The heterogeneous impact of oil price on exchange rate: Evidence from Thailand

Chee-Hong Law ()
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Chee-Hong Law: School of Social Sciences, Universiti Sains Malaysia

Economics Bulletin, 2018, vol. 38, issue 4, 1748-1756

Abstract: Oil prices are expected to negatively affect the value of an oil-importing country's currency. Nonetheless, there have been few attempts to examine this claim using different quantiles of exchange rate. Examining the data from January 2000 to October 2017, this study focuses on the large appreciation and depreciation exchange rate, which are represented by the extreme quantiles. Breusch-Pagan heteroscedasticity results have shown using quantile regression to be an appropriate approach to understanding oil price and currency value. The findings conclude that the oil prices only depreciate the Thailand exchange rate in the cases of large appreciation, and this is explained the argument that the extreme large appreciation of exchange will be more sensitive to fundamental financial variables, including world oil prices. The outputs also reject previous findings that oil prices do not have any impact on Thailand's exchange rate, which is a finding that provides more justification to examine the heterogeneous reactions.

Keywords: oil price; exchange rate; quantile regression; Thailand (search for similar items in EconPapers)
JEL-codes: F3 Q4 (search for similar items in EconPapers)
Date: 2018-10-10
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Citations: View citations in EconPapers (1)

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