|
Monetary Transmission Mechanism in Thailand: An SVECM Analysis |
|---|---|
| รหัสดีโอไอ | |
| Title | Monetary Transmission Mechanism in Thailand: An SVECM Analysis |
| Creator | Popkarn Arwatchanakarn |
| Publisher | คณะบริหารธุรกิจ เศรษฐศาสตร์และการสื่อสาร มหาวิทยาลัยนเรศวร |
| Publication Year | 2561 |
| Keyword | Monetary Transmission Mechanism, Monetary Policy, SVECM, Thailand |
| Abstract | From May, 2000 up to the present, Thailand has implemented a monetary policy of inflation targeting for price stability, with its central bank (the Bank of Thailand) using a short-term interest rate as the key policy instrument. The core question arises as to whether monetary instruments (i.e. the policy interest rate and monetary aggregate) remain valid and effective in monetary transmission mechanism under inflation targeting in Thailand. This paper investigates the dynamic interrelations among key macroeconomic variables, namely, interest rate, money, prices, output and exchange rate. The empirical investigation is based on structural vector error correction model (SVECM) with contemporaneous and long run restrictions. A five-variable SVECM is developed and estimated using quarterly data over the period 2000q2 -2016q3. The empirical results suggest the presence of feedback relations among all variables in the specified SVECM. The findings reveal that the policy interest rate remains valid and effective in transmission of Thailand monetary policy. One policy implication drawn is that the Bank of Thailand could opt for monetary aggregate and exchange rates, as alternative monetary instruments, to support the conduct of monetary policy for price stability in Thailand. |
| Language | ENG |
| URL Website | http://www.bec.nu.ac.th/becic2018/ |
| Website title | BECIC2018 |
