Dependence structure of and co-movement between thai currency and international currencies after introduction of quantitative easing

© Springer International Publishing Switzerland 2016. We analyze the dependence relationship between the Thai currency and international currencies after the introduction of quantitative easing (QE). The daily currency exchange rates of Thailand, European countries, Great Britain, Japan, Indonesia,...

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Main Authors:	Pastpipatkul P., Yamaka W., Sriboonchitta S.
Format:	Book Series
Published:	2017
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84952705529&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42354
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Institution:	Chiang Mai University

id	th-cmuir.6653943832-42354
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spelling	th-cmuir.6653943832-423542017-09-28T04:26:37Z Dependence structure of and co-movement between thai currency and international currencies after introduction of quantitative easing Pastpipatkul P. Yamaka W. Sriboonchitta S. © Springer International Publishing Switzerland 2016. We analyze the dependence relationship between the Thai currency and international currencies after the introduction of quantitative easing (QE). The daily currency exchange rates of Thailand, European countries, Great Britain, Japan, Indonesia, the Philippines, Singapore, and Malaysia during 2009–2014 are applied in this study. We proposed a Markov-switching dynamic copula approach to test the co-movement between the exchange rates and the Thai Baht. The results show that there is a dependence relationship between the Thai Baht and the other currencies except in the case of the Great British Pound. Additionally, we also found that a high dependence regime has higher volatility than a low dependence regime. 2017-09-28T04:26:37Z 2017-09-28T04:26:37Z 2016-01-01 Book Series 1860949X 2-s2.0-84952705529 10.1007/978-3-319-27284-9_36 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84952705529&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42354
institution	Chiang Mai University
building	Chiang Mai University Library
country	Thailand
collection	CMU Intellectual Repository
description	© Springer International Publishing Switzerland 2016. We analyze the dependence relationship between the Thai currency and international currencies after the introduction of quantitative easing (QE). The daily currency exchange rates of Thailand, European countries, Great Britain, Japan, Indonesia, the Philippines, Singapore, and Malaysia during 2009–2014 are applied in this study. We proposed a Markov-switching dynamic copula approach to test the co-movement between the exchange rates and the Thai Baht. The results show that there is a dependence relationship between the Thai Baht and the other currencies except in the case of the Great British Pound. Additionally, we also found that a high dependence regime has higher volatility than a low dependence regime.
format	Book Series
author	Pastpipatkul P. Yamaka W. Sriboonchitta S.
spellingShingle	Pastpipatkul P. Yamaka W. Sriboonchitta S. Dependence structure of and co-movement between thai currency and international currencies after introduction of quantitative easing
author_facet	Pastpipatkul P. Yamaka W. Sriboonchitta S.
author_sort	Pastpipatkul P.
title	Dependence structure of and co-movement between thai currency and international currencies after introduction of quantitative easing
title_short	Dependence structure of and co-movement between thai currency and international currencies after introduction of quantitative easing
title_full	Dependence structure of and co-movement between thai currency and international currencies after introduction of quantitative easing
title_fullStr	Dependence structure of and co-movement between thai currency and international currencies after introduction of quantitative easing
title_full_unstemmed	Dependence structure of and co-movement between thai currency and international currencies after introduction of quantitative easing
title_sort	dependence structure of and co-movement between thai currency and international currencies after introduction of quantitative easing
publishDate	2017
url	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84952705529&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42354
_version_	1681422173569286144

Dependence structure of and co-movement between thai currency and international currencies after introduction of quantitative easing

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