| 摘要: | The purpose of this study is to explore how changes in the demand management policy exerted influences on economic growth and inflation for Thailand and, furthermore, to examine their relative exogeneity. The demand management policies under discussion include the monetary policy, the exchange rate policy, and the interest rate policy. Theoretically, they can shift the aggregate demand curve and thus change total production and the price level if they are exclusively exogenous and determined outside the model of aggregate demand and aggregate supply. However, they are endogenous to a certain extent since they are also affected by other macroeconomic factors in the real world.
The macroeconomic variables used in this study include real gross domestic product, consumer price index, money supply, exchange rate between THB and USD, export, import, money market rate, and crude oil price. The data are collected at the quarterly interval from the Taiwan Economic Journal, spanning from 1997.Q1 to 2011.Q4. The eight variables are found to be I(1) series using ADF, PP, and KPSS tests. Next, the Johansen method finds that the eight series are cointegrated. The vector error correction (VEC) model is specified and estimated.
Evidence from Granger causality tests performed in the context of the VEC model shows that export growth, money supply growth, and money market rate changes bi-directionally Granger caused economic growth, whereas inflation, crude oil price shocks, depreciation of THB against USD, and import growth uni-directionally Granger caused economic growth. Evidence from the block exogeneity Wald test reveals that money supply growth and exchange rate depreciation are relatively exogenous and adjustment in money market rates is relatively endogenous. The finding suggests that the monetary policy might be the major demand management policy implemented by the Thai government in the period under discussion, evidently contradictory to the new consensus view of monetary policy. |
