Monetary policy, structural break, and the monetary transmission mechanism in Thailand / Heiko Hesse Hesse, Heiko

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Author
Hesse, Heiko
Subjects
Transmission mechanism (Monetary policy) - Thailand - Econometric models.; Financial crises - Asia - Econometric models.; Autoregression (Statistics) - Econometric models.
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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http://trove.nla.gov.au/work/109551
Work ID
109551

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