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Macroeconomic impact of monetary policy shocks: Evidence from recent experience in Thailand

  • Kubo, Akihiro
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    This paper investigates the monetary transmission mechanism in Thailand, employing a VAR approach. It is found that the Bank of Thailand has leverage over the real interest rate in the short run due to inflation inertia. It is also found that the Thai monetary transmission mechanism has important international dimensions. More specifically, monetary contraction has stronger negative effects on import demand in the short run even though import prices fall.

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    File URL: http://www.sciencedirect.com/science/article/B6W53-4RH94V9-1/1/e666016e646cc44c2757e284df6d7a05
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    Article provided by Elsevier in its journal Journal of Asian Economics.

    Volume (Year): 19 (2008)
    Issue (Month): 1 (February)
    Pages: 83-91

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    Handle: RePEc:eee:asieco:v:19:y:2008:i:1:p:83-91
    Contact details of provider: Web page: http://www.elsevier.com/locate/asieco

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    1. Charoenseang, June & Manakit, Pornkamol, 2007. "Thai monetary policy transmission in an inflation targeting era," Journal of Asian Economics, Elsevier, vol. 18(1), pages 144-157, February.
    2. Svensson, Lars E.O., 1997. "Inflation Forecast Targeting: Implementing and Monitoring Inflation Targets," Seminar Papers 615, Stockholm University, Institute for International Economic Studies.
    3. Mark R. Stone, 2003. "Inflation Targeting Lite," IMF Working Papers 03/12, International Monetary Fund.
    4. Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 1998. "Monetary Policy Shocks: What Have We Learned and to What End?," NBER Working Papers 6400, National Bureau of Economic Research, Inc.
    5. Bernanke, Ben & Gertler, Mark, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," Working Papers 95-15, C.V. Starr Center for Applied Economics, New York University.
    6. Piti Disyatat & Pinnarat Wongsinsirikul, 2002. "Monetary Policy and the Transmission Mechanism in Thailand," Working Papers 2002-01, Economic Research Department, Bank of Thailand.
    7. Kim, Soyoung & Roubini, Nouriel, 2000. "Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach," Journal of Monetary Economics, Elsevier, vol. 45(3), pages 561-586, June.
    8. Kim, Soyoung, 2001. "International transmission of U.S. monetary policy shocks: Evidence from VAR's," Journal of Monetary Economics, Elsevier, vol. 48(2), pages 339-372, October.
    9. Amara Sriphayak & Sukpinnarat Vongsinsirikul, 2007. "Asset prices and Monetary Policy Transmission in Thailand," Working Papers 2007-09, Economic Research Department, Bank of Thailand.
    10. Kim, Soyoung, 1999. "Do monetary policy shocks matter in the G-7 countries? Using common identifying assumptions about monetary policy across countries," Journal of International Economics, Elsevier, vol. 48(2), pages 387-412, August.
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