The source of real and nominal exchange rate fluctuations in Thailand: Real shock or nominal shock

Binh Le Thanh

MPRA Paper from University Library of Munich, Germany

Abstract: This paper examines the source of exchange rate fluctuations in Thailand. We employed a structural vector auto-regression (SVAR) model with the long-run neutrality restriction of Blanchard and Quah (1989) to investigate the changes in real and nominal exchange rates from 1994 to 2015. In this paper, we assume that there are two types of shocks which related to exchange rate movements: real shocks and nominal shocks. The empirical analysis indicates that real shocks are the fundamental component in driving real and nominal exchange rate fluctuations.

Keywords: Thailand; real and nominal exchange rates; long run restriction; SVAR (search for similar items in EconPapers)
JEL-codes: F3 F31 (search for similar items in EconPapers)
Date: 2015-08-15
New Economics Papers: this item is included in nep-opm and nep-sea
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:66322

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