Adirek Vajrapatkul
ABSTRACT
This study aims to identify the dynamic interplay between the Baht/USD exchange rate, US discount rate, and Stock Exchange of Thailand index, by utilizing the vector error correction model. Utilizing daily data from 04/01/2017 to 14/07/2021, obtained from the Bank of Thailand website, the empirical evidence reveals a long-run relationship between the Baht/USD exchange rate, US discount rate, and Stock Exchange. Furthermore, the results indicate bidirectional short-run relationships between these variables. These findings provide governments and investors with a valuable insight into the interplay between these variables, enabling them to plan effective investment strategies to reduce risk and maximize returns.
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