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Cross-spectral coherence and co-movement between WTI oil price and exchange rate of Thai Baht

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  • Kyophilavong, Phouphet
  • Abakah, Emmanuel Joel Aikins
  • Tiwari, Aviral Kumar

Abstract

This paper investigates the cross-spectral coherence and co-movement between the monthly return series of WTI oil price and exchange rate of Thai Baht against USD from 1986 to 2019. We use a quantile cross spectral (coherency) approach and time frequency wavelets as estimation techniques. Results from the quantile coherency analysis reveal a negative spillover effects of oil price and Thai exchange rates in the short, medium, and long run which connotes that oil market poses systemic risk to the foreign exchange market in Thailand in short, medium and long term. From the wavelets analysis, we first note that there is no co-movements at high frequency (i.e. short term). However, additional results show positive and negative co-movements between oil price and Thailand-US exchange rate in different periods and different frequencies with the effect been stronger during extreme volatility periods. Policy implications are derived at the end of the article.

Suggested Citation

  • Kyophilavong, Phouphet & Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar, 2023. "Cross-spectral coherence and co-movement between WTI oil price and exchange rate of Thai Baht," Resources Policy, Elsevier, vol. 80(C).
    • Handle: RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006031
    DOI: 10.1016/j.resourpol.2022.103160
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    More about this item

    Keywords

    Quantile coherency; Wavelets; Systemic risk; Oil price; Exchange rate; Thailand;
    All these keywords.

    JEL classification:

    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles

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