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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...

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Main Authors: Bala, Umar, Songsiengchai, Patchaya, Lee, Chin
Format: Article
Language:English
Published: Economics Bulletin 2017
Online Access:http://psasir.upm.edu.my/id/eprint/60965/1/Asymmetric%20behavior%20of%20exchange%20rate%20pass-through%20in%20Thailand.pdf
http://psasir.upm.edu.my/id/eprint/60965/
http://www.accessecon.com/Pubs/EB/2017/Volume37/EB-17-V37-I2-P117.pdf
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spelling my.upm.eprints.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
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
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.
format Article
author Bala, Umar
Songsiengchai, Patchaya
Lee, Chin
spellingShingle Bala, Umar
Songsiengchai, Patchaya
Lee, Chin
Asymmetric behavior of exchange rate pass-through in Thailand
author_facet Bala, Umar
Songsiengchai, Patchaya
Lee, Chin
author_sort Bala, Umar
title Asymmetric behavior of exchange rate pass-through in Thailand
title_short 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_sort asymmetric behavior of exchange rate pass-through in thailand
publisher Economics Bulletin
publishDate 2017
url http://psasir.upm.edu.my/id/eprint/60965/1/Asymmetric%20behavior%20of%20exchange%20rate%20pass-through%20in%20Thailand.pdf
http://psasir.upm.edu.my/id/eprint/60965/
http://www.accessecon.com/Pubs/EB/2017/Volume37/EB-17-V37-I2-P117.pdf
_version_ 1643837475427188736
score 13.211869

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