How Does the Thai Stock Market Respond to Monetary and Fiscal Policy Shocks?

Authors

Suthawan Prukumpai, Kasetsart University, Bangkok, ThailandFollow
Yuthana Sethapramote, National Institute of Development Administration, Bangkok, Thailand

JEL Classification System

E44, E52, E62

Abstract

This study examines the impacts of monetary and fiscal policy on the Thai stock market using the structural vector autoregressive (SVAR) model. In addition to the data on the market aggregate level, we also consider the response of stock prices at the sectoral level. The empirical results show that the Thai stock market significantly responds to both monetary policy and fiscal policy. However, monetary policy has stronger effects on both real output and stock prices than those of fiscal policy. Fiscal policy shocks affect the stock market only for the next two to three quarters. In addition, sector indices wereused in place of the overall stock market and the results revealed that different sectors appeared to react heterogeneously to shocks in monetary policy and fiscal policy.

Recommended Citation

Prukumpai, Suthawan and Sethapramote, Yuthana (2019) "How Does the Thai Stock Market Respond to Monetary and Fiscal Policy Shocks?," DLSU Business & Economics Review: Vol. 28: No. 2, Article 7.
DOI: https://doi.org/10.59588/2243-786X.1214
Available at: https://animorepository.dlsu.edu.ph/ber/vol28/iss2/7