Stock market return is one of financial variables that contain information to forecast real activity such as industrial production and real GDP growth. However, it is still controversial that stock market return can have a predictive content on real activity. This paper attempts to investigate...

This paper explores the nature of the linkage between foreign exchange market and the Thai stock market using monthly data of exchange rate and stock prices during July 1997 to June 2010. The results from cointegration test in a bivariate framework show no long-run relationship between stock...

This article tests the Black's hypothesis in five crisis-affected Asian countries (India, Japan, Malaysia, South Korea, and Thailand). The hypothesis posits that economies face a positive relationship between output growth and output volatility. Using monthly data of the industrial production...

This study explores the linkage between inflation and inflation uncertainty in the ASEAN-5 countries over the period 1970:01–2007:12. Inflation uncertainty is estimated as a conditional variance in an AR(p)-EGARCH(1,1) model. Granger causality tests show that rising inflation increases...

In this paper, the variance-ratio test and the ARMA-GARCH (1,1) are used to test whether the Stock Exchange of Thailand is an efficient market. Using monthly market index during January 1987 and December 2006, the variance-ratio test shows that the market index follows a random walk process, and...

Stock market return is one of financial variables that contain information to forecast real activity such as industrial production and real GDP growth. However, it is still controversial that stock market return can have a predictive content on real activity. This paper attempts to investigate...

This study investigates the impact of bilateral real exchange rates and trade flows between Thailand and the UK, the Netherlands, and Germany prior to and after the switching from fixed to floating exchange rate regime. The period covers 1990Q1 to 1998Q4. The tests for stationarity of variables...

Contributing to the controversial issue on the impact of government spending on economic growth, this paper shows that government spending has both long-run and short-run impacts in stimulating aggregate output in Thailand during the floating exchange rate regime. In addition, real money supply...

This paper estimates the broad money multiplier for Thailand using monthly data from 1997M1 to 2017M12. It is found that there is nonlinear relationship between money supply and monetary base. An increase in monetary base causes the broad money supply to increase proportionally, and vice versa....

This paper examines the oil price-industrial production nexus in Thailand by using multivariate cointegration test. In addition, Granger causality is also used to examine the impact of oil price uncertainty on industrial production growth. The main focus of this paper is on one sector of the...