Monetary Policy, Structural Break, and the Monetary Transmission Mechanism in Thailand
The paper studies monetary policy and the monetary transmission mechanism in Thailand in light of the Asian crisis in 1997. Existing studies that adopt structural vector auto-regression (VAR) approaches do not give a clear and agreed-upon view how...
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| Format: | Policy Research Working Paper |
| Language: | English |
| Published: |
World Bank, Washington, DC
2012
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| Online Access: | http://documents.worldbank.org/curated/en/2007/06/7694738/monetary-policy-structural-break-monetary-transmission-mechanism-thailand http://hdl.handle.net/10986/7396 |
| Summary: | The paper studies monetary policy and
the monetary transmission mechanism in Thailand in light of
the Asian crisis in 1997. Existing studies that adopt
structural vector auto-regression (VAR) approaches do not
give a clear and agreed-upon view how monetary shocks are
transmitted to the Thai economy that is subject to
structural breaks. This study explicitly models a pre-crisis
and post-crisis cointegrated VAR model. This analysis
supports arguments that the trinity of open capital markets,
pegged exchange rate regime, and monetary policy autonomy is
inconsistent in the pre-crisis period. In contrast, the
model points to an effective monetary policy in the
post-crisis period. Further, the author analyzes the common
driving trends of the model. |
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