تاثیر اقتصاد کلان از شوک سیاست پولی: شواهدی از تجربه های اخیر در تایلند

This paper investigates the monetary transmission mechanism in Thailand, employing a VAR approach. It is found that the Bank of Thailand has leverage over the real interest rate in the short run due to inflation inertia. It is also found that the Thai monetary transmission mechanism has important international dimensions. More specifically, monetary contraction has stronger negative effects on import demand in the short run even though import prices fall.

Recently, a number of central banks in developing countries have adopted inflation targeting. After the Asian currency crisis in 1997, the Bank of Thailand (BOT) shifted to floating exchange rates, and instituted inflation targeting as its new monetary policy regime. According to standard macroeconomic theories, an inflation-targeting central bank controls the expected inflation by adjusting a key policy interest rate. In the case of Thailand, it seems that the BOT's strategy is to affect private consumption through the credit channel and to maintain inflation rates within its target range (Moenjak, Imudom, & Vimolchalao, 2004). The aim of this paper is to explore empirically the transmission of monetary policy in Thailand. More specifically, we investigate the effect that an exogenous monetary policy shock exerts to price and other domestic macroeconomic variables using a structural vector autoregression (SVAR) methodology, highlighting the credit channel. The SVAR system is also extended to incorporate international variables to explore the international dimensions of the monetary transmission mechanism. It seems that domestic inflation is often quite sensitive to import prices in small open economies such as Thailand. The main findings of this paper are as follows. First, the BOT has leverage over the real interest rate in the short run due to inflation inertia and affects the price level through the credit channel. This result sheds light on how the BOT adjusts real interest rates for economic activity, which has important policy implications for the BOT. Second, as far as international channels are concerned, there seems to be little expenditure-switching effect in the short and medium runs. The volume of imports decreases quickly in the short run even though the import prices are falling at the same time. This paper is organized as follows. Section 2 describes the monetary policy framework in Thailand. Section 3 describes our SVAR model and the corresponding identifying restrictions. Section 4 discusses the effect of monetary policy shocks on domestic macroeconomic variables and on the trade variables. Section 5 concludes.

This paper investigates the transmission mechanism of the BOT's monetary policy through the credit channel, employing an SVAR approach. Some of the consumption components that involve a wide use of credit loans tend to be more vulnerable to the BOT's leverage over the real interest rate. This finding suggests that the relatively strong credit channel is an important factor behind the success of the BOT's monetary policy during the past 7 years, consistent with the view of Moenjak et al. (2004). The analysis of this paper has implications for the BOT's policy making. Most importantly, we find evidence for significant inertia in core consumer price inflation, suggesting that the BOT's monetary policy can help control fluctuations in the real economy through real interest rate adjustment. More specifically, it seems to be through a strong credit channel, particularly one relating to the relatively interest-sensitive auto and motorcycle markets, that the BOT exercises its leverage over the Thai economy. In addition, we find the core consumer price reaches the lowest point only after 3–4 years following the monetary policy shock. This result suggests that the BOT's monetary policy requires a substantial larger time than eight quarters – its target horizon – to have its effect fully felt on the economy. We also extend the SVAR system to study the international transmission mechanism. We find that the monetary contraction has swift and negative effects on import demand despite the fact that the import prices fall simultaneously.