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Exchange rate and interest rate in Thailand: a look at traditional and revisionist views

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dc.contributor.authorMansor H. Ibrahim
dc.date.accessioned2016-06-06
dc.date.accessioned2016-07-25T20:14:03Z
dc.date.available2016-06-06
dc.date.available2016-07-25T20:14:03Z
dc.date.disclosure2016-06-10
dc.date.issued2009
dc.description.abstractIn this paper, we analyze the traditional-revisionist debate on whether high interest rate can defend the downfall in currency values by allowing for asymmetric responses of exchange to positive and negative changes in the interest rate using Thailand data. Applying an EGARCH specification with long spam of data, we find evidence in support of the revisionist view. Namely, while the decline in the interest rate may lead to currecy depreciation, we find no evidence that high interest rate appreciates the currency. Instead, albeit small in magnitude, high interest rate tends to lead further depreciation. Thus, the policy of high interest rate to defend the currency can be futile and costly.
dc.identifier.citationIbrahim, M. H. (2009). Exchange rate and interest rate in Thailand: a look at traditional and revisionist views. Journal of Applied Research in Finance, 1(2), pp. 135-140.
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/1498
dc.languageEnglish
dc.language.isoeng
dc.publisherThe European Centre of Managerial and Business Studies
dc.rights2009. The European Centre of Managerial and Business Studies
dc.sourceCRP
dc.subjectInterest rate
dc.subjectExchange rate
dc.subjectThailand
dc.subjectEGARCH
dc.titleExchange rate and interest rate in Thailand: a look at traditional and revisionist views
dc.typeJournal Article
dlc.maintopicConventional finance
dlc.subtopicBanking
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicConventional finance
ikr.topic.subtopicConventional finance
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