The relationship between foreign exchange rates (USD/THB) and financial market variables

Abstract

This research was conducted to study the relationship between the USD/THB exchange rate and financial market variables. Which such variables are Thai Stock Exchange Index (SET), Dow Jones Industrial Index (DJI), Gold Spot Price and the central bank of the United States balance sheet (Federal Balance Sheet) using time series secondary data. From January 2009 to December 2019, the Ordinary Least Square (OLS) method was studied and the long-term equilibrium relationship was studied. (Cointegration) and short-term adaptation model (Error Correction Model: ECM).

The results of the study showed that when using the least squares method to find the correlation of the variables, it was found that Stock Exchange of Thailand (SET) and Gold Spot Price are correlated in the opposite direction of USD/THB exchange rate. The US Bank balance sheet (Federal Balance Sheet) has a positive correlation.The Cointegration test found that the dependent variable with independent variables have a long-run equilibrium relationship and a short-run model (Error Correction Model: ECM), no correlation was found.