动态随机一般均衡
经济
货币政策
泰勒法则
汇率
商业周期
小型开放经济
货币经济学
利率
新凯恩斯主义经济学
休克(循环)
膨胀(宇宙学)
宏观经济学
中央银行
医学
物理
理论物理学
内科学
出处
期刊:Journal of Economic Studies
[Emerald (MCB UP)]
日期:2023-12-26
标识
DOI:10.1108/jes-05-2023-0258
摘要
Purpose This study examines the importance of exchange rate and credit growth fluctuations when designing monetary policy in Thailand. To this end, the authors construct a small open economy New Keynesian dynamic stochastic general equilibrium (DSGE) model. The model encompasses several essential characteristics, including incomplete financial markets, incomplete exchange rate pass-through, deviations from the law of one price and a banking sector. The authors consider generalized Taylor rules, in which policymakers adjust policy rates in response to output, inflation, credit growth and exchange rate fluctuations. The marginal likelihoods are then employed to investigate whether the central bank responds to fluctuations in the exchange rate and credit growth. Design/methodology/approach This study constructs a small open economy DSGE model and then estimates the model using Bayesian methods. Findings The authors demonstrate that the monetary authority does target exchange rates, whereas there is no evidence in favor of incorporating credit growth into the policy rules. These findings survive various robustness checks. Furthermore, the authors demonstrate that domestic shocks contribute significantly to domestic business cycles. Although the terms of trade shock plays a minor role in business cycles, it explains the most significant proportion of exchange rate fluctuations, followed by the country risk premium shock. Originality/value This study is the first attempt at exploring the relevance of exchange rate and credit growth fluctuations when designing monetary policy in Thailand.
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