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Impacts of Quantitative Easing Policy of United States of America on Thai Economy by MS-SFABVAR

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Integrated Uncertainty in Knowledge Modelling and Decision Making (IUKM 2015)

Part of the book series: Lecture Notes in Computer Science ((LNAI,volume 9376))

Abstract

This paper provides new empirical evidences by combining the advantage of principal component analysis (PCA) with Markov-switching Bayesian VAR (MS-BVAR) to examine the durations and impacts of quantitative easing (QE) policy on the Thai economy. The results claimed that QE policy created monetary shock to the Thai economy around 4–5 months in each cycle before getting back to equilibrium. The result from foreign direct investment (FDI) was similar to foreign portfolio investment (FPI) channel that when QE was announced, excess capital stocks were injected into the emerging economies, including the Thailand stock market. Excess liquidity as a result of the QE policy pushed up the SET index of Thailand to reach the highest point in 2012. The booming stock market generated more real output (GDP), and greater levels of employment, private consumption, and policy interest rates. Also, it produced shocks for just 4–5 months for one cycle of QE. On the other hand, excess liquidity from QE caused the Thai Baht to appreciate significantly, and this affected Thailand’s trade balance negatively. Impulse response and filtered probability yielded similar results that the QE had the impact on the Thai economy seasonally, and that the impact was around 4–5 months in each cycle.

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Author information

Authors and Affiliations

  1. Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand

    Pathairat Pastpipatkul, Warawut Ruankham & Songsak Sriboonchitta

  2. Faculty of Economics, Prince of Songkla, Songkhla, Thailand

    Aree Wiboonpongse

  3. Faculty of Agriculture, Chiang Mai University, Chiang Mai, Thailand

    Aree Wiboonpongse

Authors
  1. Pathairat Pastpipatkul
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  2. Warawut Ruankham
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  3. Aree Wiboonpongse
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  4. Songsak Sriboonchitta
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Corresponding author

Correspondence to Pathairat Pastpipatkul .

Editor information

Editors and Affiliations

  1. Science and Technology, Japan Advanced Institute of, Nomi, Japan

    Van-Nam Huynh

  2. Science, Dept of Systems Innovation, Osaka University,Graduate School of, Osaka, Japan

    Masahiro Inuiguchi

  3. Université de Technologie de Compiègne, Compiègne, France

    Thierry Demoeux

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Pastpipatkul, P., Ruankham, W., Wiboonpongse, A., Sriboonchitta, S. (2015). Impacts of Quantitative Easing Policy of United States of America on Thai Economy by MS-SFABVAR. In: Huynh, VN., Inuiguchi, M., Demoeux, T. (eds) Integrated Uncertainty in Knowledge Modelling and Decision Making. IUKM 2015. Lecture Notes in Computer Science(), vol 9376. Springer, Cham. https://doi.org/10.1007/978-3-319-25135-6_36

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  • DOI: https://doi.org/10.1007/978-3-319-25135-6_36

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-25134-9

  • Online ISBN: 978-3-319-25135-6

  • eBook Packages: Computer ScienceComputer Science (R0)

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