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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Main Author: Hesse, Heiko
Format: Policy Research Working Paper
Language:English
Published: World Bank, Washington, DC 2012
Subjects:
GDP
M1
M2
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
id okr-10986-7396
recordtype oai_dc
spelling okr-10986-73962021-04-23T14:02:33Z Monetary Policy, Structural Break, and the Monetary Transmission Mechanism in Thailand Hesse, Heiko ACCELERATOR BALANCE SHEET BALANCE SHEETS BANK LENDING BUSINESS CYCLES CAPITAL ACCOUNT CAPITAL MARKETS CENTRAL BANK CONSUMER PRICE INDEX CREDIT CONDITIONS CURRENCY CURRENT ACCOUNT DEMAND DEPOSITS DEVALUATION DOMESTIC COMPANIES DOMESTIC INTEREST RATES DOMESTIC PRICES ECONOMIC BOOM ENDOGENOUS VARIABLES EQUILIBRIUM EXCHANGE RATE EXCHANGE RATE DEPRECIATION EXCHANGE RATE PEG EXCHANGE RATE REGIME EXOGENOUS VARIABLES EXPORTS EXTERNAL SHOCKS FINANCIAL CRISIS FOREIGN CAPITAL FOREIGN COMPETITION FOREIGN DEBT FOREIGN EXCHANGE FOREIGN EXCHANGE RATE FOREIGN INTEREST RATE FOREIGN INTEREST RATES GDP GOVERNMENT DEBT HIGH VOLATILITY HYPOTHESIS TESTING INTEREST RATE POLICY INTEREST RATES INTERNATIONAL FINANCIAL STATISTICS INTERNATIONAL TRADE LIQUIDITY LOAN RATES M1 M2 MACROECONOMIC FRAMEWORK MACROECONOMIC IMBALANCES MACROECONOMIC VARIABLES MONETARY EXPANSION MONETARY POLICY MONETARY POLICY FRAMEWORK MONETARY POLICY RULE MONETARY SHOCKS MONETARY TARGETING MONETARY TRANSMISSION MECHANISM MONEY BALANCES MONEY DEMAND MONEY MARKET MONEY SUPPLY MORAL HAZARD MORAL HAZARD PROBLEMS MULTIPLE EQUILIBRIA NEUTRALITY OF MONEY NOMINAL ANCHOR NOMINAL EXCHANGE RATE OPEN CAPITAL MARKETS OPEN MARKET OPERATIONS OPPORTUNITY COST OPPORTUNITY COSTS OUTPUT OUTPUT GROWTH PHILLIPS CURVE POLICY RESEARCH POLITICAL INSTABILITY PRIVATE BANKS REAL EXCHANGE REAL EXCHANGE RATE REAL GDP RESERVES RISK PREMIUM SCENARIOS STATISTICAL INFERENCE TAX SYSTEM THAI BAHT TRANSMISSION MECHANISM TRANSMISSION MECHANISMS VALUE ADDED VELOCITY OF MONEY VULNERABILITY 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. 2012-06-07T15:25:52Z 2012-06-07T15:25:52Z 2007-06 http://documents.worldbank.org/curated/en/2007/06/7694738/monetary-policy-structural-break-monetary-transmission-mechanism-thailand http://hdl.handle.net/10986/7396 English Policy Research Working Paper; No. 4248 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank World Bank, Washington, DC Publications & Research :: Policy Research Working Paper Publications & Research East Asia and Pacific Thailand
repository_type Digital Repository
institution_category Foreign Institution
institution Digital Repositories
building World Bank Open Knowledge Repository
collection World Bank
language English
topic ACCELERATOR
BALANCE SHEET
BALANCE SHEETS
BANK LENDING
BUSINESS CYCLES
CAPITAL ACCOUNT
CAPITAL MARKETS
CENTRAL BANK
CONSUMER PRICE INDEX
CREDIT CONDITIONS
CURRENCY
CURRENT ACCOUNT
DEMAND DEPOSITS
DEVALUATION
DOMESTIC COMPANIES
DOMESTIC INTEREST RATES
DOMESTIC PRICES
ECONOMIC BOOM
ENDOGENOUS VARIABLES
EQUILIBRIUM
EXCHANGE RATE
EXCHANGE RATE DEPRECIATION
EXCHANGE RATE PEG
EXCHANGE RATE REGIME
EXOGENOUS VARIABLES
EXPORTS
EXTERNAL SHOCKS
FINANCIAL CRISIS
FOREIGN CAPITAL
FOREIGN COMPETITION
FOREIGN DEBT
FOREIGN EXCHANGE
FOREIGN EXCHANGE RATE
FOREIGN INTEREST RATE
FOREIGN INTEREST RATES
GDP
GOVERNMENT DEBT
HIGH VOLATILITY
HYPOTHESIS TESTING
INTEREST RATE POLICY
INTEREST RATES
INTERNATIONAL FINANCIAL STATISTICS
INTERNATIONAL TRADE
LIQUIDITY
LOAN RATES
M1
M2
MACROECONOMIC FRAMEWORK
MACROECONOMIC IMBALANCES
MACROECONOMIC VARIABLES
MONETARY EXPANSION
MONETARY POLICY
MONETARY POLICY FRAMEWORK
MONETARY POLICY RULE
MONETARY SHOCKS
MONETARY TARGETING
MONETARY TRANSMISSION MECHANISM
MONEY BALANCES
MONEY DEMAND
MONEY MARKET
MONEY SUPPLY
MORAL HAZARD
MORAL HAZARD PROBLEMS
MULTIPLE EQUILIBRIA
NEUTRALITY OF MONEY
NOMINAL ANCHOR
NOMINAL EXCHANGE RATE
OPEN CAPITAL MARKETS
OPEN MARKET OPERATIONS
OPPORTUNITY COST
OPPORTUNITY COSTS
OUTPUT
OUTPUT GROWTH
PHILLIPS CURVE
POLICY RESEARCH
POLITICAL INSTABILITY
PRIVATE BANKS
REAL EXCHANGE
REAL EXCHANGE RATE
REAL GDP
RESERVES
RISK PREMIUM
SCENARIOS
STATISTICAL INFERENCE
TAX SYSTEM
THAI BAHT
TRANSMISSION MECHANISM
TRANSMISSION MECHANISMS
VALUE ADDED
VELOCITY OF MONEY
VULNERABILITY
spellingShingle ACCELERATOR
BALANCE SHEET
BALANCE SHEETS
BANK LENDING
BUSINESS CYCLES
CAPITAL ACCOUNT
CAPITAL MARKETS
CENTRAL BANK
CONSUMER PRICE INDEX
CREDIT CONDITIONS
CURRENCY
CURRENT ACCOUNT
DEMAND DEPOSITS
DEVALUATION
DOMESTIC COMPANIES
DOMESTIC INTEREST RATES
DOMESTIC PRICES
ECONOMIC BOOM
ENDOGENOUS VARIABLES
EQUILIBRIUM
EXCHANGE RATE
EXCHANGE RATE DEPRECIATION
EXCHANGE RATE PEG
EXCHANGE RATE REGIME
EXOGENOUS VARIABLES
EXPORTS
EXTERNAL SHOCKS
FINANCIAL CRISIS
FOREIGN CAPITAL
FOREIGN COMPETITION
FOREIGN DEBT
FOREIGN EXCHANGE
FOREIGN EXCHANGE RATE
FOREIGN INTEREST RATE
FOREIGN INTEREST RATES
GDP
GOVERNMENT DEBT
HIGH VOLATILITY
HYPOTHESIS TESTING
INTEREST RATE POLICY
INTEREST RATES
INTERNATIONAL FINANCIAL STATISTICS
INTERNATIONAL TRADE
LIQUIDITY
LOAN RATES
M1
M2
MACROECONOMIC FRAMEWORK
MACROECONOMIC IMBALANCES
MACROECONOMIC VARIABLES
MONETARY EXPANSION
MONETARY POLICY
MONETARY POLICY FRAMEWORK
MONETARY POLICY RULE
MONETARY SHOCKS
MONETARY TARGETING
MONETARY TRANSMISSION MECHANISM
MONEY BALANCES
MONEY DEMAND
MONEY MARKET
MONEY SUPPLY
MORAL HAZARD
MORAL HAZARD PROBLEMS
MULTIPLE EQUILIBRIA
NEUTRALITY OF MONEY
NOMINAL ANCHOR
NOMINAL EXCHANGE RATE
OPEN CAPITAL MARKETS
OPEN MARKET OPERATIONS
OPPORTUNITY COST
OPPORTUNITY COSTS
OUTPUT
OUTPUT GROWTH
PHILLIPS CURVE
POLICY RESEARCH
POLITICAL INSTABILITY
PRIVATE BANKS
REAL EXCHANGE
REAL EXCHANGE RATE
REAL GDP
RESERVES
RISK PREMIUM
SCENARIOS
STATISTICAL INFERENCE
TAX SYSTEM
THAI BAHT
TRANSMISSION MECHANISM
TRANSMISSION MECHANISMS
VALUE ADDED
VELOCITY OF MONEY
VULNERABILITY
Hesse, Heiko
Monetary Policy, Structural Break, and the Monetary Transmission Mechanism in Thailand
geographic_facet East Asia and Pacific
Thailand
relation Policy Research Working Paper; No. 4248
description 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.
format Publications & Research :: Policy Research Working Paper
author Hesse, Heiko
author_facet Hesse, Heiko
author_sort Hesse, Heiko
title Monetary Policy, Structural Break, and the Monetary Transmission Mechanism in Thailand
title_short Monetary Policy, Structural Break, and the Monetary Transmission Mechanism in Thailand
title_full Monetary Policy, Structural Break, and the Monetary Transmission Mechanism in Thailand
title_fullStr Monetary Policy, Structural Break, and the Monetary Transmission Mechanism in Thailand
title_full_unstemmed Monetary Policy, Structural Break, and the Monetary Transmission Mechanism in Thailand
title_sort monetary policy, structural break, and the monetary transmission mechanism in thailand
publisher World Bank, Washington, DC
publishDate 2012
url http://documents.worldbank.org/curated/en/2007/06/7694738/monetary-policy-structural-break-monetary-transmission-mechanism-thailand
http://hdl.handle.net/10986/7396
_version_ 1764401961544712192