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The Impacts of US Macroeconomic Announcements on Thai Bond Markets |
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| รหัสดีโอไอ | |
| Title | The Impacts of US Macroeconomic Announcements on Thai Bond Markets |
| Creator | Jaturapat Thanaboot |
| Contributor | Anirut Pisedtasalasai |
| Publisher | Chulalongkorn University |
| Publication Year | 2562 |
| Keyword | Economic impact analysis -- Thailand, Bond market -- Thailand, United States -- Foreign economic relations -- Thailand, Thailand -- Foreign economic relations -- United States |
| Abstract | This study investigates the impact of US macroeconomic announcements both in terms of announcement day and surprise on Thai bond markets. More specifically, this paper analyses the different impacts of 16 US macroeconomic announcements on Thai bond markets. Using daily total returns on short- and long-term government bonds including investment-grade bond, I find that the overall US macroeconomic announcement days lower subsequent volatility in Thai bond markets while US macroeconomic announcement surprises raise volatility. Furthermore, after separating between types of US macroeconomic announcements, US inflation announcement days seem raise Thai bond market volatility while most of the negative US macroeconomic announcement surprises which imply weak US economic growth lower Thai bond volatility particularly long-term government bond. |
| URL Website | cuir.car.chula.ac.th |
