 Monetary policy and the first- and second-moment exchange rate change during the global financial crisis: Evidence from ThailandJournal of International Financial Markets, Institutions and Money, 2014, vol. 29, issue C, 170-194 Abstract: Using a sample of monetary policy announcements in Thailand over the period 2003–2011, I show that a monetary policy surprise tends to affect the return and volatility of the Thai baht. In the full sample, a 1% unexpected increase in the policy rate leads to an about 1.8% depreciation of the baht against the Japanese yen. During periods of high interest rate differentials, an unexpected increase in the policy rate leads to a substantial depreciation of the baht against the US dollar (about 1%) and the British pound (about 2.6%). While Thai monetary policy surprises have no effect on the baht against the dollar in the spot market, they have a significant effect on the baht against the dollar in the forwards market. During the non-financial crisis period, an unexpected increase in the policy rate on average results in a large depreciation of the baht/dollar forward rates: 6.6% and 13.7% for two-month and three-month forward rates, respectively. Keywords: Exchange rate return; Exchange rate volatility; Financial crisis; Interest rate differential; Monetary policy (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:29:y:2014:i:c:p:170-194 DOI: 10.1016/j.intfin.2013.12.006 Access Statistics for this article Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely More articles in Journal of International Financial Markets, Institutions and Money from Elsevier |
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