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

Jiranyakul, Komain (2016): Asset Prices, Real Exchange Rate and Current Account Fluctuations: Some Structural VAR Evidence for Thailand.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Housing prices, stock prices, real exchange rate, current account, structural VAR
• Subjects: F - International Economics > F3 - International Finance > F31 - Foreign Exchange; F - International Economics > F3 - International Finance > F32 - Current Account Adjustment ; Short-Term Capital Movements; F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F40 - General; G - Financial Economics > G1 - General Financial Markets > G10 - General

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