Asset Prices, Real Exchange Rate and Current Account Fluctuations: Some Structural VAR Evidence for Thailand

Komain Jiranyakul ()

Business and Economic Research, 2017, vol. 7, issue 2, 163-177

Abstract: This paper is motivated by the controversial issue in the literature pertaining to the impact of real exchange rate, housing prices and stock prices on current account fluctuations. Thailand¡¯s quarterly data are used to examine the impacts of shocks to asset prices and real exchange rate on the current imbalances. The paper employs a structural VAR methodology with short-run restrictions. The estimates of structural VAR models are able to identify interactions among asset prices, real exchange rate, and the current account. The estimated results from two different structural models show that the responses of current account to shocks are different. It can be concluded that shocks to real exchange rate affect current account and that shocks to real housing prices can better explain current account fluctuations than shocks to real stock prices. Based upon the results from this study, policymakers should take into account the importance of shocks to real exchange rate and real housing prices that can affect the current account of the country.

Keywords: Housing prices; Stock prices; Real exchange rate; Current account; Structural vector auto-regression (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.macrothink.org/journal/index.php/ber/article/view/11674/9278 (application/pdf)
http://www.macrothink.org/journal/index.php/ber/article/view/11674 (text/html)

Related works:
Working Paper: Asset Prices, Real Exchange Rate and Current Account Fluctuations: Some Structural VAR Evidence for Thailand (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mth:ber888:v:7:y:2017:i:2:p:163-177

Access Statistics for this article

Business and Economic Research is currently edited by Daisy Young

More articles in Business and Economic Research from Macrothink Institute
Bibliographic data for series maintained by Technical Support Office ( this e-mail address is bad, please contact ).