ผลกระทบของการสื่อสารของธนาคารแห่งประเทศไทยที่มีต่อตลาดการเงิน / พิสุทธิ์ ศิริยุวศักดิ์ = The impacts of Bank of Thailand communication on financial markets / Pisut Siriyuwasakdi
To study the effects of central bank communication on financial market including stock market, bond market and foreign exchange market. We consider two type of statements : official statements from the Monetary Policy Committee (MPC) and Inflation Report. We consider official statements from the Monetary Policy Committee (MPC) and classify into three types: core inflation, economic growth and future direction of monetary policy. Then we measure these types by translating into codes. The results can be summarized as follows: (1) BOT communication in these three types has statistical impacts in the bond market covering both short-term and long-term bonds. (2) When considering the stock market market, we find that BOT communication have significant effect on both core inflation and future direction of monetary policy. However, when we separate our data into two groups: when the MPC decide to change and decide not to change its interest rate policy, we find that the three type of communication still play a significant role (3) the foreign exchange market both onshore and offshore react only the core inflation statement, but the reaction of the foreign market is different when we study in two groups of data. The markets react to economic growth and future direction instead. (4) We also test about the change in forecast of core inflation and economic growth in 1 quarter, 1 year and 2 year ahead in inflation reports and we find that the changes affect all the financial markets.
