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Asset Prices, Real Exchange Rate and Current Account Fluctuations: Some Structural VAR Evidence for Thailand

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  • Jiranyakul, Komain

Abstract

This paper employs quarterly data during 2008Q1 and 2016Q2 to examine the impacts of shocks to asset prices and real exchange rate on the current balance in Thailand. The structural VAR model is used. The results show that the shocks to real effective exchange rate and housing prices can better explain fluctuations in the current account.

Suggested Citation

  • Jiranyakul, Komain, 2016. "Asset Prices, Real Exchange Rate and Current Account Fluctuations: Some Structural VAR Evidence for Thailand," MPRA Paper 74901, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:74901
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    References listed on IDEAS

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    1. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-673, September.
    2. Mercereau Benoit, 2003. "The Role of Stock Markets in Current Account Dynamics: a Time Series Approach," The B.E. Journal of Macroeconomics, De Gruyter, vol. 3(1), pages 1-30, April.
    3. Tim Oliver Berg, 2013. "Cross-country evidence on the relation between stock prices and the current account," Applied Economics, Taylor & Francis Journals, vol. 45(16), pages 2267-2277, June.
    4. Lee, Jaewoo & Chinn, Menzie D., 2006. "Current account and real exchange rate dynamics in the G7 countries," Journal of International Money and Finance, Elsevier, vol. 25(2), pages 257-274, March.
    5. Fratzscher, Marcel & Juvenal, Luciana & Sarno, Lucio, 2010. "Asset prices, exchange rates and the current account," European Economic Review, Elsevier, vol. 54(5), pages 643-658, July.
    6. repec:bla:reviec:v:25:y:2017:i:3:p:500-533 is not listed on IDEAS
    7. Obstfeld, Maurice & Rogoff, Kenneth, 1995. "Exchange Rate Dynamics Redux," Journal of Political Economy, University of Chicago Press, vol. 103(3), pages 624-660, June.
    8. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-144, January.
    9. Joscha Beckmann & Robert Czudaj, 2017. "Effective Exchange Rates, Current Accounts and Global Imbalances," Review of International Economics, Wiley Blackwell, vol. 25(3), pages 500-533, August.
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    11. Benoît Mercereau, 2003. "The Role of Stock Markets in Current Account Dynamics; Evidence from the United States," IMF Working Papers 03/108, International Monetary Fund.
    12. Nikolaos Antonakakis & Rangan Gupta & Aviral Kumar Twari, 2015. "Time-Varying Correlations between Trade Balance and Stock Prices in the United States over the Period 1792 to 2013," Working Papers 2015100, University of Pretoria, Department of Economics.
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    14. Philip Arestis & Ana Rosa Gonzalez‐Martinez, 2016. "House Prices and Current Account Imbalances in OECD Countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(1), pages 58-74, January.
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    16. Aikaterini Karadimitropoulou & Miguel A. León-Ledesma, 2009. "Sources of Current Account Fluctuations in Industrialized Countries," Studies in Economics 0910, School of Economics, University of Kent.
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    More about this item

    Keywords

    Housing prices; stock prices; real exchange rate; current account; structural VAR;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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