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The degree of capital mobility in Thailand: some estimates using a cointegration approach

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  • Rungsun Hataiseree
  • Anthony Phipps

Abstract

An empirical estimate of the degree of international capital mobility in Thailand is given. A model of interest rate determination which allows for imperfectly mobile capital and the impact of both domestic and international influences on the domestic rate is developed and estimated using cointegration techniques. The results indicate that domestic interest rates have been influenced significantly by foreign interest rates. However, despite several reductions in capital control in the late 1980s and early 1990s, the degree of capital mobility appears not to be as high as previously reported nor to have increased significantly. The finding of a moderately high degree of capital mobility coupled with a reasonable EC-type, short-run dynamic adjustment equation for the domestic interest rate implies that there is still some scope for the Thai authorities to conduct an independent monetary policy.

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  • Rungsun Hataiseree & Anthony Phipps, 1996. "The degree of capital mobility in Thailand: some estimates using a cointegration approach," Applied Economics Letters, Taylor & Francis Journals, vol. 3(1), pages 9-13.
    • Handle: RePEc:taf:apeclt:v:3:y:1996:i:1:p:9-13
    DOI: 10.1080/758525507
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    References listed on IDEAS

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    1. International Monetary Fund, 1990. "Capital Mobility in Developing Countries: M386Some Empirical Tests," IMF Working Papers 1990/117, International Monetary Fund.
    2. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    3. Arrau, Patricio & De Gregorio, Jose & Reinhart, Carmen M. & Wickham, Peter, 1995. "The demand for money in developing countries: Assessing the role of financial innovation," Journal of Development Economics, Elsevier, vol. 46(2), pages 317-340, April.
    4. Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233.
    5. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    6. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    7. Mr. David Robinson & Mr. Ranjit S Teja & Yangho Byeon & Ms. Wanda S Tseng, 1991. "Thailand: Adjusting to Success: Current Policy Issues," IMF Occasional Papers 1991/014, International Monetary Fund.
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    Cited by:

    1. Arusha Cooray, 2005. "Capital mobility: evidence from four South Asian economies," Applied Economics Letters, Taylor & Francis Journals, vol. 12(9), pages 577-581.
    2. Paleologos J. & Georgantelis S., 2002. "Testing the Degree of Openness of the Greek Capital Account: A Cointegration Analysis," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 59-70, July-Dece.

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