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Monetary Model of Exchange Rate for Thailand: Long-run Relationship and Monetary Restrictions
VENUS KHIM-SEN LIEW,AHMAD ZUBAIDI BAHARUMSHAH,CHIN-HONG PUAH 연세대학교 동서문제연구원 2009 Global economic review Vol.38 No.4
This paper examines the long-run relationship between exchange rate and its determinants based on the flexible-price monetary model. The multivariate cointegration approach is adopted to attain our objective of this study. The empirical results provide evidence favoring the monetary approach to exchange rate for a small and open emerging economy, namely Thailand. In addition, the validity of the underlying assumptions of the monetary approach to the determination of exchange rate is established. The findings suggest that exchange rate players may effectively monitor and forecast the exchange rate movement via the money supplies, incomes, and interest rates variables of both Thailand and Japan. Besides, one has to follow the economic development of Thailand’s major trading partner, Japan, to understanding the movement of exchange rate for Thailand. Moreover, our findings add new insights to accompany previous studies that documented the important influence of the US in the emerging Asian economies.
Non-linearities in Real Interest Rate Parity: Evidence from OECD and Asian Developing Economies
AHMAD ZUBAIDI BAHARUMSHAH,VENUS KHIM-SEN LIEW,RON MITTELHAMMER 연세대학교 동서문제연구원 2010 Global economic review Vol.39 No.4
This paper investigates the validity real interest rate parity (RIP) for a sample of 19 OECD and Asian developing economies. The distinction of this paper is that we exploit both linearity and non-linear unit root tests as advocated by Dufre´not et al. (Applied Economics, 38, pp. 203-229, 2006) to validate the parity. The major finding are: (i) the alignments from real interest rate differentials (RIDs) are corrected in a non-linear fashion and that the adjustments is asymmetric in both size and speed; (ii) that RIP holds for the developed and developing countries; and (iii) the empirical results are invariant with respect to the US, Japan or Germany as the centre country.