Identifying the Effects of Monetary Policy Shock on Output and Prices in Thailand

Jiranyakul, Komain (2016): Identifying the Effects of Monetary Policy Shock on Output and Prices in Thailand.

Abstract

This paper attempts to identify the effects of monetary policy shock on output and price level in Thailand during 2005Q1 and 2016Q2. Recently available policy rate is used as a monetary policy variable. The structural VAR methodology is employed to identify the monetary policy shock. To enhance the precision of the model specification, the short-run restrictions are imposed on the specified structural model of cointegrated variables to allow the levels of variables to interact simultaneously with each other. The results from the analysis of the structural model reveal that a shock to monetary policy drives cycles for both real GDP and the inflation rate.

• Item Type: MPRA Paper
• Language: English
• Keywords: Monetary policy shock, structural VAR, impulse response
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy

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