Macroeconomic factors affecting exchange rate fluctuation: Markov switching Bayesian quantile approach
© 2016 by the Mathematical Association of Thailand. All rights reserved. We employ Markov switching Bayesian Quantile regression (MSBQR) to investigate macroeconomic factors of exchange rate fluctuation in Thailand. The approach allows us to capture the effect of macroeconomic variables on the diffe...
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th-cmuir.6653943832-422112017-09-28T04:25:51Z Macroeconomic factors affecting exchange rate fluctuation: Markov switching Bayesian quantile approach Tungtrakul T. Maneejuk P. Sriboonchitta S. © 2016 by the Mathematical Association of Thailand. All rights reserved. We employ Markov switching Bayesian Quantile regression (MSBQR) to investigate macroeconomic factors of exchange rate fluctuation in Thailand. The approach allows us to capture the effect of macroeconomic variables on the different levels of exchange rate and also accommodate structural breaks in exchange rate. The results show that the inflation rate has slight effect on the exchange rate, while the effect is greater in the case of the bond yield and public debt. 2017-09-28T04:25:51Z 2017-09-28T04:25:51Z 2016-01-01 Journal 16860209 2-s2.0-85008392581 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85008392581&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42211 |
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© 2016 by the Mathematical Association of Thailand. All rights reserved. We employ Markov switching Bayesian Quantile regression (MSBQR) to investigate macroeconomic factors of exchange rate fluctuation in Thailand. The approach allows us to capture the effect of macroeconomic variables on the different levels of exchange rate and also accommodate structural breaks in exchange rate. The results show that the inflation rate has slight effect on the exchange rate, while the effect is greater in the case of the bond yield and public debt. |
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Tungtrakul T. Maneejuk P. Sriboonchitta S. |
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Tungtrakul T. Maneejuk P. Sriboonchitta S. Macroeconomic factors affecting exchange rate fluctuation: Markov switching Bayesian quantile approach |
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Tungtrakul T. Maneejuk P. Sriboonchitta S. |
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Tungtrakul T. |
title |
Macroeconomic factors affecting exchange rate fluctuation: Markov switching Bayesian quantile approach |
title_short |
Macroeconomic factors affecting exchange rate fluctuation: Markov switching Bayesian quantile approach |
title_full |
Macroeconomic factors affecting exchange rate fluctuation: Markov switching Bayesian quantile approach |
title_fullStr |
Macroeconomic factors affecting exchange rate fluctuation: Markov switching Bayesian quantile approach |
title_full_unstemmed |
Macroeconomic factors affecting exchange rate fluctuation: Markov switching Bayesian quantile approach |
title_sort |
macroeconomic factors affecting exchange rate fluctuation: markov switching bayesian quantile approach |
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2017 |
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https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85008392581&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42211 |
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1681422146245492736 |