The spillover effects of unremunerated reserve requirements: evidence from Thailand

Chaiporn Vithessonthi; Jittima Tongurai

doi:10.1016/j.jbankfin.2014.03.021

The spillover effects of unremunerated reserve requirements: evidence from Thailand

Chaiporn Vithessonthi, Jittima Tongurai

Research output: Contribution to journal › Article › Research › peer-review

1 Citation (Scopus)

Abstract

We examine the spillover effects of the unremunerated reserve requirement (URR), which had been implemented in Thailand during 2006-2007, on stock returns through the Thai baht (THB) exchange rate against the euro (EUR) and the Japanese yen (JPY). Based on a sample of 270 firms listed on the Stock Exchange of Thailand (SET), we find that the imposition of the URR appears to affect the first- and second-moment exchange rate exposure to the EUR and the JPY of some firms, but the evidence does not strongly support the notion that there are spillover effects of the URR on exchange rate exposure.

Original language	English
Pages (from-to)	338-351
Number of pages	14
Journal	Journal of Banking and Finance
Volume	45
Issue number	1
DOIs	https://doi.org/10.1016/j.jbankfin.2014.03.021
Publication status	Published - Aug 2014
Externally published	Yes

Keywords

Capital controls
Exchange rate exposure
Exchange rate volatility
Thailand
Unremunerated reserve requirements

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10.1016/j.jbankfin.2014.03.021

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title = "The spillover effects of unremunerated reserve requirements: evidence from Thailand",

abstract = "We examine the spillover effects of the unremunerated reserve requirement (URR), which had been implemented in Thailand during 2006-2007, on stock returns through the Thai baht (THB) exchange rate against the euro (EUR) and the Japanese yen (JPY). Based on a sample of 270 firms listed on the Stock Exchange of Thailand (SET), we find that the imposition of the URR appears to affect the first- and second-moment exchange rate exposure to the EUR and the JPY of some firms, but the evidence does not strongly support the notion that there are spillover effects of the URR on exchange rate exposure.",

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author = "Chaiporn Vithessonthi and Jittima Tongurai",

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AB - We examine the spillover effects of the unremunerated reserve requirement (URR), which had been implemented in Thailand during 2006-2007, on stock returns through the Thai baht (THB) exchange rate against the euro (EUR) and the Japanese yen (JPY). Based on a sample of 270 firms listed on the Stock Exchange of Thailand (SET), we find that the imposition of the URR appears to affect the first- and second-moment exchange rate exposure to the EUR and the JPY of some firms, but the evidence does not strongly support the notion that there are spillover effects of the URR on exchange rate exposure.

KW - Capital controls

KW - Exchange rate exposure

KW - Exchange rate volatility

KW - Thailand

KW - Unremunerated reserve requirements

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JO - Journal of Banking and Finance

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ER -

The spillover effects of unremunerated reserve requirements: evidence from Thailand

Abstract

Keywords

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