THE IMPACT OF SECURITY TRANSACTION TAX

ON A STRUCTURAL MODEL OF THAILAND’S

STOCK MARKET AND MACROECONOMY

BY

MR. PANUPONG SUKKERD

A THESIS SUBMITTED IN PARTIAL FULFILLMENT OF

THE REQUIREMENTS FOR THE DEGREE OF

MASTER DEGREE OF ARTS (ECONOMICS)

(ENGLISH LANGUAGE PROGRAM)

FACULTY OF ECONOMICS

THAMMASAT UNIVERSITY

ACADEMIC YEAR 2013

COPYRIGHT OF THAMMASAT UNIVERSITY

THE IMPACT OF SECURITY TRANSACTION TAX

ON A STRUCTURAL MODEL OF THAILAND’S

STOCK MARKET AND MACROECONOMY

BY

MR. PANUPONG SUKKERD

A THESIS SUBMITTED IN PARTIAL FULFILLMENT OF

THE REQUIREMENTS FOR THE DEGREE OF

MASTER DEGREE OF ARTS (ECONOMICS)

(ENGLISH LANGUAGE PROGRAM)

FACULTY OF ECONOMICS

THAMMASAT UNIVERSITY

ACADEMIC YEAR 2013

COPYRIGHT OF THAMMASAT UNIVERSITY

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ABSTRACT

This thesis constructs a closed-economy dynamic stochastic general

equilibrium (DSGE) model with heterogeneous traders to study the impact of security

transaction tax (STT) on stock market and macroeconomy. The model’s parameters

are set for the case of Thai economy. The study finds that STT has the impact on

stock market and macroeconomy when the noise-trader shocks take place. Adopting

STT can reduce the noise trade, share price as well as the volatility of fund return and

equity premium. This result goes in accordance with the pro argument as well as the

finding of Lendvai et al (2013). Moreover, this study also shows that an STT can

increase the households’ welfare while it decreases the welfare volatility. This result

supports the proponents’ arguments that an STT can improve the social welfare such

as Stiglitz (1989) and Darvas and Weizsäcker (2011).