Detail The relationship between exchange rate volatility and capital flows in Thailand from 1984 to 1997 Bibliografi Author: Songcharoen, Warajhit ; Rahman, Hamid (Advisor) Topik: ECONOMICS; FINANCE Bahasa: (EN )    ISBN: 0-599-21063-X     Penerbit: UNITED STATES INTERNATIONAL UNIVERSITY     Tahun Terbit: 1999     Jenis: Theses - Dissertation Fulltext: 9921834.pdf (0.0B; 1 download) Abstract The problem. The purpose of this study was to examine the relationship between exchange rate volatility and net capital flows in Thailand during the period of the basket peg system in effect from November 1984 to June 1997. Method. Secondary data were used, and the data observation period was all months from November 1984 to June 1997 inclusive. The Generalized Autoregressive Conditional Heteroskedastic Method (GARCH 1, 1) was conducted to examine the relationship and sensitivity of exchange rate volatility and capital flows. The GARCH (1, 1) was also conducted to investigate the relationship between each of the following four macroeconomic indicators and exchange rate volatility: inflation rate volatility, interest rate volatility, money supply volatility, and growth rate volatility. The three statistical techniques applied in this study included the Unit Root Test, the Histogram-Normality Residual Test, and the Correlogram Residual Test. The Unit Root Test was used for stationarity analysis. The Histogram-Normality and Correlogram Residual Tests were used for the purpose of justifying the adequacy of the research models. Results. The results showed a significant direct relationship between real exchange rate volatility and international capital flows in Thailand during the period when the basket peg system was in effect. The results also indicated a significant relationship between each of the four macroeconomic fundamentals and (real) exchange rate volatility: inflation rate volatility (direct relationship); interest rate volatility (inverse relationship); growth rate volatility (inverse relationship); and, money supply volatility (direct relationship). Finally, the results of this study suggested that the growth of international capital in Thailand had been influenced not only by the real value of the Thai currency itself, but also by the volatility of the four macroeconomic indicators: inflation rate, interest rate, growth rate, and money supply. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Lihat Sejarah Pengadaan  Konversi Metadata   Kembali

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