重要事項 Import Notes

重要事項 Import Notes
修習國際金融專題學生,
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2013-10-27

AEC's Exchange Rates Risk on Interbank Money Market: Evidence from Thailand

作者:
Rujira, Gongkhonkwa; Zongjun, Wang
作者關係機構:
Huazhong U Science and Technology; Huazhong U Science and Technology
資料來源:
International Journal of Economics and Finance, June 2013, v. 5, iss. 6, pp. 20-33
出版日期:
June 2013
摘要:
Exchange rate risk is one part of systematic risk that able to be transfer between countries and markets. Therefore, many researchers are seeking the suitable way to reduce the exchange rate risk. This study aims to analyze the AEC's exchange rates risk on interbank money market thereby we perform our test with econometric test by using the linear regression to be our model. This study has found some evidence from the variance decomposition test and impulse response test that suggested the exchange rates of AEC member countries such the Indonesian Rupiah (IDR), and Philippine Peso (PHP) can be explained the interrelationship between exchange rate and BIBOR better than other currencies. Moreover, we also found the degree of relation of the exchange rates vary direction with the tenor of BIBOR as well. And, almost every currency of the AEC's exchange rates had positive relation on BIBOR except the PHP. The results from this study will be extending knowledge and understanding of exchange rate risk on BIBOR to the central bank, financial institution, and everyone who interesting in exchange rate risk moreover this result can apply for risk management as well.
描述項:
Foreign Exchange (F310)
International Financial Markets (G150)
Economic Development: Financial Markets; Saving and Capital Investment; Corporate Finance and Governance (O160)
International Linkages to Development; Role of International Organizations (O190)
關鍵字:
Exchange Rate
地理位置描述項:
ASEAN; Thailand
Geographic Region:
Asia
ISSN:
1916971X
出版品類型:
Journal Article
有無:
http://ccsenet.org/journal/index.php/ijef
更新代碼:
201307
入藏號碼:
1380748
資料庫:
EconLit
全文資料庫：
Business Source Complete


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== Posted on 2009.10.05 ==
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