Analysis of appropriate forecasting models and dependence measures of exchange rates between People’s Republic of China and Thailand

Ziqiang Li (), Kanchana Chokethaworn (), Chukiat Chaiboonsri and Prasert Chaitip
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Ziqiang Li: Chiang Mai University
Chukiat Chaiboonsri: Chiang Mai University

The Empirical Econometrics and Quantitative Economics Letters, 2012, vol. 1, issue 3, 93-112

Abstract: This paper investigates the relationship between People’s Republic of China’s exchange rates and Thailand’s exchange rates. The selection of several mixed forecasting consisting of linear model, nonlinear models and copulas approach was experimented of People’s Republic of China’s exchange rate return in percentage and Thailand’s exchange rate return in percentage during 2006 to 2012. The mainly findings of this paper are: Firstly, the Self-Exciting Threshold Autoregressive Model (SETAR Model) and the Autoregressive-linear model (AR-linear Model) were suggested as the appropriate models for China’s and Thailand’s exchange rates during the specific period, respectively. Secondly, based on copulas approach, the dependence measures are not strong between returns in percentage of China’s exchange rates and that of Thailand’s exchange rates; different monetary policies and financial system in those two countries are the main reasons.

Keywords: Linear; Nonlinear; Copulas; Real Estate Sector Stock; Shenzhen Index (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:chi:journl:v:1:y:2012:i:3:p:93-112

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