Suthawan Prukumpai and Yuthana Sethapramote

Year: 2019 January, Volume 28 No. 2
Pages: 52–68

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 were used 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.