The spillover effects of unremunerated reserve requirements: Evidence from Thailand

Chaiporn Vithessonthi () and Jittima Tongurai

Journal of Banking & Finance, 2014, vol. 45, issue C, 338-351

Abstract: We examine the spillover effects of the unremunerated reserve requirement (URR), which had been implemented in Thailand during 2006–2007, on stock returns through the Thai baht (THB) exchange rate against the euro (EUR) and the Japanese yen (JPY). Based on a sample of 270 firms listed on the Stock Exchange of Thailand (SET), we find that the imposition of the URR appears to affect the first- and second-moment exchange rate exposure to the EUR and the JPY of some firms, but the evidence does not strongly support the notion that there are spillover effects of the URR on exchange rate exposure.

Keywords: Capital controls; Exchange rate exposure; Exchange rate volatility; Thailand; Unremunerated reserve requirements (search for similar items in EconPapers)
JEL-codes: E58 F31 G1 G15 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:45:y:2014:i:c:p:338-351

DOI: 10.1016/j.jbankfin.2014.03.021

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