Monetary Transmission Mechanism: A Case Study of Thailand
Author(s)
Awirothananon, Thatphong
Cheung, Adrian
Year published
2006
Metadata
Show full item recordAbstract
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 ...
View more >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.
View less >
View more >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.
View less >
Conference Title
AsianFM/FMA 2006 Meeting Bridging Finance Theory and Practice Conference Proceedings