The stability of money demand and monetary transmission mechanism in Thailand
The major objective of this thesis is to investigate whether there exists a stable long run and short run equilibrium relationship between real money balances (M1 or M2) and their determinants in Thailand. A cointegration analysis and the Vector Error Correction Model (VECM) are conducted on quarter...
| Main Author: | |
|---|---|
| Format: | Thesis |
| Language: | English |
| Published: |
Curtin University
2010
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/612 |
| _version_ | 1848743428935909376 |
|---|---|
| author | Raksong, Saranya |
| author_facet | Raksong, Saranya |
| author_sort | Raksong, Saranya |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | The major objective of this thesis is to investigate whether there exists a stable long run and short run equilibrium relationship between real money balances (M1 or M2) and their determinants in Thailand. A cointegration analysis and the Vector Error Correction Model (VECM) are conducted on quarterly data over two data set periods, 1980Q1 to 2007Q1 and 1993Q1 to 2007Q1. The results indicate that there exists a long run equilibrium relationship between real money demand (both M1 and M2) and its determinants: real income, price level, exchange rates, and external interest rates.The thesis also used the Vector Autoregression model (VAR) to test the monetary transmission mechanism in Thailand in three different channels of monetary policy: the interest rate channel, the credit channel, and the exchange rate channel. The results find that a change in the M1 money demand has more effect on economic growth while a change in M2 has a stronger effect on the price level. In addition, the results also show that the M1 money demand is responsive to the transmission mechanism in all channels tested in the thesis. |
| first_indexed | 2025-11-14T05:45:25Z |
| format | Thesis |
| id | curtin-20.500.11937-612 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T05:45:25Z |
| publishDate | 2010 |
| publisher | Curtin University |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-6122017-02-20T06:41:52Z The stability of money demand and monetary transmission mechanism in Thailand Raksong, Saranya monetary transmission mechanism Vector Error Correction Model (VECM) real income price level Thailand real money balances (M1 or M2) long run and short run equilibrium relationship Vector autoregression model (VAR) cointegration analysis determinants external interest rates exchange rates The major objective of this thesis is to investigate whether there exists a stable long run and short run equilibrium relationship between real money balances (M1 or M2) and their determinants in Thailand. A cointegration analysis and the Vector Error Correction Model (VECM) are conducted on quarterly data over two data set periods, 1980Q1 to 2007Q1 and 1993Q1 to 2007Q1. The results indicate that there exists a long run equilibrium relationship between real money demand (both M1 and M2) and its determinants: real income, price level, exchange rates, and external interest rates.The thesis also used the Vector Autoregression model (VAR) to test the monetary transmission mechanism in Thailand in three different channels of monetary policy: the interest rate channel, the credit channel, and the exchange rate channel. The results find that a change in the M1 money demand has more effect on economic growth while a change in M2 has a stronger effect on the price level. In addition, the results also show that the M1 money demand is responsive to the transmission mechanism in all channels tested in the thesis. 2010 Thesis http://hdl.handle.net/20.500.11937/612 en Curtin University fulltext |
| spellingShingle | monetary transmission mechanism Vector Error Correction Model (VECM) real income price level Thailand real money balances (M1 or M2) long run and short run equilibrium relationship Vector autoregression model (VAR) cointegration analysis determinants external interest rates exchange rates Raksong, Saranya The stability of money demand and monetary transmission mechanism in Thailand |
| title | The stability of money demand and monetary transmission mechanism in Thailand |
| title_full | The stability of money demand and monetary transmission mechanism in Thailand |
| title_fullStr | The stability of money demand and monetary transmission mechanism in Thailand |
| title_full_unstemmed | The stability of money demand and monetary transmission mechanism in Thailand |
| title_short | The stability of money demand and monetary transmission mechanism in Thailand |
| title_sort | stability of money demand and monetary transmission mechanism in thailand |
| topic | monetary transmission mechanism Vector Error Correction Model (VECM) real income price level Thailand real money balances (M1 or M2) long run and short run equilibrium relationship Vector autoregression model (VAR) cointegration analysis determinants external interest rates exchange rates |
| url | http://hdl.handle.net/20.500.11937/612 |