Inflation Targeting

1
??????????????????????? ??????????????????????????
?? Inflation Targeting

• ???????????????????
• ????????????????????????1
• ???????????????????

????????? ?????????????? ??????
2
??????????????????????????????????????
??????????? (Endogenous Variables)
1. RD3M ????????????????????????? ? 3 ????? (
?????) 2. MLR ????????????????????????????????
( ?????) 3. FX ??????????????? (???/???????
???.) 4. CPI ?????????????????? (Index) 5. IPR
???????????????????????????? (??????????) 6.
CPR ?????????????????????????????
(??????????) 7. XR ?????????????????????????????
????????????? (??????????) 8. MR ???????????
???????????????????????????????? (??????????) 9.
CAPU ????????????? ???????????????????????????
() 10. IPUB ???????????????????????????????????
(??????????)
3
11. PIFX Public Investment Deflator (Index) 12.
CGOVR ??????????????????????????????
(??????????) 13. PGCON Government Consumption
Deflator (Index) 14. PGDP GDP Deflator
(Index) 15. GREV ???????????????
(??????????) 16. GCB ??????????????????
(??????????) 17. ClAIMG ?????????????????
(??????????) 18. PCREDIT ???????????????????????
?????????????????? (BIBF) (??????????) 19.
DOMCREDIT ????????????????????????????
(??????????) 20. M2A ??????????????????????????
(M2 P/N Bills) (??????????) 21. Current
????????????????? (??????? US) 22. BPB
???????? ??????? (??????????)
4
23. NFA ????????????????????????
(??????????) 24. GDPR ??????????????????????????
??? (??????????) 25. GDPN ??????????????????????
?????????? (??????????) 26. INFLAT
????????????? ( ?????) 27. RISK
?????????????????????????????????? ???? ????
??????????????????????? ?????????????
????????????????????? ??????????
?????????????????????? ?????????????????????????
??????????? ???? Early Warning Indicators ??????
?????????????????????? ???????
5
???????????? (Exogenous Variables)
1. RP14D ???????????????????????? 14 ??? (
?????) 2. FEDFUND ??????????????????????????????
??????????? ( ?????) 3. CPIUS
????????????????????????????????? (Index) 4.
FARMPRICE ????????????????????????????????????
(Index) 5. OMAN ??????? ????????????? ( US
????????) 6. TPGDP ?????????????????????????????
??????????????? ( Index) 7. GCAPITAL
????????????????????????????? (??????????) 8.
ISERN ??????????????????????????????????
(??????????) 9. GCURRENT ????????????
?????????? (??????????) 10. NONBUDGET
??????????????????????????? (??????????) 11. GEXP
????????????? (??????????) 12. FCAPG
???????????????????????????? (??????? US)
6
13. TAX ?????????????????????????????????????
( ?????) 14. CAPITAL ?????????????????????????
? (??????? US) 15. VAT ???????????????????? (
?????) 16. PM ????????????????????? ?????
(Index) 17. PX ?????????????????????????
(Index) 18.Ystar ?????????????????????
(Potential Output) (??????????) 19. OTHM2A
????????????????????? M2A 20. OTHCUR
???????????????????????????? 21. OTHBP
??????????????????? ??????? 22. OTHNFA
??????????????????????????????????? 23. OTHGDP
???????????????????????????????????????????
7
?????? Dummy
1. Dummy 1 ??????????? 1996 Q1 1998 Q4 1
, ????? 0 2. DummyNPL ????????????????????????
?????????????????????????????? (NPL)
??????????????????????????????????????????????????
????? 40 ??? 1998 Q4 ???????? 1 , ?????
0 3. DUM97Q1 1997 Q1 1 , ????? 0 4. FLOAT
????????????????????????????????????????????????
? ??? 1997 Q3 ????????????? 1, ????? 0 5.
DUM95 ?????????????? 1995 Q1 - 1995 Q4 1 ,
????? 0 6. DUM96Q12 1996 Q1 - 1996 Q2 1,
????? 0 7. DUM94Q4 ???????????????????????????
??????????????????????? ??? 1994 Q4 1 , ?????
0
8
8. DUM9899Q3 ??????????????????????????????????
???????????????????????? ??? 1998 Q3 ??? 1999
Q3 1 , ????? 0 9. DUMFIDF
???????????????????????????????? finance
???????????? ? ??? 1998 Q2 ??? 1999 Q1 1 ,
????? 0 10. DUM98Q1 ??????????????1998 Q1
1 , ????? 0
9
1. ???????????????

• 1.1 ?????????????????????????????
• ?ln(CPR) 0.026 0.387 ?ln(GDPR(1-TAX)) -
  1.181 ?ln(CPI)
• (4.30) (3.18) (-3.49)
• - 0.008 ?(MLR(-3)) INFLAT(-3)) - 0.025
  FLOAT AR(2) -0.454
• (-2.22) (-4.65) (-1.98)
• Adjusted R-Squared 0.76
• S.E. of regression 0.01
• CPR ????????????????????????????? (??????????)
• GDPR ????????????????????????????? (??????????)
  , GDPR(1-TAX) ?????????????????
• CPI ?????????????????? (Index) , INFLAT
  ????????????? ( ?????)????????????3??,
• MLR(-3) ???????????????????????????????? (
  ?????)???????????? 3 ??
• FLOAT ??????????????????????????????????????????
  ??????? ??? 1997 Q3 ????????????? 1????? 0
• AR(2) ???????????????????????????????
  Autocorrelation ??????????? AR(1) ???? AR(2)
  ??????????

10
1.2 ???????????????????????????? ?ln (IPR)
0.861 ?ln(M2A(-1)/CPI(-1)) 0.006?(CAPU(-1))
(4.06) (2.39) - 0.010 ?(MLR INFLAT) -
0.238 DUM97Q1 - 0.028 Float AR(1) -0.529
(-3.40) (-8.41) (-3.63)
(-2.02) Adjusted R-Squared 0.89 S.E. of
regression 0.03 IPR ??????????????????????????
?? (??????????) (M2A(-1) ???????????????????????
??? (M2 P/N Bills)????????????1?? (??????????)
???(M2A(-1)/CPI(-1)) ?????????????????(??????????
/?????????)???1?? CAPU ?????????????
??????????????????????????? () MLR
INFLAT??????????????????????????-?????????????(??
?????????????????????????????) DUM97Q1 1997 Q1
1 , ????? 0 , FLOAT ????????????????????????
????????????????????????? ??? 1997 Q3
????????????? 1????? 0
11
1.3 ????????????? ??????????? CAPU 0.519
((GDPR) 100/Ystar) 0.827 CAPU(-1) (6.87)
(5.85) - 0.568 CAPU(-2) - 6.403 Float -
2.980 DUM96Q12 (-5.07) (-6.07)
(-2.61) Adjusted R-Squared 0.9 S.E. of
regression 1.42 CAPU ?????????????
??????????????????????????? () GDPR
????????????????????????????? (??????????) Ystar
????????????????????? (Potential Output)
(??????????) CAPU (-1)??? (-2) ?????????????
??????????????????????????? ()????????????1???2??
???????? DUM96Q12 1996 Q1 - 1996 Q2 1,
????? 0 FLOAT ????????????????????????????????
????????????????? ??? 1997 Q3 ?????????????
1????? 0
12
1.4 ?????????????????????????????? CGOVR
((GCURRENT NONBUDGET)100/PGCON) Adjusted
R-Squared S.E. of regression CGOVR
?????????????????????????????? (??????????) GCURRE
NT ???????????? ?????????? (??????????) NONBUDGE
T ???????????????????????????
(??????????) PGCON Government Consumption
Deflator (Index) ???????? ??????????????
?????????????????
13
1.5 ????????????????? IPUB ((GCAPITAL
ISERN)100)/PIFX Adjusted R-Squared S.E. of
regression IPUB ??????????????????????????????
????? (??????????) GCAPITAL ????????????????????
????????? (??????????) ISERN
??????????????????????????????????
(??????????) PIFX Public Investment Deflator
(Index) ???????? ??????????????
?????????????????
14
1.6 ??????????????? ?ln(XR) 1.13 ?ln(TPGDP) -
0.636 ?ln((PX/FX) / CPIUS) (2.10)
(-3.33) 0.076 ?(DUM95) 0.707
?ln(GDPR) 0.637 ecmXR(-1) (3.84)
(2.07) (-2.95) Adjusted R-Squared 0.49
S.E. of regression 0.03 XR ???????????????????
??????????????????????? (??????????), XR(-1)
????? 1 ?? TPGDP ?????????????????????????????
??????????????? ( Index) PX ????????????????????
????? (Index) FX ??????????????? (???/???????
???.) CPIUS ?????????????????????????????????
(Index) DUM95 ?????????????? 1995 Q1 - 1995
Q4 1 , ????? 0 GDPR ???????????????????????
?????? (??????????)
15
1.7 ??????????? ????? ?ln(MR) 1.072 ?ln(GDPR)
- 0.222 ?ln(PMFX/PGDP) (4.01)
(-2.19) 0.011 ?(CAPU(-1)) - 0.434
ecmMR(-1) (4.45) (-2.26) Adjusted
R-Squared 0.77 S.E. of regression 0.03 MR
??????????? ????????????????????????????????
(??????????), MR(-1)?????1?? GDPR
????????????????????????????? (??????????) PM
????????????????????? ????? (Index) FX
??????????????? (???/??????? ???.) PGDP GDP
Deflator (Index) CAPU(-1) ?????????????
??????????????????????????? ()???1??
16
1.8 ????????????????????????????? Real GDP GDPR
CPR IPR IPUB CGOVR (XR - MR)
OTHGDP Adjusted R-Squared S.E. of regression
??????????????????????????????????????? GDPR
????????????????????????????? (??????????) CPR
????????????????????????????? (??????????) IPR
???????????????????????????? (??????????) CGOVR
?????????????????????????????? (??????????) IPUB
???????????????????????????????????
(??????????) XR ????????????????????????????????
?????????? (??????????) MR ???????????
????????????????????????????????
(??????????) OTHGDP ????????????????????????????
???????????????
17
1.9 ???????????????????????????? Nominal GDP GDPN
GDPR PGDP/100 Adjusted R-Squared S.E. of
regression ?????????????? GDPN
????????????????????????????????
(??????????) GDPR ?????????????????????????????
(??????????) PGDP GDP Deflator (Index)
18
2. ?????????
2.1 ???????????? ?ln(GREV) 1.088 ?ln(GDPN)
1.174 ?ln(GDPN(-3)) (2.04)
(2.39) - 0.238 DUM9899Q3 - 0.880
ecmGREV(-1) (-4.52)
(-5.34) Adjusted R-Squared 0.62 S.E. of
regression 0.07 GREV ???????????????
(??????????), GREV(-1) ???1 ?? GDPN
???????????????????????????????? (??????????),
GDPN(-3)???3?? DUM9899Q3 ???????????????????????
??????????? ???????????????????????? ??? 1998 Q3
??? 1999 Q3 1 , ????? 0
19
2.2 ?????????????????? GCB GREV - GEXP
NONBUDGET Adjusted R-Squared S.E. of
regression ??????????/?????/?????????? GCB
?????????????????? (??????????) GREV
??????????????? (??????????) GEXP ?????????????
(??????????) NONBUDGET ?????????????????????????
?? (??????????)
20
3. ?????????????
3.1 ????????????????? (in dollar terms) CURRENT
(((XRPX) (MRPM))/100) OTHCUR Adjusted
R-Squared S.E. of regression
??????????/?????/?????????? Current
????????????????? (??????? US) XR
??????????????????????????????????????????
(??????????) PX ?????????????????????????
(Index) MR ??????????? ?????????????????????????
??????? (??????????) PM ?????????????????????
????? (Index) OTHCUR ??????????????????????????
??
21
3.2 ???????? ??????? (in baht terms) BPB
CAPITAL FX CURRENTB OTHBP Adjusted
R-Squared S.E. of regression
??????????/?????/?????????? BPB ????????
??????? (??????????) CAPITAL
?????????????????????????? (??????? US) FX
??????????????? (???/??????? ???.) CURRENTB
????????????????? (??????? ???) OTHBP
??????????????????? ???????
22
3.3 ???????????????????????? NFA NFA(-1) BPB
OTHNFA Adjusted R-Squared S.E. of regression
??????????/?????/?????????? NFA
???????????????????????? (??????????), NFA
(-1)???1?? BPB ???????? ???????
(??????????) OTHNFA ????????????????????????????
???????
23
3.4 ??????????????? ln(FX) In(Fx(-1)) - In
(1RP14D/ 400) - In (1FEDFUND/ 400)
RISK Adjusted R-Squared S.E. of regression
FX ??????????????? (???/??????? ???.), FX
(-1)???1?? RP14D ???????????????????????? 14
??? ( ?????) FEDFUND ??????????????????????????
??????????????? ( ?????) RISK
?????????????????????????????????? ???? ????
??????????????????????? ?????????????
????????????????????? ??????????
????????????????? ????? ?????????????????????????
??????????? ???? Early Warning Indicators
???????????????????????????? ???????
24
4. ??????????
4.1 ????????????????????????? ? 3 ????? ?(RD3M)
0.190 ? (RP14D) 0.167 ? (RP14D(-1))
(3.81) (3.26) 0.109
?(RP14D(-2)) - 0.423 DUMMY1 (2.18)
(-1.99) Adjusted R-Squared 0.57 S.E. of
regression 0.72 RD3M ?????????????????????????
? 3 ????? ( ?????) RP14D ????????????????????
???? 14 ??? ( ?????), RP14D(-1)???1??,
RP14D(-2)???2?? Dummy 1 ??????????? 1996 Q1
1998 Q4 1 , ????? 0
25
4.2 ???????????????????????????????? ?(MLR)
0.62 ?(RD3M) - 0.51 ecmMLR(-1)
(10.80) (-3.68) Adjusted R-Squared 0.82
S.E. of regression 0.37 RD3M
????????????????????????? ? 3 ????? (
?????) MLR ???????????????????????????????? (
?????), MLR (-1)???1??
26
4.3 ???????????????? (?????? BIBF) ?ln(PCREDIT)
- 0.008 ?(MLR FEDFUND) 0.361
?ln(GDPR) (-1.81) (2.61) -
0.044 ?DUM98Q1 2.085 ?ln(CPI)
(-2.58) (8.31) - 0.328
ecmPCREDIT(-1) (-1.74) Adjusted R-Squared
0.32 S.E. of regression 0.02 PCREDIT
????????????????????????????????????????? (BIBF)
(??????????), PCREDIT(-1)???1?? MLR
???????????????????????????????? (
?????) FEDFUND ????????????????????????????????
????????? ( ?????) GDPR ???????????????????????
?????? (??????????) DUM98Q1 ??????????????1998
Q1 1 , ????? 0 CPI ??????????????????
(Index)
27
4.4 ????????????????? ?(CLAIMG) -0.354
(FCAPGFX) - 0.164 GCB 161.909
DUMFIDF (-1.80) (-2.36) (23.31)
- 0.067 ?(CLAIMG(-1)) 0.180
?(CLAIMG(-2)) (-0.95) (-3.56)
0.344 ?(CLAIMG(-3)) (-3.35) Adjusted
R-Squared 0.98 S.E. of regression
8.32 ClAIMG ????????????????? (??????????),
ClAIMG(-1)(-2)(-3)???1/2/3?????????? FCAPG
???????????????????????????? (??????? US) FX
??????????????? (???/??????? ???.) GCB
?????????????????? (??????????) DUMFIDF
???????????????????????????????? finance
???????????? ? ??? 1998 Q2 ??? 1999 Q1 1 ,
????? 0
28
4.5 ?????????????????????? DOMCREDIT CLAIMG
PCREDIT Adjusted R-Squared S.E. of regression
??????????/?????/?????????? DOMCREDIT
???????????????????????????? (??????????) ClAIMG
????????????????? (??????????) PCREDIT
????????????????????????????????????????? (BIBF)
(??????????)
29
4.6 ?????????????????????????? M2A NFA
DOMCREDIT OTHM2A Adjusted R-Squared S.E. of
regression ??????????/?????/?????????? M2A
?????????????????????????? (M2 P/N Bills)
(??????????) NFA ????????????????????????
(??????????) DOMCREDIT ?????????????????????????
??? (??????????) OTHM2A ?????????????????????
M2A
30
5. ?????????
5.1 ????????????? (CPI)9 ?ln(CPI) 0.007 0.093
?ln(FARMPRICE(-1)) 0.013?ln(OMAN(-2))
(6.37) (4.03) (1.51) 0.055
?ln(FX) 0.088 ?ln(M2A) 0.005
?(VAT) (4.18) (2.50) (3.07) Adjusted
R-Squared 0.82 S.E. of regression 0.004 CPI
?????????????????? (Index) FARMPRICE
????????????????????????????????????
(Index) OMAN(-2) ??????? ????????????? ( US
????????)???2?? FX ??????????????? (???/???????
???.) M2A ?????????????????????????? (M2 P/N
Bills) (??????????) VAT ???????????????????? (
?????)
31
5.2 GDP Deflator ?ln(PGDP) 0.723 ?ln(CPI)
0.095 ?ln(PMFX) AR(1) -0.385
(4.16) (2.26) (-1.92) Adjusted
R-Squared 0.38 S.E. of regression 0.01 PGDP
GDP Deflator (Index) CPI ??????????????????
(Index) PM ????????????????????? ?????
(Index) FX ??????????????? (???/???????
???.) AR(1) ????????????????????????????Autocorrel
ation
32
5.3 ??????????????????????????????????? ?ln(PGCON)
0.609 ?ln(CPI) - 0.254
?ln(PGCON(-2)) (2.41) (-1.45) 0.079
DUM94Q4 (4.92) Adjusted R-Squared 0.52
S.E. of regression 0.02 PGCON Government
Consumption Deflator (Index), PGCON(-2)???2?? CPI
?????????????????? (Index) DUM94Q4
??????????????????????????????????????????????????
??? 1994 Q4 1 , ????? 0
33
5.4 ?????????????????????????? ?ln(PIFX) -0.011
0.151 ?ln(PGDP) 0.139 ?ln(PGDP(-1))
(-2.37) (1.33) (1.24) 1.652
?ln(CPI) 0.021 FLOAT - 0.329
?ln(PIFX(-1)) (4.71) (3.90)
(-2.16) Adjusted R-Squared 0.71 S.E. of
regression 0.01 PIFX Public Investment
Deflator (Index) , PIFX (-1)???1?? PGDP GDP
Deflator (Index), PGDP (-1)???1?? CPI
?????????????????? (Index) FLOAT
?????????????????????????????????????????????????
??? 1997 Q3 ????????????? 1, ????? 0