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Sources of Exchange Rate Volatility in Thailand |
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| รหัสดีโอไอ | |
| Creator | Apinya Wanaset |
| Title | Sources of Exchange Rate Volatility in Thailand |
| Publisher | School of Development Economic |
| Publication Year | 2551 |
| Journal Title | Development Economic Review |
| Journal Vol. | 3 |
| Journal No. | 2 |
| Page no. | 17 |
| Keyword | Exchange rate, VAR model, causality |
| ISSN | 1906-2540 |
| Abstract | This study aims to examine the pass-through effects of key macroeconomic variables on the exchange rate in Thailand by using a Vector Autoregressive (VAR) analysis. The macroeconomic variables used in this study are exchange rate, GDP, CPI, money supply, and oil price from the period of 1993Q1 through 2008Q4. The results from the VAR analysis suggest that first, all key macroeconomic variables, including GDP, CPI, money supply, and oil price, have affected exchange rate volatility from impulse response analysis. Second, for the variance decomposition analysis, CPI shock has the most influential effect on exchange rate volatility. Finally, the causality test suggests that GDP absorbs all of the effects from exchange rate, money supply, CPI, and oil price. At the same time, GDP affects money supply as well. In sum, the results imply that changes in key macroeconomic variables are likely accompanied by exchange rate volatility. |
