Publishing type：Research paper (scientific journal)  

This paper empirically investigates the economic relationship between the US and Asian economies after the Asian currency crisis in Indonesia, Korea, the Philippines, Singapore, and Thailand, employing a cointegration methodology. Based on the empirical results, we conclude that the interdependence between the US and these Asian economies has intensified especially in information technology industries, and that their stock markets are integrated. On the other hand, the relationship between the domestic stock and foreign exchange markets is found to have a negative sign, interpreted by portfolio balance approach, in Indonesia, Korea, and Thailand. This result implies that the exchange rates of these countries are relatively vulnerable to fluctuation in international portfolio investments. (C) 2012 Elsevier Inc. All rights reserved.

DOI： 10.1016/j.asieco.2012.06.007

Publishing type：Research paper (scientific journal)  

Using relatively recent data, this paper examines the causal relation between trade and production in some Asian developing countries. We find that causality analyses provide no evidence of export-led growth. Export-oriented growth has not been the primary strategy.

Publishing type：Research paper (scientific journal)  

This paper empirically investigates the transmission of the Reserve Bank of India (RBI)'s monetary policy at a time when multiple indicator approaches are popular, using a structural VAR approach. We find that non-recursive zero restrictions must be imposed on the contemporaneous structural parameters to identify a monetary policy shock and that the RBI regards the current value of money as the centered information variable of the monetary policy, though exercising leverage over the real interest rate.

Publishing type：Research paper (scientific journal)  

Using cointegration and structural vector autoregression (SVAR) techniques this paper investigates the effect of Bank Indonesia's (BI) monetary policy on inflation during the post-1997 crisis monetary-targeting period. Our analysis suggests that BI's monetary policy does not have systematic impact on the price level, apparently because of unstable money demand. Unreliable effects of BI's monetary policy are reflected in frequent and substantial deviations of the actual inflation rate from its targeted ranges.

Publishing type：Research paper (scientific journal)  

This paper investigates the monetary transmission mechanism in Thailand, employing a VAR approach. It is found that the Bank of Thailand has leverage over the real interest rate in the short run due to inflation inertia. It is also found that the Thai monetary transmission mechanism has important international dimensions. More specifically, monetary contraction has stronger negative effects on import demand in the short run even though import prices fall. (C) 2007 Elsevier Inc. All rights reserved.

DOI： 10.1016/j.asieco.2007.12.013

Publishing type：Research paper (bulletin of university, research institution)  

アジア通貨危機により変動相場制へ移行した東南アジア諸国において, インドネシア, タイ, そしてフィリピンは新たな金融政策のフレームワークとしてインフレ・ターゲティングを採用した。しかしながら, これらの新興市場国において, 同政策採用が金融政策の透明性を高め, 理論的根拠であるインフレ期待に対する動学的非整合性を回避し, また実際に直面しているインフレ圧力を抑えることは可能であろうか。さらに, 新興市場国にとってとりわけ重要な生産を損なうことなく同政策の運営が行われているのだろうか。本稿ではインドネシア・タイ・フィリピンの3ヶ国を事例として, マクロ経済指標の変化および生産への影響についての実証分析を試みた。結果として, 各国は概ね金融政策変数の誘導には成功しており, インフレ値の低位誘導傾向も看取される。また, 生産に関しては, インドネシアおよびフィリピンで予測値を下回る結果が得られたが, 分散分解の結果によれば生産へのインフレ・ターゲティングの寄与率が決して大きなものでないことから, インフル・ターゲティングが生産を著しく損なうとは考えにくいであろうとの結論が導かれた。ただし, 為替レートの変動が生産に与える影響については決して小さくないことも確認された。

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Other URL： http://id.ndl.go.jp/bib/8914590

DOI： 10.11384/jjasas1989.2006.117

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Publishing type：Research paper (bulletin of university, research institution)  

インドネシアは2000年以降, 通貨の安定を最優先課題とし, 為替レートの安定も考慮したインフレ・ターゲティングを金融政策のフレームワークとしてきた。このような状態に加え, いわゆる公開市場操作が不十分な状態であるとされる金融システムにおいて, 果たしてインフレ・ターゲティングの効果的な実施は可能であろうか。2003年以降, インフレ目標を達成している背景には, 偶然ではない, 理論的な政策運営の成果が見て取れるのだろうか。本稿では実証分析にインドネシア経済を反映した構造VARモデルを用いることで, そのインパルス応答関数の形態と分散分解を検証し, 政策波及経路を明らかにした。結果, インドネシアが現実の政策と同様, 中央銀行債残高の調整から貨幣量の伸び率を誘導することで, 物価をコントロールしていることを確認できたが, 誘導目標を金利へ変更する過程にあることも明らかとなった。

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Other URL： http://id.ndl.go.jp/bib/8577125

After the Asian currency crisis, Thailand shifted to a floating exchange rate regime, and has since May 2000 adopted inflation targeting as the cornerstone of its monetary policy. The key monetary policy instrument is the 14-day repurchase rate, and the target is to maintain core inflation in the range of 0–3.5%. Fully fledged inflation targeting is well regarded and there was no deviation from the target range between May 2000 and June 2005. Accordingly, the Bank of Thailand is assumed to have controled the rate of inflation within the target range over the sample period.<br>The aim of this paper is to examine, using a structural vector autoregression (SVAR), the monetary transmission mechanism and the effects of monetary policy shocks on inflation or other variables in Thailand. We analyzed estimated impulse responses and variance decompositions in two SVARs with short-run restrictions. One of the restrictions reflects a normal monetary channel, and the other a credit channel. According to the estimated impulse responses of the former model, we find that a contractionary monetary policy shock does not instantly lead to a fall in base money and it is impossible to explain the movement of output in the monetary transmission mechanism. However, according to the estimated impulse responses of the latter model, the movements of all variables can be explained theoretically. Moreover, the fractions of forecast error variances attributed to monetary policy shocks in the latter model are also found to follow the results of impulse responses.<br>These empirical results indicate that monetary policy shocks finally affect inflation. Regarding the monetary transmission mechanism, however, the operations of Thailand’s monetary policy seem to affect more private credit or commercial bank credit than money supply or monetary base. That is, not only the monetary channel but the credit channel is assumed to be important for explaining the monetary transmission mechanism because the financial sector of Thailand may not yet have matured. Furthermore, the new finding is that the empirical evidence indicates that a contractionary monetary policy shock (a rise in the interest rate) leads a rise in real output.This is paradoxical according to standard macro-economic models. A suitable rise in interest rates may stimulate commercial banks’ incentive for lending to the private sector because a credit squeeze occurred in Thailand following the Asian currency crisis.

DOI： 10.11479/asianstudies.52.4_52

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