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  • Monetary Transmission Mechanism: A Case Study of Thailand

    Author(s)
    Awirothananon, Thatphong
    Cheung, Adrian
    Griffith University Author(s)
    Awirothananon, Thatphong
    Cheung, Adrian WK.
    Year published
    2006
    Metadata
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    Abstract
    We investigate and assessment of the effectiveness of Thai monetary transmission mechanism from 4 January 2000 to 30 December 2004. A multivariate asymmetric error correction model is applied to capture the interplay of long-term relationship between the changes between three short-term interest rates for the linear model. On the other hand, using a co-integrated vector auto-regressive Markov switching regime change model where some parameters change according to the economic shock for the non-linear model. We present strong evidence that the linear VECM model fails to capture significant non-linearities in the data generating ...
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    We investigate and assessment of the effectiveness of Thai monetary transmission mechanism from 4 January 2000 to 30 December 2004. A multivariate asymmetric error correction model is applied to capture the interplay of long-term relationship between the changes between three short-term interest rates for the linear model. On the other hand, using a co-integrated vector auto-regressive Markov switching regime change model where some parameters change according to the economic shock for the non-linear model. We present strong evidence that the linear VECM model fails to capture significant non-linearities in the data generating process. Strong evidence has also been found that all three short-term interest rates have an asymmetric distribution in the intercept term.
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    Conference Title
    AsianFM/FMA 2006 Meeting Bridging Finance Theory and Practice Conference Proceedings
    Publication URI
    http://hdl.handle.net/10072/13217
    Collection
    • Conference outputs

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