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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Main Authors:	Tanaporn Tungtrakul, Paravee Maneejuk, Songsak Sriboonchitta
Format:	Journal
Published:	2018
Subjects:	Mathematics
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85008392581&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/55958
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Institution:	Chiang Mai University

id	th-cmuir.6653943832-55958
record_format	dspace
spelling	th-cmuir.6653943832-559582018-09-05T03:06:36Z Macroeconomic factors affecting exchange rate fluctuation: Markov switching Bayesian quantile approach Tanaporn Tungtrakul Paravee Maneejuk Songsak Sriboonchitta Mathematics © 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. 2018-09-05T03:06:36Z 2018-09-05T03:06:36Z 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/6653943832/55958
institution	Chiang Mai University
building	Chiang Mai University Library
country	Thailand
collection	CMU Intellectual Repository
topic	Mathematics
spellingShingle	Mathematics Tanaporn Tungtrakul Paravee Maneejuk Songsak Sriboonchitta Macroeconomic factors affecting exchange rate fluctuation: Markov switching Bayesian quantile approach
description	© 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.
format	Journal
author	Tanaporn Tungtrakul Paravee Maneejuk Songsak Sriboonchitta
author_facet	Tanaporn Tungtrakul Paravee Maneejuk Songsak Sriboonchitta
author_sort	Tanaporn Tungtrakul
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
publishDate	2018
url	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85008392581&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/55958
_version_	1681424602441449472

Macroeconomic factors affecting exchange rate fluctuation: Markov switching Bayesian quantile approach

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