A Management of the Impacts of Economic Factors on USDTHB and EURTHB Exchange Rates by Using Bayesian ModelsJournal: TEM JOURNAL - Technology, Education, Management, Informatics (Vol.6, No. 2)
Publication Date: 2017-05-31
Authors : Channarong Chaiphat;
Page : 279-285
Keywords : Foreign Exchange Rate; THB/USD; THB/EUR; Bayesian Model Averaging;
This study aims to manage the impacts of economic factors on USDTHB and EURTHB exchange rates using monthly time series data from January 2005 to January 2015. Multiple Regression and Bayesian Model Averaging are also applied to indicate the probability of the variables in the model. The findings reveal that international reserves and interest rates have highest probability to indicate the exchange rates of the Thai baht to the U.S. dollar and to the euro in a negative relationship whereas inflation differentials between Thailand and the United States have highest probability to indicate the exchange rates of the Thai baht to the U.S. dollar in a positive relationship. Moreover, a political factor has great probability to indicate the exchange rates of the Thai baht to U.S. dollar and of the Thai baht to euro in a positive relationship. The study suggests useful policy recommendations to select a proper efficient tool to maintain stability of the Thai baht to meet expected economic goals.
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