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สถาบันวิจัยเศรษฐกิจป๋วย อึ๊งภากรณ์
Puey Ungphakorn
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Call for Papers: PIER Research Workshop 2025
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Discussion Paperdp
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Year
2025
2024
2023
2022
...
1 December 2023
20231701388800000
No. 211

Disaggregated Inflation Dynamics in Thailand: Which Shocks Matter?

Abstract

This paper examines the role of sector-specific and common macroeconomic shocks towards explaining the dynamics of disaggregated price series and overall headline inflation in Thailand. Based on applying a Bayesian factor-augmented VAR model with zero and sign restrictions on a large dataset of macroeconomic and disaggregated price data, we identify domestic and global structural macroeconomic shocks and study their contributions to inflation volatility and dynamics. We find that sector-specific shocks account for over 80 percent of the variation in disaggregated price series. Common macroeconomic shocks, on the other hand, drive the majority of inflation dynamics at the aggregated level, in which most of these common shocks have origins that are global in nature. For Thailand, global demand and oil price shocks are the two main drivers of headline inflation, and transmit mainly through energy prices. We also find that the dominant role of global shocks helps explain the rather low persistence of Thai inflation movements, as they generate lower overall inflation persistence than domestically-oriented shocks.

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JEL: C32E31E37
Tags: disaggregated pricesinflationfactor-augmented varsign restrictionsmonetary policy
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.
Nuwat Nookhwun
Nuwat Nookhwun
Puey Ungphakorn Institute for Economic Research
Pym Manopimoke
Pym Manopimoke
Bank of Thailand

Puey Ungphakorn Institute for Economic Research

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Phone: 0-2283-6066

Email: pier@bot.or.th

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