Sunirand, Pojanart (2003) The role of money in the transmission mechanism of monetary policy: evidence from Thailand. Financial Markets Group Discussion Papers (451). Financial Markets Group, The London School of Economics and Political Science, London, UK.
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Abstract
Meltzer (2001b) argues that the current trend for downgrading the role of money in standard macro models is erroneous as it masks those monetary transmission channels which operate through changes in relative yields of assets. This paper shows that the scope of these changes can be empirically segregated into (i) the changes in relative prices along the term structure (term-structure effect) and (ii) the changes in relative risk premia component of different kinds/classes of assets (risk-premia effect). Using Thailand data, I found that both effects are significant. I argue from this finding that standard macro models which are based on the two-asset assumption are distorting and that the problem can be alleviated by introducing an explicit role of money in these models.
| Item Type: | Monograph (Discussion Paper) |
|---|---|
| Official URL: | http://fmg.ac.uk |
| Additional Information: | © 2003 The Author |
| Divisions: | Financial Markets Group |
| Subjects: | H Social Sciences > HG Finance H Social Sciences > HB Economic Theory |
| JEL classification: | E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E51 - Money Supply; Credit; Money Multipliers E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E40 - General E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy (Targets, Instruments, and Effects) |
| Date Deposited: | 13 Aug 2009 09:29 |
| Last Modified: | 13 Sep 2024 19:50 |
| URI: | http://eprints.lse.ac.uk/id/eprint/24850 |
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