Determinants of Thailand’s Domestic Systemically Important Banks’ Deposits under the Coronavirus Disease 2019 Crisis and its Response to ESG Image and Cryptocurrency Investment Trend

Abstract

The purposes of this study were to identify macroeconomic factors and bank-specific factors that determined banks’ deposits, and the impacts of bank ESG images and cryptocurrency investment trend on Thailand’s domestic systemically important banks’ deposits (D-SIBs’ deposits). This research used monthly secondary panel data from 5 D-SIBs from January 2019 to June 2022. The data were analyzed by econometric methods including LLC’s panel unit root test, Kao’s panel cointegration test, panel regression analysis, and panel cointegration regression analysis using the weighted FMOLS method. The results showed that in the short run, changes in government bond yield, changes in SET index, changes in consumer price index, S&P global ESG scores, and changes in number of cryptocurrency accounts had significantly positive relationships with D-SIBs’ deposits. However, consumer confidence index and deposit protection limit had significantly negative relationships with D-SIBs’ deposits. In the long run, real gross domestic product per capita, government bond yield, the number of unemployed under SSO, deposit interest rate, S&P global ESG scores, and number of cryptocurrency accounts had significantly positive relationships with D-SIBs’ deposits, whereas SET index, consumer price index, consumer confidence index, deposit protection limit, number of system failures, and liquidity coverage ratio had significantly negative relationships with D-SIBs’ deposits. Therefore, if the government or Bank of Thailand would like people to reduce their deposits and spend for economic stimulus purpose, they should increase consumer confidence. For D-SIBs, the good ESG images can help to increase their deposits both in the short and long term.