Vithessonthi, Chaiporn - In: Journal of International Financial Markets, … 29 (2014) C, pp. 170-194
Using a sample of monetary policy announcements in Thailand over the period 2003–2011, I show that a monetary policy surprise tends to affect the return and volatility of the Thai baht. In the full sample, a 1% unexpected increase in the policy rate leads to an about 1.8% depreciation of the...