The Impact of Factors Affecting the Long-term Interest Rate in Thailand
นิพัทธ์ พันธ์นิล และ อรุณ เกียระสาร
The objective of this research is to study an impact of monetary policy, fiscal policy and foreign factor on the long-term interest rate in Thailand, using monthly data form June 2000 to December 2004. The study found that the VECM models showed the change of variables adjust the long-run equilibrium of long-term interest rate by - 0.0846 percent per month. The impulse response analysis found that the foreign factor has the highest influence on long-term interest rate and the impact of fiscal policy on long-term interest rate is stronger than monetary policy. It showed that the fiscal policy has an important role to play in the financial market where the economy has high liquidity and low inflation.
Keywords: Long-term Interest Rate
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