Asymmetric behavior of exchange rate pass-through in Thailand

Umar Bala, Patchaya Songsiengchai and Chin Lee ()

MPRA Paper from University Library of Munich, Germany

Abstract: The purpose of this paper is to examine the asymmetric behavior in the adjustment of exchange rate pass-through to consumer price index in Thailand. This research applies advanced threshold cointegration model proposed by Enders and Siklos (2001). Both the Threshold Autoregressive (TAR) and Momentum Threshold Autoregressive (MTAR) models result showed the evidence of cointegration in the non-zero threshold value. Furthermore, both models revealed that the adjustment towards long-run equilibrium are asymmetric. The adjustment during exchange rate depreciation significantly affect inflation, while the adjustment during exchange rate appreciation is not significant. This paper suggests that policy makers should have a different reaction in policy decision between the depreciation and appreciation of exchange rate pass-through to consumer price index.

Keywords: Exchange rate; pass-through; consumer price index; asymmetric; Threshold Autoregressive; Momentum Threshold Autoregressive. (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
Date: 2017
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Published in Economics Bulletin 2.37(2017): pp. 1289-1297

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Journal Article: Asymmetric behavior of exchange rate pass-through in Thailand (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:121421

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