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Title: The Determination of exchange Rate in Baht per Yen: Cointegration and Vector Error Correction Model
Authors: Sudkhanung, Niramol 
Rangkakulnuwat, Poomthan 
Keywords: Exchange rate, Yen currency, Cointegration
Issue Date: 2007
Publisher: University of the Thai Chamber of Commerce
Source: Niramol Sudkhanung, Poomthan Rangkakulnuwat (2007) The Determination of exchange Rate in Baht per Yen: Cointegration and Vector Error Correction Model. NIDA Development Journal Vol.47 No.3, 65-81.
Journal: NIDA Development Journal
Abstract: This research studies the determinant of the exchange rate system of Baht per Yen using the monetary portfolio synthesis model. The cointegration test proposed by Johansen (1995) is adopted to extract thelong-run relationship of variables; the vector error correction model is applied to exhibit the short-run adjustment. Data used in this study are monthly from September 1999 to July 2006. The results show that all variables in the model have a long-run relationship. The long-run relationships between exchange rate and the relative of money supply (m-m*), real income (y-y*), the different in interest rates (r-r*), and the different in inflation expectation corresponds to the hypotheses; while those between the exchange rate and the risk premium does not correspond to the hypothesis.
ISSN: 0125-3689
Rights: This work is protected by copyright. Reproduction or distribution of the work in any format is prohibited without written permission of the copyright owner.
Appears in Collections:EC: Journal Articles

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