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:	Pathairat Pastpipatkul, Woraphon Yamaka, Songsak Sriboonchitta
Format:	Book Series
Published:	2018
Subjects:	Computer Science
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84952705529&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/55555
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Institution:	Chiang Mai University

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spelling	th-cmuir.6653943832-555552018-09-05T02:57:50Z Dependence structure of and co-movement between thai currency and international currencies after introduction of quantitative easing Pathairat Pastpipatkul Woraphon Yamaka Songsak Sriboonchitta Computer Science © 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. 2018-09-05T02:57:50Z 2018-09-05T02:57:50Z 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/6653943832/55555
institution	Chiang Mai University
building	Chiang Mai University Library
country	Thailand
collection	CMU Intellectual Repository
topic	Computer Science
spellingShingle	Computer Science Pathairat Pastpipatkul Woraphon Yamaka Songsak Sriboonchitta Dependence structure of and co-movement between thai currency and international currencies after introduction of quantitative easing
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	Pathairat Pastpipatkul Woraphon Yamaka Songsak Sriboonchitta
author_facet	Pathairat Pastpipatkul Woraphon Yamaka Songsak Sriboonchitta
author_sort	Pathairat Pastpipatkul
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	2018
url	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84952705529&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/55555
_version_	1681424527683223552

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

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