Testing The Relationship Between Exchange Rate of Thailand, Gold Price, Crude Oil Price, Interest Rate, Stock Market Return and Bitcoin
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Abstract
The key objective of this paper is to test the short-run and long-run relationships among the exchange rate of the Thai Baht against the dollar, gold price, crude oil price, Private Repurchase Rate, stock market returns, and world Bitcoin price. The analysis was based on daily data from 4th January 2016 to 30 April 2020, totaling of 1,035 observations. The Augmented Dickey-Fuller test was used for testing the stationarity. The Autoregressive Distributed Lag bound test of cointegration was employed in the empirical model to test the long-run relationship. Results indicated that the coefficients of all variables. Results indicated that the repurchase rate, gold price, and stock market returns had negatively and significantly influenced the exchange rate in the short-run. Bitcoin price and Brent crude oil price had positively and significantly influence the exchange rate in the short-run. However, crude oil and Bitcoin prices had not significantly influence the exchange rate in the long-run.
Article Details
บทความที่ปรากฏในวารสารนี้ เป็นความรับผิดชอบของผู้เขียน ซึ่งสมาคมนักวิจัยไม่จำเป็นต้องเห็นด้วยเสมอไป การนำเสนอผลงานวิจัยและบทความในวารสารนี้ไปเผยแพร่สามารถกระทำได้ โดยระบุแหล่งอ้างอิงจาก "วารสารสมาคมนักวิจัย"
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