statement

No potential conflict of interest was reported by the authors.

Additional information

Notes on contributors

Shivani Narayan

Shivani Narayan is a Doctoral student in the Department of Finance and Accounting, the Indian Institute of Management Kashipur.

Dilip Kumar

Dilip Kumar is an Associate Professor in the Department of Finance and Accounting, the Indian Institute of Management Kashipur.

Aviral Kumar Tiwari

Aviral Kumar Tiwari is an Assistant Professor in the Department of Economics and Business Environment, the Indian Institute of Management Bodh Gaya.