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. [ FROM AUTHOR]