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Measuring monetary policy with empirically grounded restrictions: An application to Thailand

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  • Phiromswad, Piyachart

Abstract

This paper studies the effect of monetary policy in Thailand based on structural vector autoregression (SVAR) model. Unlike all existing studies, this paper (i) properly controls for external factors, (ii) uses the identifying restrictions which are specified and justified from empirical evidence and (iii) studies the immediate as well as the short term effect of monetary policy. I find that several important stylized facts on the transmission mechanism of monetary policy need to be revised.

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  • Phiromswad, Piyachart, 2015. "Measuring monetary policy with empirically grounded restrictions: An application to Thailand," Journal of Asian Economics, Elsevier, vol. 38(C), pages 104-113.
    • Handle: RePEc:eee:asieco:v:38:y:2015:i:c:p:104-113
    DOI: 10.1016/j.asieco.2015.04.005
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    Cited by:

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    3. Taguchi, Hiroyuki & Wanasilp, Mesa, 2017. "Monetary policy rule and its performance under inflation targeting: the evidence of Thailand," MPRA Paper 83544, University Library of Munich, Germany.
    4. Groenewold, Nicolaas, 2018. "Australia saved from the financial crisis by policy or by exports?," Journal of Policy Modeling, Elsevier, vol. 40(1), pages 118-135.

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    More about this item

    Keywords

    Thailand; Monetary policy shock; Causal search; PC algorithm; SVAR;
    All these keywords.

    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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