Oil Price Volatility and Real Effective Exchange Rate: The Case of Thailand

Authors

  • Komain Jiranyakul National Institute of Development Administration

Abstract

The main objective of this study is to directly examine the relation between real oil price and real effective exchange rate in Thailand during July 1997 to December 2013. Under the floating exchange rate regime, bilateral exchange rates are expected to fluctuate more than under the fixed exchange rate regime. The monthly data of real effective exchange rate index and real oil price are used. The results from this study reveal that there is no cointegration and causality in levels of the two series. However, an increase in oil price volatility causes real exchange rate volatility to increase. This main finding gives some policy implications to policy makers. Keywords: Oil price; real exchange rate; bivariate GARCH; volatility spillover. JEL Classifications: C22; G40

Downloads

Download data is not yet available.

Author Biography

Komain Jiranyakul, National Institute of Development Administration

Associate Professor, School of Development Economics

Downloads

Additional Files

Published

2015-04-16

How to Cite

Jiranyakul, K. (2015). Oil Price Volatility and Real Effective Exchange Rate: The Case of Thailand. International Journal of Energy Economics and Policy, 5(2), 574–579. Retrieved from https://econjournals.com./index.php/ijeep/article/view/1107

Issue

Vol. 5 No. 2 (2015)

Section

Articles

License

Submission of an article implies that the work described has not been published previously , that it is not under consideration for publication elsewhere, that its publication is approved by all authors and tacitly or explicitly by the responsible authorities where the work was carried out, and that, if accepted, will not be published elsewhere in the same form, without the written consent of the Publisher. The Editors reserve the right to edit or otherwise alter all contributions, but authors will receive proofs for approval before publication.