سیاست های پولی و مکانیزم سرایت در تایلند
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|24971||2003||30 صفحه PDF||سفارش دهید||محاسبه نشده|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Asian Economics, Volume 14, Issue 3, June 2003, Pages 389–418
This paper studies the monetary transmission mechanism in Thailand. It examines the degree of pass-through from money market rates to retail rates, attempts to quantify the lags associated with monetary policy shocks, and investigates the channels through which these shocks are propagated. The empirical results point to a transmission mechanism in which investment is particularly sensitive to monetary shocks and banks act as an important conduit for monetary policy to real activity. They also suggest, however, that problems in the corporate and banking sectors may have undermined the monetary transmission mechanism over the last few years.
Understanding the transmission mechanism of monetary policy—especially the time lag involved between a policy change and its impact on inflation and output—is key to the successful conduct of policy. This paper attempts to improve our knowledge in this respect by addressing one key question: What are the stylized facts concerning the transmission of monetary policy in Thailand? With the emphasis on identifying the empirical regularities associated with monetary policy shocks in Thailand, the analysis carried out in this paper are of a positive rather than normative nature. We focus on what is rather than what should be. How can monetary authorities influence the level of activity in the economy? There are a number of different but related channels through which changes in the stance of monetary policy affect the real economy. They include the traditional interest rate channel, the credit channel, the exchange rate channel, and the asset price channel.1 We will discuss each of these in turn and attempt to gauge their relative importance in Thailand. While the impact of monetary policy on the real economy and prices are determined by the monetary transmission mechanism taken as a whole, and by their respective importance, the regulatory framework of banking, as well as banking practices specific to each country and the structure of assets and liabilities also play a role in influencing the reactions of non-financial agents to interest rate changes. In addition, the degree of liquidity constraints related to bank practices influences the extent to which household and business expenditures are affected by monetary policy. For example, ceilings on indebtedness and large down-payment requirements hamper the ability of consumers to substitute between present and future expenditure, limiting the impact of changes in monetary policy on consumption. This constraint has been significant in Thailand as the consumer credit business has not really been developed until recently and, to a large extent, the desire by households to raise their spending when interest rates fall has been limited by their current earnings. Our strategy for analyzing the transmission mechanism in Thailand is to first obtain a good quantitative assessment of the dynamic consequences of a change in the policy controlled interest rate on the main macroeconomic variables. Armed with these estimates, one could then gauge the overall impact of policy and attempt to disentangle the channels through which it takes place. In doing so, this paper relies heavily on the use of vector auto-regressions (VARs). These are dynamic systems of equations that examine the inter-relationships between economic variables, imposing minimal assumptions about the underlying structure of the economy, which—given the limited knowledge and lack of consensus about the transmission mechanism in Thailand—is a distinct advantage. VARs have also been used extensively to study monetary transmission in other countries so we can readily compare our results for Thailand with the international evidence.2 The paper is organized as follows. We begin by examining the degree of pass-through from market interest rates to banks’ retail rates in Section 2, which—given Thailand’s heavy reliance on bank lending—constitutes a key element of the transmission mechanism. Results from our VAR analysis are then presented in Section 3. We start by estimating a simplified basic model, which is then extended to examine the sensitivity of different components of aggregate demand—private consumption, investment, exports, and imports—to monetary shocks. Next, we analyze the main channels through which monetary policy is transmitted to the real economy by comparing the output response to monetary shocks when successive channels of transmission are blocked off in the VAR, to the baseline response when the channel of interest is allowed to operate. Differences in the path of output gives an indication of the importance of that particular channel in acting as a conduit for monetary policy. Finally, we present a summary VAR that we feel captures the key elements of the transmission mechanism in Thailand. Section 4 concludes and some technical details are collected in an appendix.
نتیجه گیری انگلیسی
The goal of this paper has been to enhance our understanding of the monetary transmission mechanism in Thailand. In light of data constraints and the limited number of studies on the subject, our goal has been relatively modest but at the same time focused. Specifically, we have attempted to quantify the lags associated with monetary policy shocks and investigate the channels through which these shocks are propagated. In doing so, we have unearthed a set of key findings that can be summarized by the following stylized facts about the response of the economy to a tightening of monetary policy: Stylized fact 1: The aggregate price level initially responds very little, but starts to decline after about a year and quite persistently so. Stylized fact 2: Output follows a U-shaped response, bottoming out after around 4–5 quarters and dissipating after approximately 11 quarters. Stylized fact 3: Investment appears to be the most sensitive component of GDP to monetary policy shocks. These observations are generally consistent with findings in other countries, using similar methodology, including the US and European countries. Moreover, in addition to the traditional interest rate channel, the results in this paper point to a transmission mechanism in which banks play an important role. The exchange rate and asset price channels have been less significant by comparison. Together with our finding that interest rate pass-through in Thailand is generally lower than those in developed countries, the results suggests that banks partly respond to changing liquidity conditions through the adjustment of both the price and quantity of loans (i.e. credit rationing). In this respect, it appears that interest rates alone do not adequately reflect the links between financial markets and the rest of the economy. Rather, developments in quantity variables, such as credit and money supply, contain useful information about output trends that should be monitored closely. Nevertheless, the role of bank lending appears to have declined in the past 3 years along with the sensitivity of retail rates to money market rates. This has taken place in conjunction with the rise in prominence of non-bank sources of finance and continued weaknesses in the banking sector. To the extent that the latter has acted as a constraint on new bank credit, it would have tended to offset the impact of monetary easing. In addition, by effectively limiting investment demand, excess capacity and balance sheet weaknesses in the corporate sector have also blunted both the bank lending and traditional interest rate channels. Overall, the picture that emerges is one in which a monetary easing leads first to a pickup in domestic demand, primarily investment demand financed by bank lending, which translates into a gradual build up of price pressures that eventually moves the overall price level with a significant lag. Looking forward, restoration of the banking system to full health and effective de-leveraging of corporate sector balance sheets are essential steps in unclogging the wheels of the transmission mechanism and improving the effectiveness of monetary policy. At the same time, retail rates that are more sensitive to money market conditions would remove an important impediment in the financial system. Moreover, as households diversify their portfolios more towards bonds and equities, the asset price channel of monetary transmission should strengthen as wealth effects become more important.