This paper studies whether and how the Asian financial crisis has changed the long-run relationships between macroeconomic variables in Thailand. We use a system-based cointegration method under an open-economy framework. Three cointegrating vectors are identified during both pre-crisis and post-crisis periods as IS relation, money demand function, and policy rule. Our estimates show that these relations have changed over time. For instance, output responds stronger to interest rate after the crisis. The income elasticity of money demand appears to decline slightly. The most obvious change occurs in the policy rule. Before the crisis, the interest rate changes with the exchange rate and the fed funds rate, but it responds mainly to inflation after the crisis. The main cause is due to changes of monetary regimes in Thailand. Other explanations may include changes in households' perceptions about risks and developments in the financial markets.

Keywords: Cointegration, Financial Crisis, Small Open Economy, Structural Change, Thailand.

JEL classification: C32, E20, E58, F41