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Asia and Pacific > Thailand

You are looking at 1 - 5 of 5 items for :

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Cover IMF Working Papers
Optimal Price Indices for Targeting Inflation Under Incomplete Markets
Rahul Anand
and
Mr. Eswar S Prasad
In models with complete markets, targeting core inflation enables monetary policy to maximize welfare by replicating the flexible price equilibrium. We develop a two-sector two-good new-Keynesian model to study the optimal choice of price index in markets with financial frictions. We find that, in the presence of financial frictions, a welfare-maximizing central bank should adopt flexible headline inflation targeting a target for headline CPI inflation with some weight on the output gap. These results are particularly relevant for emerging markets, where the share of food expenditures in total consumption expenditures is high and a large proportion of consumers are credit constrained.
Keywords:
WP; headline inflation; Inflation targeting; Monetary Policy Framework; Core Inflation; Financial Frictions; Liquidity Constraints; headline inflation inflation targeting; consumption process; core inflation inflation targeting; rule allocation; sticky price; food price inflation; elasticity of substitution; inflation targeting price index; representative core inflation targeting country; headline inflation targeting rule; targeting consumption; core inflation targeting regime; Inflation; Consumption; Sticky prices; Price indexes; Global
Cover IMF Working Papers
Forecasting Thailand’s Core Inflation
Tao Sun
This paper develops an approach for forecasting in Thailand core inflation. The key innovation is to anchor the projections derived from the short-term time-series properties of core inflation to its longer-run evolution. This involves combining a short-term model, which attempts to distill the forecasting power of a variety of monthly indicators purely on goodness-of-fit criteria, with an equilibrium-correction model that pins down the convergence of core inflation to its longer-run structural determinants. The result is a promising model for forecasting Thai core inflation over horizons up to 10, 24, and 55 months, based on a root mean-squared error criterion as well as a mean absolute error criterion.
Keywords:
WP; core inflation; price index; Chow test
Cover IMF Working Papers
Measuring Misalignment: Purchasing Power Parity and East Asian Currencies in the 1990s
Menzie David Chinn
The concept of purchasing power parity (PPP) is used to evaluate whether eight East Asian currencies were overvalued on the eve of the 1997 crises. The Johansen and Horvath-Watson cointegration test procedures are applied to bilateral and multilateral exchange rates, deflated using CPIs, producer price indices (PPIs), and price indices of export goods. The second deflator yields the greatest evidence of “stationarity.” The study find’s that the Malaysian, Philippines, and Thai currencies were overvalued, while the Korean and Indonesian were substantially undervalued. Mixed results were obtained for the others. Measures of the equilibrium rate based on time trends in CPI-deflated rates typically suggest larger overvaluations.
Keywords:
WP; U.S. dollar; exchange rate; purchasing power parity; overvaluation; cointegration; yen rate; Hong Kong PPI data; retail price index; trend measure; log PPI; Thai baht; estimates accord; CPI sample; Real exchange rates; Producer price indexes; Consumer price indexes; Exchange rates; East Asia
Cover IMF Working Papers
International Integration of Equity Markets and Contagion Effects
Mr. Paul Cashin
,
Mr. Manmohan S. Kumar
, and
Mr. C. John McDermott
This paper investigates empirically the degree of international integration of industrial and emerging country equity markets. It analyzes two issues: first, the extent to which equity prices have tended to move similarly across countries and regions in the long run; and second, the strength of cross-country “contagion” effects. The paper’s findings suggest that both intra-regional and inter-regional linkages across national equity markets have strengthened in recent years. In addition, using impulse response functions, the paper shows that cross-country contagion effects of country-specific shocks dissipate in a matter of weeks while contagion effects of global shocks take several months to unwind themselves.
Keywords:
WP; price index; stock market index; emerging market; market index; country market; stock index; equity market market index; market movement; integration result; contagion effect; market integration; Stock markets; Emerging and frontier financial markets; Stocks; Price indexes; Asset prices; Asia and Pacific; Global; Middle East
Cover IMF Working Papers
Monetary Policy and the Price Behavior in Emerging Stock Markets
Mr. Peter Cornelius
This paper examines whether the six largest and most active emerging stock markets are informationally efficient with respect to changes in the money supply. To investigate if stock prices fully reflect the information contained in money supply changes, two different econometric techniques are employed. First, direct Granger-causality tests are used, which locus on the short-run relationship between stock prices and money. Second, the long-run behavior of the two variables is studied by means of co-integration tests. The results suggest that at least for two markets profitable trading rules can be developed to earn consistently higher-than-normal rates of return.
Keywords:
WP; informational efficiency; money supply; null hypothesis; stock price index price; time series; price behavior; stock price indexes; market stock price; Stock markets; Asset prices; Emerging and frontier financial markets; Monetary base; Price indexes