Measuring monetary policy with empirically grounded restrictions: An application to Thailand |
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| Affiliation: | 1. Iskratel, Ltd., Kranj, Slovenia;2. Institut Jožef Stefan, Dep. of Communication Systems, Ljubljana, Slovenia;1. Centre for Alcohol Policy Research, School of Psychology and Public Health, La Trobe University, Melbourne, VIC 3086, Australia;2. Melbourne School of Population and Global Health, University of Melbourne, VIC, Australia;3. Centre for Social Research on Alcohol & Drugs, Stockholm University, Stockholm, Sweden;1. University of Adelaide, Australia;2. The Johns Hopkins University Bologna Center, Italy;1. Department of Economics and Business Administration, The University of Kitakyushu, 4-2-1 Kitagata, Kokura-minami-ku, Kitakyushu 802-8577, Japan;2. Faculty of Economics, Toyo University, 5-28-20, Hakusan, Bunkyo-ku, Tokyo 112-8606, Japan;1. The State Key Lab of Fluid Power Transmission and Control, Zhejiang University, Hangzhou, China;2. Institute of Technology, Lishui University, Lishui, China |
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| 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. |
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| Keywords: | Thailand Monetary policy shock Causal search PC algorithm SVAR |
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