In order to implement monetary policy to achieve economic targets efficiently, it is necessary for a government to understand the mechanism of monetary policy and the household consumption, the largest sector in the economy. As a result, the monetary policy transmission mechanism which affects household consumption is an interesting issue and is useful to be understood. In this regard, the monetary policy transmission would affect household consumption through asset price channel. Accordingly, this thesis aims to study about the effects of the mechanism of monetary policy transmitting through the asset price channel on household consumption, which is from holding stock and real estates, and to compare the effects of transmission on the differential goods of household consumption. As for methodology, the thesis first applied Vector Autoregressive (VAR) in testing then analyzed the direction and magnitude of the effects by calculating the Impulse Response Function (IRF) and Variance Decomposition (VD). In the calculation, the selected variables were monetary policy instrument variable (14-day Repurchase Rate), intermediate variables (SET Index, Housing Price Index and Average Housing Price), and target variable in implementing the policy (Household Consumption, and Core Consumer Price Index). The model was calculated by using quarterly data from BE 2536 to BE 2547. However, the study found that there were changes in the structure of data in the periods before and after the conversion of exchange rate policy. Consequently, by using the Chow’s Test, the thesis cut off some data and studied only on the period after the adoption of managed-float exchange rate regime. That was, from the third quarter of BE 2540 to the fourth quarter of BE 2547 for the stock price model, and from the first quarter of BE 2541 to the fourth quarter of BE 2547 for housing price model. In addition, in order to collect the effects of the change in monetary policy in BE 2543, dummy variables showing such changes were added to the models in the study. As for the tests results, the result from the IRF test pointed out that there was no significant transmission of monetary policy through asset price channel which was from holding both stock and real estates. However, the result of VD test showed that interest rate had the most effect on asset prices. As for household consumption, interest rate had greater effect than wealth effect on holding various kinds of assets did. In further consideration, the study found that repurchase rate had greater effect on durable goods consumption than on nondurable goods and service. This was because interest rate had a great effect on providing loan to households. In this respect, 36 percent of the loan was the consumption for house and land leasing which was merely a part of durable goods. Also the government's fiscal policy to stimulate the economy could generate durable goods. Moreover, the result of the study showed that the selected variables in the study had long-term equilibrium relationships to each other in the Cointegration Test.
