Asymmetric behavior of exchange rate pass-through in Thailand
The purpose of this paper is to examine the asymmetric behavior in the adjustment of exchange rate pass-through to consumer price index in Thailand. This research applies advanced threshold cointegration model proposed by Enders and Siklos (2001). Both the Threshold Autoregressive (TAR) and Momentum...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Economics Bulletin
2017
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| Online Access: | http://psasir.upm.edu.my/id/eprint/60965/ http://psasir.upm.edu.my/id/eprint/60965/1/Asymmetric%20behavior%20of%20exchange%20rate%20pass-through%20in%20Thailand.pdf |
| _version_ | 1848854309504024576 |
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| author | Bala, Umar Songsiengchai, Patchaya Lee, Chin |
| author_facet | Bala, Umar Songsiengchai, Patchaya Lee, Chin |
| author_sort | Bala, Umar |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | The purpose of this paper is to examine the asymmetric behavior in the adjustment of exchange rate pass-through to consumer price index in Thailand. This research applies advanced threshold cointegration model proposed by Enders and Siklos (2001). Both the Threshold Autoregressive (TAR) and Momentum Threshold Autoregressive (MTAR) models result showed the evidence of cointegration in the non-zero threshold value. Furthermore, both models revealed that the adjustment towards long-run equilibrium are asymmetric. The adjustment during exchange rate depreciation significantly affect inflation, while the adjustment during exchange rate appreciation is not significant. This paper suggests that policy makers should have a different reaction in policy decision between the depreciation and appreciation of exchange rate pass-through to consumer price index. |
| first_indexed | 2025-11-15T11:07:49Z |
| format | Article |
| id | upm-60965 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T11:07:49Z |
| publishDate | 2017 |
| publisher | Economics Bulletin |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-609652019-04-29T09:28:48Z http://psasir.upm.edu.my/id/eprint/60965/ Asymmetric behavior of exchange rate pass-through in Thailand Bala, Umar Songsiengchai, Patchaya Lee, Chin The purpose of this paper is to examine the asymmetric behavior in the adjustment of exchange rate pass-through to consumer price index in Thailand. This research applies advanced threshold cointegration model proposed by Enders and Siklos (2001). Both the Threshold Autoregressive (TAR) and Momentum Threshold Autoregressive (MTAR) models result showed the evidence of cointegration in the non-zero threshold value. Furthermore, both models revealed that the adjustment towards long-run equilibrium are asymmetric. The adjustment during exchange rate depreciation significantly affect inflation, while the adjustment during exchange rate appreciation is not significant. This paper suggests that policy makers should have a different reaction in policy decision between the depreciation and appreciation of exchange rate pass-through to consumer price index. Economics Bulletin 2017 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/60965/1/Asymmetric%20behavior%20of%20exchange%20rate%20pass-through%20in%20Thailand.pdf Bala, Umar and Songsiengchai, Patchaya and Lee, Chin (2017) Asymmetric behavior of exchange rate pass-through in Thailand. Economics Bulletin, 37 (2). 1287 - 1297. ISSN 1545-2921 http://www.accessecon.com/Pubs/EB/2017/Volume37/EB-17-V37-I2-P117.pdf |
| spellingShingle | Bala, Umar Songsiengchai, Patchaya Lee, Chin Asymmetric behavior of exchange rate pass-through in Thailand |
| title | Asymmetric behavior of exchange rate pass-through in Thailand |
| title_full | Asymmetric behavior of exchange rate pass-through in Thailand |
| title_fullStr | Asymmetric behavior of exchange rate pass-through in Thailand |
| title_full_unstemmed | Asymmetric behavior of exchange rate pass-through in Thailand |
| title_short | Asymmetric behavior of exchange rate pass-through in Thailand |
| title_sort | asymmetric behavior of exchange rate pass-through in thailand |
| url | http://psasir.upm.edu.my/id/eprint/60965/ http://psasir.upm.edu.my/id/eprint/60965/ http://psasir.upm.edu.my/id/eprint/60965/1/Asymmetric%20behavior%20of%20exchange%20rate%20pass-through%20in%20Thailand.pdf |