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สถาบันวิจัยเศรษฐกิจป๋วย อึ๊งภากรณ์
Puey Ungphakorn
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Call for Papers: PIER Research Workshop 2025
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14 September 2015
20151442188800000
No. 003

Inflation Expectations and Monetary Policy in Thailand

Abstract

This paper examines the relationship between inflation expectations and monetary policy in Thailand. The forward-looking Taylor rule is applied to measure monetary policy actions. Inflation expectations extracted from the yield curves are used. Our results provide two key findings. First, we find econometric evidence that inflation expectations react to monetary policy actions. A tighter monetary policy can curb expected inflation not only for short-term expectations but also for long-term expectations. These results are valid for both the reducedform single-equation and the structural-form system-of-equations estimation. Second, the monetary policy stance as measured by the residuals from the forward-looking Taylor rule is able to capture the relationship between monetary policy and inflation expectations better than the outcome-based policy rule. These results may explain the weak evidence in previous studies of the relationship between inflation expectation and monetary policy.

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JEL: C36E43E52E58
Tags: monetary policy in thailandinflation expectationsyield curvetaylor rule
The views expressed in this workshop do not necessarily reflect the views of the Puey Ungphakorn Institute for Economic Research or the Bank of Thailand.
Pongsak Luangaram
Pongsak Luangaram
Chulalongkorn University
Yuthana Sethapramote
Yuthana Sethapramote
National Institute of Development Administration
Chutiorn Tontivanichanon

Puey Ungphakorn Institute for Economic Research

273 Samsen Rd, Phra Nakhon, Bangkok 10200

Phone: 0-2283-6066

Email: pier@bot.or.th

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