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 |
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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 |
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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 |