Suthawan Prukumpai
Kasetsart University, Bangkok, Thailand
fbusswp@ku.ac.th
Yuthana Sethapramote
National Institute of Development Administration, Bangkok, Thailand
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.
Keywords : Monetary policy, Fiscal policy, Thai stock market, Structural VAR
