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

Piyachart Phiromswad

Journal of Asian Economics, 2015, vol. 38, issue C, 104-113

Abstract: 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.

Keywords: Thailand; Monetary policy shock; Causal search; PC algorithm; SVAR (search for similar items in EconPapers)
JEL-codes: C30 C32 C51 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:asieco:v:38:y:2015:i:c:p:104-113

DOI: 10.1016/j.asieco.2015.04.005

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