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

Listed author(s):
  • Phiromswad, Piyachart
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    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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    File URL: http://www.sciencedirect.com/science/article/pii/S1049007815000378
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    Article provided by Elsevier in its journal Journal of Asian Economics.

    Volume (Year): 38 (2015)
    Issue (Month): C ()
    Pages: 104-113

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    Handle: RePEc:eee:asieco:v:38:y:2015:i:c:p:104-113
    DOI: 10.1016/j.asieco.2015.04.005
    Contact details of provider: Web page: http://www.elsevier.com/locate/asieco

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