Munich Personal RePEc Archive

Regime Changes in the Relationship between Stock Market Return and the Growth Rates of Output and Money Supply in Thailand

Jiranyakul, Komain (2018): Regime Changes in the Relationship between Stock Market Return and the Growth Rates of Output and Money Supply in Thailand.

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Abstract

This paper examines the relationship between stock market return and two main macroeconomic variables (output growth and money growth) in Thailand during 1997Q3 and 2017Q4. The results from Markov switching vector autoregressive model reveal that there is regime switching between the bull market and the bear market. The positive impact of output growth on stock market return is significant in the bear market while the impact of money growth on stock market return is positive and significant in the bull market. This implies that monetary policy is effective only during the bull market period. For the bear market period, measures that stimulate economic growth should be necessary.

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