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Monetary policy, structural break, and the monetary transmission mechanism in Thailand, Volume 1
Author:Hesse, Heiko; Country:Thailand;
Date Stored:2007/06/07Document Date:2007/06/01
Document Type:Policy Research Working PaperSubTopics:Economic Stabilization; Economic Theory & Research; Macroeconomic Management; Fiscal & Monetary Policy; Financial Economics
Language:EnglishRegion:East Asia and Pacific
Report Number:WPS4248Collection Title:Policy, Research working paper ; no. WPS 4248
Volume No:1  

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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