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Sources of Exchange Rate Volatility in Thailand

NIDA Economic Review Journal

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Field Value
 
Title Sources of Exchange Rate Volatility in Thailand
 
Creator Wanaset, Apinya
 
Description This study aims to examine the pass-through effects of key macroeconomic variables on theexchange rate in Thailand by using a Vector Autoregressive (VAR) analysis. Themacroeconomic variables used in this study are exchange rate, GDP, CPI, money supply, andoil price from the period of 1993Q1 through 2008Q4. The results from the VAR analysissuggest that first, all key macroeconomic variables, including GDP, CPI, money supply, and oilprice, have affected exchange rate volatility from impulse response analysis. Second, for thevariance decomposition analysis, CPI shock has the most influential effect on exchange ratevolatility. Finally, the causality test suggests that GDP absorbs all of the effects from exchangerate, money supply, CPI, and oil price. At the same time, GDP affects money supply as well. Insum, the results imply that changes in key macroeconomic variables are likely accompanied byexchange rate volatility.
 
Publisher Development Economic Review (พัฒนาการเศรษฐกิจปริทรรศน์)
 
Date 2008-12-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://tci-thaijo.org/index.php/NER/article/view/23810
 
Source Development Economic Review (พัฒนาการเศรษฐกิจปริทรรศน์); Vol 3 No 2 (2551): NIDA Economic Review Journal; 17
1906-2540
 
Language eng
 
Relation http://tci-thaijo.org/index.php/NER/article/view/23810/20258
 
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