Guidelines to Achieve Proper Exchange Rate Management

in Thailand

.. 2552



(Guidelines to Achieve Proper Exchange Rate Management in Thailand)
..
2551

30 .. 2552

iii

iv



Guidelines to Achieve Proper Exchange Rate Management in Thailand
.. 2552









02-718-5460 02-718-5461-2

(.. 2530-50)

/





.. 2540




(1)

(2) (3)

(4)

(1)
inflation
targeting
(2)
(3) (4)

10
6 ( GDP
GDP
GDP
)
90%





3

Max-Min Coefficient of Variation .. 2541-2551




/
vi

 (.) (REER)
.. 2540
.

3 /GDP










( )


smoothening
small moving band (band)

(small)

(moving)

vii

 ( SMEs
)
forward cover SMEs pool long short

viii

Abstract
In the past two decades (1987-2007) globalization generated strong impact on
the Thai economy in several aspects. The distinctive one was the development of
exports and imports of goods as well as mobility of funds. These growing transactions
with foreign countries definitely mean more important roles of exchange rates. Besides,
the relationship between exchange rates and foreign trade is also an interaction.
Therefore, most concerned parties wish to know how their governments should manage
their exchange rates, especially in small developing countries like Thailand which does
not possess wide and thick financial markets as the ones in advanced countries.
Exchange rate represents a highly influential economic instrument. That is clearly
testified by the Asian financial crisis in 1997 which was unquestionably attributed to
mismanagement of the baht value. Typically, exchange rates affect not only
transactions with foreigners but also implementation of domestic monetary policies as
well as local economic conditions. Since rapid and forceful fluctuations of exchange
rates can easily create problems and impact on financial markets and macroeconomy as
a whole, it is worth studying guidelines on exchange rate management in Thailand. The
objectives of such analysis are as follows: (1) to learn about major determinants,
specification mechanism, and effects of variation, of exchange rates, (2) to study roles
of exchange rates and their relations with interest rates, (3) to analyze the exchange rate
policies pursued by the Bank of Thailand in the past, and (4) to investigate alternatives
and recommend guidelines to achieve proper exchange rate management in Thailand.
In order to arrive at the above-mentioned purposes, the following procedures
were undertaken: (1) review fundamental theories about exchange rates and monetary
policies under the framework of inflation targeting, (2) collect pertinent data to study
the linkages between exchange rates and important variables, (3) pursue both qualitative
and quantitative analyses, (4) interview experts and practitioners in the financial circuit.
The statistical test of quarterly data covering 10 years after the government
liberalized exchange rates in Thailand vindicates that six variables (i.e. current
account/GDP ratio, foreign exchange reserves/GDP ratio, East Asian currency values,
external debt/GDP ratio, Stock Exchange of Thailand Index, and the ratio of Thailands
to U.S.A.s real interest rates) altogether can explain about 90% of the movements of
baht value. This statistical significance supports the concept that appropriate exchange
rates should be consistent with fundamental factors, because the current account reflects
net outcomes of basic transactions between Thailand and foreign partners. Meanwhile,

ix

exchange rates of countries in Thailands vicinity ordinarily exert strong influence on

pricing and thus the capability to compete in the world market, which consequently
affects current account status.
In exchange rate management for any small and open developing country, the
government tends to aim for three primary goals, i.e. exchange rate stability,
international competitiveness, and current account equilibrium. Nonetheless, the
government has to recognize several constraints such as the following. Exchange rates
of trade partners and rival countries move constantly.

Interest rates of different

currencies often differ from one another. Thailands foreign exchange market is still
thin and fragile or highly susceptible to speculations.
Exchange rate stability represents one highly crucial target because volatile
exchange rates can easily generate adverse effects upon domestic price level and
financial system. Two statistical instruments, i.e. Maximum-Minimum and Coefficient
of Variation, certify that during the past ten-year time span (1998-2008) the volatility of
baht value dwindled to a large extent with respect to frequency and severity. Parts of
these decreases in volatility were due to market mechanism, others were owing to state
intervention. The government normally intervened in foreign exchange transactions in
order to control exchange rate fluctuations in the short run. As for problems in the
longer time frame, it tended to hinge upon issuing or varying regulations on capital
funds so as to limit or encourage capital inflows/outflows.
The Bank of Thailands (BOT) constructed the real effective exchange rate
(REER) so as to assess Thailands price competitiveness. Experiences after 1997
demonstrate that the BOT considerably succeeded in monitoring and intervening the
baht exchange rate so that the movement of REER corresponded with regional
currencies which helped maintain the countrys competitiveness and control current
account status.
As for the basic long-term infrastructure concerning exchange rates in the past,
Thailands status improved remarkably in the following three aspects. The countrys
external debt outstanding/GDP ratio fell continually while its foreign exchange reserves
expanded enormously. And Thailand prospered well in diversifying her export profiles
with respect to both categories and markets.
Ordinarily, capital transactions tend to react quickly to exchange rate
movements for the purpose of speculation. And these transactions themselves generate

strong impact on both currency and money markets. Therefore, one useful tactic in
foreign exchange intervention is to avoid what market participants anticipate on the
basis of past experiences. Such tactic could easily demand colossal reserves, so some
governments in the same region should consider sharing parts of their foreign exchange
reserves. In addition, the government should adjust its rules of intervention from
limiting the amount of involved funds to aiming at involved exchange rates instead.
Besides, the government should revise the regulations controlling net foreign exchange
liabilities of private entities so as to achieve more prudence and prevent these units
from creating too much exposure. That will certainly help averting currency crisis.
At times of no emergency, the government ought to engage in smoothening or
reducing the degree of exchange rate volatility. The baht value should shift within a
small moving band. This band is designated for short-term fluctuations that the
baht can change in a consistent manner with regional currencies so as to preserve
competitiveness in the world market. The band is small because exchange rate
stability represents a highly important factor to both the public and private sectors as
well as confidence in international financial markets. However, this band is allowed to
be moving in the medium term so that gradual adjustment of the baht value can help
bring about current account equilibrium to Thailand, which represents one primary goal
of exchange rate management. In other words, movements of exchange rates should
reflect adjustments of the countrys economic fundamentals in each period of time.
One channel that the government can help small and medium-sized enterprises
(or SMEs which exist abundantly in Thailand) to cope with fluctuations of the baht
value nowadays is to provide forward cover for foreign exchange risks to reliable SMEs
by pooling their long and short foreign exchange positions together via public financial
organizations. Such assistance will not only reduce financial risks but also serve as an
impetus to development of forward foreign exchange markets in Thailand. Besides, the
government should urge private entities to pay more attention to raising their
productivity and value added in the long run. They ought not to hinge upon currency
intervention or support at all times because those measures are only meant to achieve
short-term targets.

xi

 (Keywords)
Arbitrage:
Currency Appreciation/Depreciation: /
Equilibrium Real Exchange Rate:
Exchange Rate:
Exchange Rate Policy:
Exchange Rate Misalignment:
Exchange Rate Speculation:
Exchange Rate Stability:
Fundamental Equilibrium Exchange Rate:
Behavioral Equilibrium Exchange Rate:
Inflation Targeting:
Interest Rate Differential:
International Capital Flows:
Monetary Policy:
Nominal Effective Exchange Rate (NEER):
Policy Rate:
Purchasing Power Parity:
Real Effective Exchange Rate (REER):
Uncovered Interest Parity:
Transmission Mechanism:

xii

............................................................................................................ iii
.......................................................................................................................... v
Abstract ......................................................................................................................... ix
(Keywords) .................................................................................. xii
.................................................................................................................. xv
..................................................................................................................... xvi
1 ............................................................................................................................... 1
1.1 ............................................................... 1
1.2 ....................................................................................... 6
1.3 ............................................................................................. 6
1.4 ....................................................................... 11
1.5 ............................................................................................ 14
1.6 .................................................................................. 16
2
....................................................................... 17
2.1 ........................................................... 17
2.2 ............................... 23
3 ............................................................. 27
4 ........................................................................ 43
4.1 ................................... 43
4.2 .................................... 46
4.3 .............................................................................. 53
4.4 NEER REER ....................................................... 53
xiii

5 ........................................................................................... 61
5.1 ....................................................................................... 61
5.2 THB/USD ............................................ 64
5.3 ............................................................................................................. 69
6 ................................................................... 73
6.1 .................................................. 74
6.2 .......................................................................................................... 84
6.3 ......................................................................................................... 99
6.4 ............................................................................................................ 115
7 ..............................................................................................119
7.1 ....................................................................... 119
7.2 ........................................................................................................... 122
................................................................................................................................ 131

1: ............................................................................................ 137
2: ........................................................................................ 157

xiv

............................................................................................................................ 163

1-1:

................................................................................ 2

1-2:

2529-2548.............................................................................................. 3

1-3:

....... 14

2-1:

........................ 23

3-1:

.......................................................................... 31

3-2:

.............................................. 33

3-3:

............................................................ 34

3-4:

(/)
.......................................................................................... 38

3-5:

.............................................. 41

4-1:

(%) .................................................................................................. 59

4-2:

GDP ........................................................................ 59

5-1:

(THB/USD) .... 71

5-2:

(THB/USD)........................... 72

6-1:

Stationary BEER......................... 100

6-2:

Johansen
BEER ....................................................................................... 103

6-3:

Johansen
BEER ....................................................................................... 104

6-4:

Stationary FEER ................... 108

6-5:

Johansen
FEER ............................................................................................. 110

6-6:

Johansen
FEER ............................................................................................. 111

xv

1-1: GDP .................................................................................. 4

1-2: GDP .................................................................................... 4
1-3: ...................................................................... 8
1-4: ....... 9
1-5: ............................................................ 12
1-6: .............................. 13
2-1: ............................................... 20
2-2: ............................................................ 21
3-1: GDP ...................... 35
3-2: ................................ 35
3-3: GDP
............................................................................... 36
4-1: ............................. 44
4-2:
..................................................................................................... 44
4-3:
............................................................................................................ 46
4-4:
................................................................................................................46
4-5: ...................... 48
4-6: .......................................... 49
4-7: .................... 49
4-8: ......................... 50
4-9: ...................................... 50

xvi


4-10: ....................... 51
4-11: ...................... 51
4-12: .......................... 52
4-13: .......................... 52
4-14: , NEER, REER ..................................................................................... 55
4-15: (REER) GDP ................. 55
4-16: (SET Index)
GDP ..................................................................... 56
4-17: (REER) ................. 57
5-1: (THB/USD) ............ 62
5-2: (THB/USD) ................................... 63
5-3: THB/USD 1999 .......................................... 64
5-4: THB/USD 3 2000 ......................... 65
5-5: THB/USD 4 2000 ......................... 65
5-6: THB/USD 2002 .......................................... 66
5-7: THB/USD 2004 .......................................... 67
5-8: THB/USD 1 2006 ......................... 67
5-9: THB/USD 4 2006 ......................... 68
5-10: THB/USD 2008 .......................................... 69
6-1: Swan Diagram ........................................ 76
6-2: ........................................................ 90
6-3: BEER ........................................... 101
6-4:
BEER ..................... 106

xvii


6-5:
BEER ..................... 107
6-6: FEER ........................................... 109
6-7:
FEER .................................... 112
6-8:
FEER ................................................................................................. 113
6-9: ........................... 115
7-1: Small Moving Band ......................................................................... 128

xviii

1.1
(.. 2530-2550) (globalization)
(financial liberalization) (dynamism)
1-1
2
10 1.98 .
.. 1986 5.07 . .. 1995 10.3 .
.. 2005 ( )


25.2% .. 1986 33.3% .. 1995 37.0% .. 2005 (
1-2)

10.7% ..
1986 18.5% .. 1996 (18%)
2 (.. 1998-99)
.. 1997

1-1
(GDP) 23% .. 2530 38%
.. 2540 61% .. 2550
GDP 1-2 26% .. 2530 40%
.. 2540 57% .. 2550

 1-1:
( .) :

-
-
-
( .) :

-
-
-

2529

2530

2531

2532

2533

2534

2535

2536

2537

2538

1,984.6
1,440.7
500.1
212.3
2539

2,352.4
1,727.5
579.5
264.3
2540

2,690.1
1,953.5
683.9
341.0
2541

2,909.3
2,112.8
737.9
379.4
2542

3,329.8
2,437.8
840.7
433.1
2543

3,448.7
2,474.0
938.8
498.9
2544

3,687.0
2,594.5
1,058.3
565.7
2545

3,720.7
2,469.1
1,160.5
636.0
2546

4,246.8
2,801.6
1,356.5
754.3
2547

5,068.2
3,301.6
1,640.0
938.4
2548

5,285.2
3,415.1
1,794.7
978.3

5,600.1
3,612.2
1,914.1
1,019.4

5,483.3
3,696.1
1,729.9
824.9

5,665.7
3,860.1
1,752.8
904.7

6,386.4
4,237.8
2,082.8
1,116.8

6,140.2
4,064.8
2,001.8
1,031.5

6,428.4
4,191.2
2,160.9
1,142.4

7,495.2
4,841.0
2,578.8
1,382.5

9,116.7
5,762.3
3,257.7
1,737.5

10,334.7
6,391.3
3,824.3
2,014.4

: IMFs Direction of Trade Statistics Yearbook, 1993, 2000, 2006.

 1-2: 2529-2548
(1) (%)

-
-
-

-
-
-
(2) (%)

-
-
-

-
-
-

2529

2530

2531

2532

2533

2534

2535

2536

2537

2538

9.5
12.9
1.5
5.6

18.5
19.9
15.9
24.5

14.4
13.1
18.0
29.0

8.1
8.2
7.9
11.2

14.5
15.4
13.9
14.2

3.6
1.5
11.7
15.2

6.9
4.9
12.7
13.4

-0.6
-5.0
8.1
11.7

14.1
13.5
15.2
18.6

19.3
17.8
22.5
24.4

2539

2540

2541

2542

2543

2544

2545

2546

2547

2548

4.3
3.4
6.2
4.3

6.0
5.8
6.7
4.2

-2.0
2.3
-9.5
-19.0

5.0
7.0
1.3
9.8

12.7
9.8
18.8
23.5

-3.9
-4.1
-3.9
-7.6

4.7
3.1
7.9
10.7

16.6
15.5
19.3
21.0

21.6
19.0
26.3
25.7

13.4
10.9
17.4
15.9

2529

2530

2531

2532

2533

2534

2535

2536

2537

2538

100
72.6
25.2
10.7

100
73.4
24.6
11.2

100
72.6
25.4
12.7

100
72.6
25.4
13.0

100
73.2
25.2
13.0

100
71.7
27.2
14.5

100
70.4
28.7
15.3

100
66.4
32.2
17.1

100
66.0
32.5
17.8

100
65.1
33.3
18.5

2539

2540

2541

2542

2543

2544

2545

2546

2547

2548

100
64.6
34.0
18.5

100
64.5
34.2
18.2

100
67.4
31.5
15.0

100
68.1
30.9
16.0

100
66.4
32.6
17.5

100
66.2
32.6
16.8

100
65.2
33.6
17.8

100
64.6
34.4
18.4

100
63.2
35.7
19.1

100
61.8
37.0
19.5

: IMFs Direction of Trade Statistics Yearbook, 1993, 2000, 2006.

GDP
1:1-1:

GDP
70%
61%
60%
50%
40%
38%
30%
20%

23%

10%
0%
2530

2532

2534

2536

2538

2540

2542

2544

2546

2548

2550

:
1-2:

2:
GDP

GDP
80%
70%
60%
57%

50%
40%
40%
30%
20%

26%

10%
0%
2530

2532

2534

2536

2538

2540

2542

2544

2546

2548

2550

(current account)
4

(
)

(
)

( )



(
)
/ (
)

(equilibrium)



(competitiveness)

( )

/
(secondary impacts)

/


(gradualism)
..
2540-41 (volatility) ()

1.2



1)

2)

3)


4)

1.3
. (policy rate)
inflation targeting

( 1-3)




(
)

(exchange rate channel)
inflation targeting




(partial exchange rate pass-through) 1
1 (Campa and Goldberg, 2002)

1-3:

(risk appetite)

1-4:

(interest rate arbitrage)

: International Finance and Accounting Handbook (2003)

1-4

(purchasing power parity theory) (law of
one price)



(arbitrage)
arbitrage




(purchasing power parity) 2
(absolute) (relative)

(
)
(Rogoff, 1996)
(interest rate parity theory)

(premium) (discount)
Fisher
(International Fisher Effect) (spot exchange rate)
(nominal interest rate)




(monetary approach)
(portfolio balance)

(Frenkel, 1976)
(depreciation)

(appreciation)


portfolio balance

10

inflation targeting
(global imbalance)

1.4


2-3

( 1-5 1-6)

2 .. 2536 2546
.. 2547 .. 2540

11

.. 2547

( 1-5)



( 1-6)



.
30% .. 2549
1-5:
10000
8000

(M.USD)

6000
4000
2000
0
-2000
-4000
-6000
36

38

40

42

44

46

48

50

Net Capital Flows

1-3 16.6
12

( )
/

Thaicharoen, Chuenchoksan and Ahuja (2007)

1-6:
25
20
15
(%)

10
5
0
-5
-10
36

38

40

42

44

46

48

50

Repurchase Rate (Thai RP)

Interest Rate Differential (Thai RP - U.S. Fed Fund)

13

1-3:
% Change USD
15 Dec 06/30 Dec 05
-0.1
0.8
1.2
3.1
6.4
7.8
7.8
8.3
9.5
16.6

Yen
TWD
INR
CNY
MYR
PHP
SGD
IDR
KRW
THB

Volatility
30 Dec 05-15 Dec 06
8
4.3
4
1
3.3
4.5
3.8
7.6
6.2
5.1

: (2550)

1.5

)

.. 2540

/ (quarterly
time-series data) 1
.. 2536 3 .. 2551
)

14

(descriptive analysis)

.. 2540 .



(quantitative analysis)

/





( 1-3 )
(

)
)

3
3 1



)
/

15

(empirical)
.. 2540 2

3
4
(competitiveness) 5
(volatility)

6
(equilibrium)
7

1.6


)

)

16

 2









2

2.1
1990






.. 2532 .. 2533
.. 2535 .. 2535 (.)

17

8
.. 2533
2
.. 2534 3 .. 2537

.. 2536 (Bangkok International Banking
Facilities, BIBF)

.. 2538



(bail-out)



.. 2540 3
()
( ) ()
()



(.. 2540) (.. 2552)
.. 2540
Non-resident
Baht Account 30,000 .. 2536 684,000
.. 2540 offshore
.. 2540 . (capital control)
( Two-Tier)
(underlying) Non-

18

resident Two-tier short

Non-resident .

.


120 ( 180 )
7 ( 15 )
( 5,000 .)

.. 2541 . TwoTier .
.
(underlying)
50
.. 2542-44 ( 2-1)
10.14 GDP .. 2542
4.41 GDP .. 2544
37.84
. .. 2542 44.47 . .. 2544
.. 2545-48 40.26 .
.. 2548 ( )
4.26 GDP .. 2548

19

2-1:
15

.
50

%
GDP

10

45

40
5
35
0
30
-5

25

20

-10
2530

2532

2534

2536

2538

2540

2542

2544

2546

2548

2550

.

( 2-2)
.. 2545

(FIF)

.. 2546

- .
(underlying)
- Non-resident Baht Account 300

- Non-deliverable Forward ( OTC

Futures)
.. 2546-47

20

2-2:
2541

- .

60

50

2533 VIII IMF

2534

2550-51
- outflow
- URR

2545 .

$120,000

$100,000

2549 URR
40

30

$80,000

2546
-
- NRBA

2535-36 BIBF

$60,000

2540
Two-tier market

20

$40,000

10

$20,000

$0
Jan Jul Jan Jul Jan Jul Jan Jul Jan Jul Jan Jul Jan Jul Jan Jul Jan Jul Jan Jul Jan Jul Jan Jul Jan Jul Jan Jul Jan Jul Jan
1993

1994

1995

1996

1997

1998

1999

2000

Reserves

2001

2002

2003

2004

2005

2006

2007 2008

USD/THB

.. 2549 ( 2.34 5%
1 ) 37.92 .

. 30%
(Unremunerated Reserve Requirement, URR) .. 2549
URR

( URR) .. 2550-51

- 360
- .

- .
-

21

-
(private fund) . .
.
- 30%
- Non-resident

-
(capital
controls)
2
()
() REER NEER

capital controls

()

capital controls



. .
(net open position) (spot) (forward)
X .
.
. .. 2540 (
2-1) (.. 2552)

22

2-1:
..
2533
2537
2541
2545

- (net open position, NOP) 25
5 .
- NOP 20 15 5
.
- NOP 15 1 5 .

() NOP (single currency NOP) 15 5

.
() NOP (aggregate NOP) 20 10
. NOP 15
1 5 .

2.2





( FX.Th)

(1) FX.Th (.)

. . .

(capital flows) (merchandise trade) .
. .
. .

23

(2) . FX
(aggressive)

. FX
(conservative) . FX risk appetite
/ FX (squared position)
. take position
(3) (80-90%)
(stable) (speculators) . (traders)
traders/
speculators short-term exporters/importers longer term
(4) (forward)
( 0-1 1
) forward
10-15
forward SME
credit line hedging
SME .
SME 30% FX .
(5) FX .. 1997
spread margin
swap
(6) (XR volatility) FX
(hedging) XR volatility
hedging
(7)
FX

(8) FX.Th .
(receptive) / .

24

/
NEER
.
REER ( )
.
(9) hedging

FX.Th
FX
(10) . FX.Th .
. .

(11) FX.Th FX
.

(12) .. 1997 .
FX.Th . swap .
. .

25

 3








1







(SDE )

1. SDE (constraints)
( )


2. SDE
(
)

3.

27

4. /

(vulnerability)

1.
2.
3.
(
)
()
savings gap





(.. 2530-36)
/GDP 32-42%
( 3-1) 3 ( 1
.. 2533 2 .. 2534
3 .. 2537
)
(Bangkok International Banking Facilities, BIBF)

/GDP 60% ..
2538-39 72% .. 2540
.. 2540
.. 2538-39 (8% GDP)

28

.. 2540


89% .. 2535-36 141%
.. 2538
.. 2540-41 /GDP
77% .. 2542 25% .. 2550
56% 25%
..
2540 credibility





4-6 .. 2530-40
6-8 .. 2541-51

(debt service ratio, DSR) DSR
(
)
/
DSR .. 2540
DSR ()

(diversification)

3-2 3-3
2

29

28% ..
2533 (14%) .. 2543-45 11% .. 2550
18% .. 2533 11-12% ..
2538
2 22% .. 2533 44% .. 2547-51

2 (6-7 )
.. 2533-51
NAFTA ( ) 19%
16% .. 2538 12% 11% .. 2551
3

.. 2540

( 3-1) ( .. 2541-44) 44.50
. .. 2544
/
(refinancing)
( 3-2) 3 (.. 2542-44)

.. 2544-51
44.477 . 33.363 .
.. 2547-49
(SET) ( 3-3)

30

 3-1:
1.
2. /GDP
3. /
4. /
5. Debt service ratio
6. /GDP
7.
8. /GDP
9. SET Index
10.
10.1
10.2
11.
11.1
11.2
11.3
12.

Mil. US$
%
%
Months
%
%
/US$
%

2530
2531
2532
2533
2534
2535
2536
2537
2538
2539
2540
2541
20,019 21,064 22,850 29,308 37,878 43,621 52,107 64,867 100,832 108,742 109,276 105,062
39.63
34.16 31.63 34.34 38.56 39.14 41.68 44.95 60.01 59.77 72.44 93.95
56.80
66.76 56.61 72.99 83.57 89.29 88.97 96.37 141.51 123.29 142.00 96.23
4.70
4.31
4.99
5.23
5.83
6.33
6.76
6.80
6.31
6.56
5.42
8.74
19.80
14.90 13.00 10.80 10.50 11.30 11.20 11.70 11.40 12.30 15.70 21.40
-0.74
-2.63
-3.50
-8.53
-7.71
-5.65
-5.09
-5.60
-8.08
-8.07
-0.85 12.80
25.7353 25.2940 25.7020 25.5854 25.5166 25.3999 25.3196 25.1498 24.9151 25.3439 31.372 41.3709
2.12
6.03
7.78 11.35 11.50
8.50
8.40
8.43 13.04 10.70
-3.42
-8.94
284.94 386.73 879.19 612.86 711.36 893.42 1682.85 1360.09 1280.81 831.57 372.69 355.81

%
%

5.91
6.66

8.66
7.57

10.60
9.22

12.87
8.10

11.15
5.69

6.93
3.52

6.54
3.02

7.25
4.20

10.96
5.84

9.23
5.30

15.69
5.46

13.02
5.35

%
%
%
Mil. US$

2.50
3.0
3.6
5,212

3.80
3.3
4.0
7,112

5.36
4.4
4.8
10,509

5.95
4.9
5.4
14,273

5.73
4.4
4.3
18,416

4.07
3.5
3.0
21,182

3.37
3.1
3.0
25,439

5.09
2.2
2.1
30,279

5.80
2.3
2.2
37,027

5.83
1.9
1.9
38,725

5.60
1.7
1.9
26,968

8.07
1.3
1.2
29,536

31

 3-1: ( )
1.
2. /GDP
3. /
4. /
5. Debt service ratio
6. /GDP
7.
8. /GDP
9. SET Index
10.
10.1
10.2
11.
11.1
11.2
11.3
12.
:

32

Mil. US$
%
%
Months
%
%
/US$
%

%
%
%
%
%
Mil. US$

2542
95,051
77.57
56.18
8.77
19.40
10.14
37.8405
-6.42
481.92

2543
79,715
65.04
44.99
6.26
15.40
7.55
40.1621
-8.24
269.19

2544
67,509
58.49
40.51
6.55
20.80
4.41
44.477
-2.96
303.85

2545
59,459
46.91
30.62
7.39
19.60
3.71
43.0041
-1.48
356.48

2546
51,783
36.34
25.87
6.83
16.00
3.33
41.5303
-3.38
772.15

2547
51,312
31.84
24.43
6.40
8.50
1.70
40.2699
2.30
668.10

2548
52,039
29.54
31.51
5.32
10.80
-4.26
40.2697
6.32
713.73

2549
59,643
28.85
27.70
6.35
11.30
1.08
37.9286
3.29
679.84

2550
61,738
25.12
24.75
7.60
11.80
5.70
34.5637
-1.01
858.10

2551
65,094
23.85
21.81
7.63
7.0
-0.11
33.363
4.51
449.96

1.77
4.97

1.95
6.24

2.00
3.89

1.76
1.67

1.31
1.13

1.23
1.35

2.62
3.21

4.64
4.96

3.75
5.05

3.28
2.08

0.30
0.9
1.4
34,781

1.57
1.5
2.2
32,661

1.64
1.9
2.4
33,048

0.62
1.6
1.7
38,924

1.80
1.7
2.1
42,148

2.77
2.0
2.9
49,832

4.54
2.1
3.3
52,066

4.64
2.1
3.2
66,985

2.23
2.1
2.7
87,455

5.5
2.2
2.2
111,008

 3-2: ( : )

2533
100.00
28.20
0.39
5.74
0.83
0.03
1.41
18.34
22.20
21.41
1.46

2534
100.00
26.46
0.47
5.10
0.99
0.02
1.93
16.66
24.21
22.62
1.53

2535
100.00
25.58
0.54
4.91
0.98
0.02
1.84
16.51
26.69
21.64
1.26

2536
100.00
21.54
0.41
4.31
1.03
0.02
2.18
18.97
30.04
20.30
1.20

2537
100.00
20.70
0.37
4.94
0.75
0.05
2.13
16.67
33.47
19.99
0.94

2538
100.00
18.94
0.25
5.82
0.71
0.04
4.39
11.68
33.22
23.82
1.13

2539
100.00
19.34
0.38
5.79
1.64
0.03
3.41
11.96
37.31
18.73
1.41

2540
100.00
17.84
0.36
4.54
2.34
0.12
4.24
11.58
38.29
17.37
3.31

2541
100.00
17.39
0.29
3.93
1.53
0.10
4.43
11.47
39.52
17.02
4.32

2543
100.00
14.03
0.25
4.04
3.19
0.10
5.91
11.67
43.06
14.85
2.9

2544
100.00
14.97
0.26
3.69
2.79
0.16
5.72
11.69
41.62
15.56
3.53

2545
100.00
14.16
0.26
4.35
2.66
0.14
6.12
11.94
42.02
14.85
3.49

2546
100.00
13.62
0.25
5.22
2.65
0.19
6.55
11.67
43.62
13.38
2.84

2547
100.00
12.39
0.24
5.41
3.53
0.22
7.18
12.26
44.33
12.61
1.85

2548
100.00
11.16
0.23
5.09
4.33
0.15
8.07
12.30
44.85
12.10
1.71

2549
100.00
10.82
0.23
5.87
5.01
0.15
7.99
12.56
44.63
11.00
1.75

2550
100.00
11.11
0.25
5.51
4.49
0.25
8.00
12.91
45.14
10.54
1.8

2551
100.00
12.57
0.28
5.28
6.42
0.36
7.85
12.55
42.25
10.46
1.96

2542
100.00
16.63
0.27
3.63
1.82
0.13
5.10
11.58
41.44
16.00
3.41

:
33

 3-3: ( : )

NAFTA
EU (27)
ASEAN

2538
16.79
19.01
16.51
21.73
4.50
1.38
2.91
5.18
0.51
1.42
0.16
0.10
0.71
0.37
0.87
2.40
5.46
100.00

2539
16.82
19.17
16.59
21.64
3.83
1.51
3.35
5.82
0.44
1.82
0.18
0.24
0.28
0.34
0.79
2.55
4.64
100.00

34

2540
14.99
20.99
16.72
21.61
3.32
1.64
3.07
5.95
0.52
1.71
0.17
0.38
0.20
0.47
0.85
2.73
4.70
100.00

2541
13.72
23.90
18.38
18.19
3.40
1.79
3.24
5.12
0.52
1.14
0.22
0.34
0.12
0.53
1.07
3.17
5.14
100.00

2542
14.12
23.33
17.27
18.58
3.49
2.25
3.19
5.09
0.64
1.56
0.28
0.40
0.16
0.43
0.92
3.49
4.79
100.00

2543
14.72
23.00
16.30
19.38
3.02
2.35
4.08
5.04
0.81
1.83
0.26
0.33
0.11
0.53
0.81
3.49
3.95
100.00

2544
15.25
22.13
16.72
19.34
3.30
2.09
4.41
5.07
0.74
1.89
0.28
0.54
0.12
0.49
1.00
2.95
3.67
100.00

2545
14.60
21.72
15.54
19.91
3.60
2.41
5.22
5.41
0.61
2.05
0.30
0.43
0.22
0.49
0.81
2.89
3.78
100.00

2546
14.19
18.68
15.27
20.60
3.60
2.70
7.10
5.39
0.80
1.98
0.33
0.28
0.34
0.47
1.09
3.22
3.97
100.00

2547
13.98
17.65
14.96
22.01
3.83
2.56
7.38
5.12
0.95
1.92
0.34
0.34
0.31
0.68
0.72
2.70
4.55
100.00

2548
13.58
16.68
13.59
21.99
4.04
2.86
8.28
5.57
1.38
2.04
0.47
0.27
0.29
0.76
0.61
2.45
5.13
100.00

2549
12.64
16.45
13.88
20.84
4.41
3.35
9.03
5.53
1.39
2.06
0.40
0.21
0.30
0.84
0.71
2.59
5.37
100.00

2550
11.83
14.08
14.02
21.34
4.88
3.76
9.73
5.64
1.75
1.95
0.40
0.23
0.38
0.87
0.93
2.19
6.01
100.00

2551
11.30
12.71
13.15
22.54
5.35
4.50
9.09
5.65
1.92
2.07
0.42
0.50
0.54
0.95
1.13
1.52
6.67
100.00

3-1: GDP
15

.
50

%
GDP

10

45

40
5
35
0
30
-5

25

-10

20
2530

2532

2534

2536

2538

2540

2542

2544

2546

2548

2550

3-2:
18

16

14
12
10
8
6
4
2

0
2530

2532

2534

2536

2538

2540

2542

2544

2546

2548

2550

35

3-3: GDP
%

Index
1,820

15
GDP

1,620

10
1,420
5

1,220
1,020

0
820
-5

620
SET Index

420

-10
220
-15

20
2530

2532

2534

2536

2538

2540

2542

2544

2546

2548

2550

( ) (
)



(credibility)
( )

(
)

.. 2544-51
( 3-1)
(.)

36

.

3 ( 3-1)
( 3-1)
.
. .. 2540

.. 2541 .. 2548-49 .. 2551
3 4-5%
2-3%


(regression)
43 Q2 .. 2541 Q4 .. 2551
( 3-4) GDP ()
GDP ()


( )
GDP ()

(
)
6 89.27%
/GDP /GDP
/GDP

37

3-4: ( /)

Variable

Coefficient Std. Error t-Statistic

C
CA/GDP_TH(-1)
(INTBANK_TH(-1)-INF_TH(-1))/
(INTBANK_US(-1)-INF_US(-1)) (x10-4)
SET_TH (x10-4)
RES_TH(-1)/GDP_TH(-1)
KRW_US (x10-4)
EXTDEBT_TH(-1)/GDP_TH(-1)
R-squared
Adjusted R-squared

0.011
0.022
0.090
0.025
0.279
0.628
-0.012
0.8927
0.8748

0.001
0.003

Prob.

7.318
7.243

0.0000
0.0000

0.065
1.394
0.013
1.940
0.026
10.575
0.239
2.628
0.006
-1.980
F-statistic
Prob (F-statistic)

0.1719
0.0602
0.0000
0.0125
0.0554
49.9294
0.0000

US_1 BAHT

= 1 .

CA/GDP_TH(-1)

= GDP )

INTBANK_TH(-1)-INF_TH(-1) = ( )
()
INTBANK_US(-1)-INF_US(-1)

= ( )
()

SET_TH

RES_TH(-1)/GDP_TH(-1)

= GDP (
)

KRW_US

= .

EXTDEBT_TH(-1)/GDP_TH(-1) = GDP ()

38

3-5
..
2540
(cash
balance )




( 3-5)

.. 2531-39 .. 2541-45
(lag variable)
(counter-cyclical)
9.54 .. 2530-39

12
(.. 2540-51) 3
2.95
12



(broad money supply

)
. inflation targeting
.. 2543
( 3-5)

39

( )
.. 2530-39
9.54
18.77 12
(.. 2540-51) 3
2.95
3 6.53

.. 2540

40

 3-5:
2530

2531

2532

2533

2534

2535

2536

3537

2538

2539

10

1. ( ) ()

-7.4

36.7

62.9

106.7

107.7

72.8

59.7

97.6

126.1

43.3

2. Growth of broad money supply (%)

20.2

18.2

26.3

26.7

19.8

15.6

18.4

12.9

17.0

12.6

18.77

3. Growth of real GDP (%)

9.5

13.3

12.2

11.2

8.6

8.1

8.4

9.0

9.2

5.9

9.54

4. Current Account/GDP (%)

-0.74

-2.63

-3.50

-8.53

-7.71

-5.65

-5.09

-5.60

-8.08

-8.07

2540

2541

2542

2543

2544

2545

2546

2547

2548

2549

2550

2551

1. ( ) ()

-71.0

-129.3

-154.4

-109.9

-123.0

-76.8

24.0

8.3

-45.8

88.0

-144.4

-96.5

2. Growth of broad money supply (%)

16.4

9.5

2.1

3.7

4.2

4.2

4.9

5.4

6.3

6.2

6.3

9.2

6.53

3. Growth of real GDP (%)

-1.4

-10.5

4.4

4.8

2.2

5.3

7.1

6.3

4.6

5.2

4.9

2.6

2.95

4. Current Account/GDP (%)

-0.85

12.80

10.14

7.55

4.41

3.71

3.33

1.70

-4.26

1.08

5.70

-0.11

12

41

 4






(competitiveness)
competitiveness

4.1
. (USD)

USD 4-1 (Asian Currency Index) JP Morgan and Bloomberg
( USD) 10

(.. 1997-98) (.. 2001)
.. 2008
382.4 USD
.. 2001 731.2 USD .. 2007 ( USD)
4-1
10

43

4-1: *
130
125
120

Asian Currency Index

115
110
105
100
95
90

85

Baht Index

Jan-08

Jan-07

Jan-06

Jan-05

Jan-04

Jan-03

Jan-02

Jan-01

Jan-00

Jan-99

Jan-98

Jan-97

80

: JP Morgan and Bloomberg

* 10 ( )
USD

4-2:

Indices of Asian Currencies

Index (Jan 2' 97 = 100)

120
110
100
90
80
70
60
50

SGD Index
TWD Index

44

KRW Index
THB Index

Jan-09

Jan-08

Jan-07

Jan-06

Jan-05

Jan-04

Jan-03

Jan-02

Jan-01

Jan-00

Jan-99

Jan-98

Jan-97

40

4-2 4 (
) nominal exchange rates 4
USD 1997 = 100 2
() (THB) 50% .. 1997
3 THB .. 2001-2008 ()
USD
.. 1999-2006
(1) TWD (2) SGD (3) KRW (4) THB
.. 2006-08 SGD TWD KRW
.. 2008 THB 4-2
(.. 1999-2008) THB
TWD, SGD, KRW THB
competitiveness
nominal exchange rates (
) USD cross
4-3 4-4
(PHP) (IDR) THB (MYR)
(JPY)
(nominal) .. 1997-2008

(1) JPY

(5) MYR

(2) SGD

(6) THB

(3) TWD

(7) PHP

(4) KRW

(8) IDR

45

4-3:

Index (Jan' 97=100)

400
350
300
250
200
150
100

MYR/THB

IDR/THB

KRW/THB

Jan-09

Jan-08

Jan-07

Jan-06

Jan-05

Jan-04

Jan-03

Jan-02

Jan-01

Jan-00

Jan-99

Jan-98

Jan-97

50

PHP/THB

:
*

4-4:
160

Index (Jan' 97=100)

140
120
100
80
60

KRW/THB

JPY/THB

SGD/THB

Jan-09

Jan-08

Jan-07

Jan-06

Jan-05

Jan-04

Jan-03

Jan-02

Jan-01

Jan-00

Jan-99

Jan-98

Jan-97

40

TWD/THB

:
*

4.2

46

Law of One Price (LOOP)

Purchasing
Power Parity (PPP) LOOP (HC) 1
(FC) (FPL)
(HPL)

FC FPL
=
HC HPL

PPP

4-1
.. 1997-2008
(1)

0.07%

(6)

3.27%

(2)

0.16%

(7)

3.43%

(3)

1.33%

(8)

5.83%

(4)

1.62%

(9)

5.99%

(5)

2.66%

(10)

13.84%

(real exchange rate, RER)
PPP
RER =

FC
HC

FPL HPL

FC HPL
x
HC FPL

FC / FPL
HC / HPL

FC
HPL
x
FPL HC

RER 1
RER
(bilateral
comparison) nominal

47

(USD) 4.1 RER

(bilateral)
4.5 - 4.13 (THB) nominal real
11 (.. 1997-2008) THB
9
1. (TWD)

6. (IDR)

2. (JPY)

7. (VND)

3. (SGD)

8. (KRW)

4. (MYR)

9. (CNY)

5. (PHP)
.. 2001 .. 2008 (RER THB)
TWD ( 4-5), JPY ( 4-6), SGD ( 4-7) nominal THB
JPY SGD
(competitiveness)
( 4-8) ( 4-9)
nominal THB real THB MYR CNY .. 200108 competitiveness
4-5:
Nominal & Real TWD/THB Indices
120
Index (Jan' 97=100)

110
100
90
80
70
60

Nominal-TWD/THB

:
*
48

Real-TWD/THB

Jan-09

Jan-08

Jan-07

Jan-06

Jan-05

Jan-04

Jan-03

Jan-02

Jan-01

Jan-00

Jan-99

Jan-98

Jan-97

50

4-6:
Nominal & Real JPY/THB Indices
120

Index (Jan' 97=100)

110
100
90
80
70
60

Nominal-JPY/THB

Jan-09

Jan-08

Jan-07

Jan-06

Jan-05

Jan-04

Jan-03

Jan-02

Jan-01

Jan-00

Jan-99

Jan-98

Jan-97

50

Real-JPY/THB

:
*

4-7:
Nominal & Real SGD/THB Indices
110

Index (Jan' 97=100)

100
90
80
70
60

Nominal-SGD/THB

Jan-09

Jan-08

Jan-07

Jan-06

Jan-05

Jan-04

Jan-03

Jan-02

Jan-01

Jan-00

Jan-99

Jan-98

Jan-97

50

Real-SGD/THB

:
*

49

4-8:
Nominal & Real MYR/THB Indices
120

Index (Jan' 97=100)

115
110
105
100
95
90
85

Nominal-MYR/THB

Jan-09

Jan-08

Jan-07

Jan-06

Jan-05

Jan-04

Jan-03

Jan-02

Jan-01

Jan-00

Jan-99

Jan-98

Jan-97

80

Real-MYR/THB

:
*

4-9:
Nominal & Real CNY/THB Indices
110

Index (Jan' 97=100)

100
90
80
70
60

Nominal-CNY/THB

:
*

50

Real-CNY/THB

Jan-08

Jan-07

Jan-06

Jan-05

Jan-04

Jan-03

Jan-02

Jan-01

Jan-00

Jan-99

Jan-98

Jan-97

50

( 4-10, 4-11, 4-12) nominal

THB PHP, IDR VND
real THB
.. 2001-08 real THB
competitiveness
4-10:
Nominal & Real PHP/THB Indices
150
Index (Jan' 97=100)

140
130
120
110
100
90
80

Nominal-PHP/THB

Ja

n09

n08
Ja

n07
Ja

n06
Ja

n05
Ja

Ja

Ja

n04

n03

n02
Ja

n01
Ja

n00
Ja

n98

n99
Ja

Ja

Ja

n97

70

Real-PHP/THB

:
*

4-11:
Nominal & Real IDR/THB Indices

420
Index (Jan' 97=100)

370
320
270
220
170
120

Nominal-IDR/THB

Jan-09

Jan-08

Jan-07

Jan-06

Jan-05

Jan-04

Jan-03

Jan-02

Jan-01

Jan-00

Jan-99

Jan-98

Jan-97

70

Real-IDR/THB

:
*

51

4-12:
Nominal & Real VND/THB Indices
120

Index (Jan' 97=100)

110
100
90
80
70
60

Nominal-VND/THB

Jan-08

Jan-07

Jan-06

Jan-05

Jan-04

Jan-03

Jan-02

Jan-01

Jan-00

Jan-99

Jan-98

Jan-97

50

Real-VND/THB

:
*

( 4-13)
KRW .. 1999-2005 ( competitiveness )
real THB KRW competitiveness
3 (.. 2006-08)
4-13:
Nominal & Real KRW/THB Indices

Index (Jan' 97=100)

125
115
105
95
85
75

Nominal-KRW/THB

:
*

52

Real-KRW/THB

Jan-09

Jan-08

Jan-07

Jan-06

Jan-05

Jan-04

Jan-03

Jan-02

Jan-01

Jan-00

Jan-99

Jan-98

Jan-97

65

4.3
(nominal)
( )
(TWD) (JPY) (SGD) competitiveness

4-2 GDP (Exports/GDP)
.. 1997-2007 .. 2001 Exports/GDP
7.5% Exports/GDP 19.7% 39.3%
( )
Exports/GDP competitiveness





competitiveness (
) competitiveness
()

4.4 NEER REER

3
. (
. )
.
.

(.) Nominal Effective

Exchange Rate (NEER) () ()
53

21
NEER
.

() ()
. NEER Real Effective
Exchange Rate (REER) REER NEER
REER
( ) /

REER

.
4-14 REER NEER
. ( . 1 ) 4-14
4-15 4-16 3
1. .. 2540 . ( 0.04
. 1 ) REER ( )
.. 2538 /GDP
4-15
( 4-16)


.. 2540

54

4-14: , NEER, REER

110

0.05

100

REER
0.04

90

USD/Baht
(RHS)

80

0.03

70
0.02
60

NEER

52

51

50

49

48

47

46

45

44

43

42

41

40

39

38

37

36

35

34

0.01
33

50

:
*

4-15: (REER) GDP

15

%
110
GDP

105

REER

10

100
95

90
85

80
75

-5

70
65

-10

60
2533

2535

2537

2539

2541

2543

2545

2547

2549

2551

:
*

2. .. 2542-48
managed float
/GDP

55

( .. 2546-50
(SET)
) REER
.. 2540-41
3. .. 2548-51 REER

REER
4-16: (SET Index)
GDP
15

Index
1,820
GDP

1,620

10
1,420
5

1,220
1,020

0
820
-5

620
SET Index

420

-10
220
-15

20
2530

2532

2534

2536

2538

2540

2542

2544

2546

2548

2550

3
(correspondence) REER REER

REER




(conflict)
(

56

)

.
REER
REER
.. 2540-41 .
.. 2542 4-17
REER 2542-48
.. 2548-49 2551

.. 2548-51 20.7% 40.27
. .. 2548 33.36 . .. 2551
4-17: (REER)
%
110

9.00

105
REER

8.00

100

7.00

95

6.00

90
5.00
85
4.00
80
3.00

75
70

2.00

1.00

65
60

0.00
2533 2534 2535 2536 2537 2538 2539 2540 2541 2542 2543 2544 2545 2546 2547 2548 2549 2550 2551

.. 2540-41 .
REER (correlation coefficient)
( . 1 ) REER
0.88 .. 2533-41 0.92 .. 2542-52 ( 4)
NEER REER
REER .

57

REER
(guideline)

Correlation Coefficient
Sample period : 1990 M01 1998 M12
Sample period : 1999 M01 2009 M04
USD per Baht
USD per Baht
NEER
0.9662
NEER
0.8133
REER
0.8846
REER
0.9224

Correlation ( X , Y ) =

( x x)( y y)

( x x) ( y y )
2

NEER REER .

58

4-1: (%)
Thailand

Malaysia

Singapore Philippines Indonesia

Japan

Korea Taiwan

China

Vietnam

USA

1997

5.60

2.66

2.00

5.59

6.23

1.77

4.45

0.00

2.81

3.21

2.34

1998

8.07

5.27

-0.27

9.27

58.39

0.67

7.51

0.02

-0.84

7.27

1.55

1999

0.30

2.74

0.02

5.95

20.49

-0.33

0.81

0.00

-1.41

4.12

2.19

2000

1.57

1.53

1.36

3.95

3.72

-0.71

2.27

0.02

0.26

-1.71

3.38

2001

1.64

1.42

1.00

6.80

11.50

-0.76

4.07

-0.02

0.46

-0.43

2.83

2002

0.62

1.81

-0.39

3.00

11.88

-0.90

2.76

0.01

-0.77

3.83

1.59

2003

1.80

0.99

0.51

3.45

6.59

-0.25

3.51

0.00

1.16

3.22

2.27

2004

2.77

1.52

1.66

5.98

6.24

-0.01

3.59

0.02

3.89

7.76

2.68

2005

4.54

2.96

0.43

7.63

10.45

-0.27

2.75

0.02

1.82

8.28

3.39

2006

4.64

3.61

1.02

6.24

13.11

0.24

2.20

0.01

1.46

7.39

3.23

2007

2.23

2.03

2.08

2.81

6.41

0.06

2.54

0.03

4.75

9.04

2.85

2008

5.50

5.40

6.50

9.30

11.10

1.38

4.70

1.80

5.90

19.90

3.80

12-Year
Average

3.27

2.66

1.33

5.83

13.84

0.07

3.43

0.16

1.62

5.99

2.67

China Vietnam

USA

: International Financial Statistics, IMF

4-2: GDP (%)

Thailand Malaysia

Singapore Philippines Indonesia Japan

Korea Taiwan

1997

48.0

93.1

176.1

49.0

29.3

11.2

32.0

46.3

21.0

43.6

11.3

1998

58.9

115.6

173.4

56.7

57.5

11.3

45.7

45.2

19.8

44.0

10.7

1999

58.2

121.3

184.1

49.5

39.9

10.6

38.6

45.9

20.1

48.9

10.4

2000

66.6

119.8

195.5

53.6

42.8

11.3

40.4

56.5

23.4

55.0

10.9

2001

65.9

110.4

191.6

48.3

39.2

10.9

37.5

51.9

22.7

54.6

9.9

2002

64.2

107.4

192.9

49.3

33.6

11.8

35.1

53.0

25.1

56.1

9.3

2003

65.7

107.6

212.6

48.6

29.6

12.5

37.9

56.1

29.4

59.2

9.3

2004

70.5

115.4

227.0

49.3

32.2

13.8

44.0

60.0

33.9

66.8

9.9

2005

73.3

117.0

237.8

45.3

35.0

14.9

42.2

64.3

36.3

69.2

10.3

2006

74.1

116.8

244.6

44.6

31.6

16.8

43.0

69.4

38.3

73.8

11.1

2007

73.4

109.6

230.9

39.7

30.1

18.4

45.6

71.6

41.4

77.2

11.9

11-Year
Change

25.4

16.5

54.8

-9.3

0.8

7.2

13.6

25.3

20.4

33.6

0.7

2007-01
Change

7.5

-0.8

39.3

-8.6

-9.0

7.5

8.1

19.7

18.7

22.6

2.0

: International Financial Statistics, IMF

59

 5













( 1 )



(practicality)


practicality

/

5.1

(THB)

61

. (USD) USD 1 .
(THB/USD) THB/USD (Max-Min)
(Max) (Min) USD
Min (Max-Min) 3%
(Max-Min) .. 1998

.. 1997 (Max-Min) 5-1 5-1 4
THB/USD
1. .. 1999 37-42 (6 .. 15 ..)
2. .. 2000 32-53 (31 .. 29 ..)
3. .. 2002 30 (22 26 ..)
4. .. 2006 49-52 (27 .. -22 ..)
5-1: (THB/USD)
12.0%

10.0%

8.0%

6.0%

* *

4.0%

2.0%

98

99

00

01

02

03

04

05

06

07

30

32

35

10

37

12

39

14

41

16

43

18

45

20

48

23

50

25

52

27

0.0%
08

: OANDA Corporation

THB/USD Coefficient of Variation (CV)

CV standard deviation ( )
mean ( ) THB/USD THB/USD

62

CV = standard deviation THB/USD ..

mean THB/USD ..
CV 5-2 5-2
.. 1998 THB/USD 6
..
1999
2000
2002
2004
2006
2008

9, 10 (.., ..)
7, 9, 10 (.., .., ..)
7 (..)
11 (..)
1, 12 (.., ..)
12 (..)

5-2: (THB/USD)
7.000
6.000
5.000
4.000
3.000

2.000

1.000

* *

1
4
7
10
1
4
7
10
1
4
7
10
1
4
7
10
1
4
7
10
1
4
7
10
1
4
7
10
1
4
7
10
1
4
7
10
1
4
7
10
1
4
7
10

0.000
98

99

00

01

02

03

04

05

06

07

08

: OANDA Corporation

63

(Max-Min) CV THB/USD

THB/USD

5.2 THB/USD
5.2.1 .. 1999 9 10 (CV = 2.2, 1.4)
38.50 41.20 ( 6.5%) 9 ( 5-3)
5-3: THB/USD 1999
Period II : Oct 11-15, 1999

USD

Moodys
38.50 10 2
.
5.2.2 .. 2000 7, 9 10 (CV = 1.6, 1.3, 1.3)
39.25 41.25 ( 4.8%) 7 41.00 9 44.25 ( 7.3%)
11 ( 5-4 5-5)

64

- U.S. Fed
U.S.A.
-
( . )
3

11 12 USD 42-43
5-4: THB/USD 3 2000
Period III : Jul 31-Aug 4, 2000

5-5: THB/USD 4 2000

Period IV : Dec 25-29, 2000

65

5.2.3 .. 2002 7 (CV = 1.37) (

) 40.38 42.42 ( 4.8%) 7 ( 5-6)

- . USD
.
-
- .
( . 21/2545) net open position 20%
3 () individual currency limit 15% ()
forex ()
forex
.

5-6: THB/USD 2002
Period V : Jul 22-29, 2002

5.2.4 .. 2004 11 (CV = 1.4)

41.10 39.47 ( 4.1%) ( 5-7)
- SET

66

5-7: THB/USD 2004

Period VI : Nov 26-Dec 03, 2004

- (CNY)
. international competitiveness

5.2.5 .. 2006 1 12 (CV = 1.3, 1.23)
40.35 39.28 ( 2.7%) 1 ( 5-8)
-
- SET
- Fed USD
5-8: THB/USD 1 2006
Period VII : Jan 05-12, 2006

67

5-9: THB/USD 4 2006

Period VIII : Nov 27-Dec 1, 2006

. THB
12 ( 5-9) 36.40
35.06 ( 3.8%)
Fed USD .. 2007 . THB
THB
. THB
18 .. 2006 30%
1 ( 1 )
2 3 ( 10 )
35.06 36.22 ( 3.2%)
5.2.6 .. 2008 12 (CV = 1.258) 35.51
34.34 ( 3.4%) ( 5-10)
-
-
- USD .
Fed USD

68

5-10: THB/USD 2008

Period X : Dec 08-18, 2008

. USD THB

5.3

3 (.. 19982000)

1. /
2.

( 2 )
3.
4.
5.
.

11 (.. 1998-2008)

69

5.3.1 forex
(sporadic movements, SM)
SM SM

SM
dynamism SM
forward cover
5.3.2

(administration) . ( A
. )
5.3.3

(market sentiment)

forex



5.3.4 5.3.3
(guideline)



(multidimension)

70

5-1: (THB/USD)
Year

Week No.

1999
1999
2006
2000
2000
2002
1999
2000
2001
1999
1999
2000
2003
2007
2006
1999
2006
1999
1999
2001
2008
2006
1999
2006
2000
2008
2005
1999
2007
2000

39
41
52
52
53
30
3
42
7
42
37
32
42
28
15
38
2
8
16
2
50
10
40
49
39
23
28
51
33
48

Average
of Baht/USD
40.527
39.853
35.951
42.762
42.569
40.913
36.697
43.031
42.656
39.599
39.173
41.017
39.739
33.476
38.537
39.642
40.496
36.978
37.738
43.327
35.325
39.026
41.060
36.164
42.438
32.742
41.645
38.365
34.311
43.966

Max
of Baht/USD
41.256
40.444
36.453
43.324
43.262
41.478
37.181
43.528
43.365
40.145
39.591
41.452
39.972
33.918
38.916
40.051
40.893
37.375
38.064
43.647
35.627
39.310
41.436
36.430
42.781
33.023
42.081
38.617
34.632
44.286

Min
of Baht/USD
39.922
39.160
35.337
42.096
42.068
40.379
36.288
42.521
42.384
39.238
38.710
40.656
39.209
33.273
38.202
39.329
40.175
36.720
37.413
42.902
35.022
38.660
40.753
35.838
42.111
32.512
41.434
38.024
34.103
43.610

Max-Min
3.3%
3.3%
3.2%
2.9%
2.8%
2.7%
2.5%
2.4%
2.3%
2.3%
2.3%
2.0%
1.9%
1.9%
1.9%
1.8%
1.8%
1.8%
1.7%
1.7%
1.7%
1.7%
1.7%
1.7%
1.6%
1.6%
1.6%
1.6%
1.6%
1.6%

: OANDA Corporation

71

5-2: (THB/USD)

1
2
3
4
5
6
7
8
9
10
11
12

1998
2.466
5.134
6.057
1.700
1.097
2.231
0.924
1.059
1.618
2.098
0.901
0.972

1999
0.770
0.910
0.379
0.579
0.378
0.371
0.432
1.035
2.282
1.442
0.399
1.413

2000
0.406
0.667
0.260
0.242
0.894
0.281
1.607
0.374
1.362
1.376
0.547
1.363

2001
0.724
0.688
1.039
0.399
0.197
0.211
0.299
1.157
0.411
0.182
0.483
0.338

2002
0.250
0.318
0.323
0.389
0.446
0.660
1.370
0.465
1.185
0.510
0.357
0.587

: OANDA Corporation

72

2003
0.297
0.343
0.407
0.276
0.813
0.303
0.355
0.672
0.866
0.682
0.037
0.324

2004
0.335
0.344
0.214
0.729
0.786
0.373
0.573
0.227
0.335
0.357
1.406
0.502

2005
0.750
0.270
0.871
0.307
0.920
0.594
0.505
0.413
0.238
0.265
0.356
0.404

2006
1.337
0.367
0.408
1.037
0.789
0.305
0.332
0.423
0.234
0.746
0.490
1.230

2007
0.269
0.283
0.559
0.262
0.229
0.135
1.052
0.744
0.079
0.202
0.197
0.253

2008
0.473
1.069
0.405
0.361
0.814
0.972
0.356
0.680
0.836
0.856
0.454
1.258

 6


(managed float) (basket of currencies)

25482549



2549

1
6.1


0

(nominal exchange rate)

(foreign currency per unit of local currency)
73

6.2 6.3
6.4

6.1
(real exchange rate)


2 (bilateral real exchange rate)
(real effective exchange rate REER)
2



(REER)




/




(equilibrium real exchange rate)

6.1.1

74

(exchange rate misalignment)
(time horizon) 3 (short-run
equilibrium) (medium-run equilibrium) (long-run
equilibrium)

(disequilibrium)

Williamson (1983) current equilibrium exchange rate
(full knowledge)
(rational reaction)

(random walk)

(technical analysis)

(internal balance, IB) (external balance, EB)
(macroeconomic balance)
(IB)

(zero output gap)

(EB)

75

(current account balance)

(flow equilibrium) (stock equilibrium)

Swan Diagram 6-1 (real exchange
rate: R)
(appreciation) (real
domestic demand: Y)

R* Y*

6-1: Swan Diagram

(1)

R*

(4)

IB

(2)

(3)

EB

Y*

EB (External balance)

EB (Y )

76

(R )



EB
EB
IB (Internal balance)

IB (Y )


(R )

(domestic demand)
(potential output) ( IB)

E 6-1 IB EB
E
/
(IB) (EB) 4



/
D

77

(economic agents)
(stock-flow equilibrium)


(nominal rigidities)

(steady state)

6.1.2






) (Purchasing Power Parity, PPP)

(law of one price, LOOP)



(arbitrage)

78

2 (absolute
PPP) (relative PPP)

(non-tradable goods)

(Rogoff, 1996)





)
Interest Parity, UIP)

(Risk-adjusted

Uncovered

UIP



(interest rate differential)
79

(currency risk premium)

()
()

UIP 2540


UIP

UIP

UIP (hysteresis
band) (Baldwin, 1990)
(McCallum, 1994; Chinn and
Meredith, 2004)
) (Fundamental Equilibrium
Exchange Rate, FEER)
Williamson (1994)
normative

80

FEER
(single equation approach)
(internal balance) (external balance)
(balance of payments)
(Current Account, CA)
(Capital Account, KA)
Current Account + Capital Account = 0

(1)

Current Account = CA (RER, Y, Y*, Z)

(2)

(1) (RER)
(2) (Y)
(Y*) (3)

C A = 0 + 1 FEER + 2 y d + 3 y f = K A

CA

FEER

yd

yf

KA

(3)

=
(potential output)
=
(potential output)
=

1 < 0, 2 < 0 3 > 0

(FEER)

FEER = (C A 0 2 y d 3 y f ) / 1

(4)

81

FEER

FEER
normative




) (Behavioral Equilibrium
Exchange Rate, BEER)
Clark
and MacDonald (1999) FEER BEER
normative BEER

FEER BEER



(single equation approach)
(fundamentals)
BEER Real
Uncovered Interest Parity (Real UIP) ( 5) (risk premium)


RER t = E t ( RERt +1 ) + (rt rt* ) t

(5)

(RERt)

(r) (r*)
()

82

UIP
(empirical)
(unobserved) Clark and MacDonald (1997, 1999)
(Et [RERt+k])
(Zt)
RE R t = E t ( RERt + k ) = E t [ 1' Z 1t ] = 1' Z 1t

RE R =

f (Terms of Trade, Net Foreign Assets, Etc.)

(6)
(7)

BEER

BEER = f ( r-r*, Terms of Trade, Net Foreign Assets, Risk Premium)

(8)

Driver and Westaway (2004)
FEER BEER

(single equation estimation)

(reduced form)

83

dynamic
(macroeconometric model)

6.2
2
() (reduced-form single equation approach)
(Behavioral Equilibrium
Exchange Rate, BEER)
(Fundamental Equilibrium Exchange Rate, FEER) ()
(Small Macroeconomic Model)

6.2.1
(1)
(Behavioral Equilibrium Exchange Rate, BEER)

REER = f ( REL_PROD, NFA, RIRDIF, TOT, GS_GDP, PNP )

(9)

REER (Real Effective Exchange Rate Index)

REER
REER natural logarithm

84

1. (relative productivity REL_PROD)
(per capita real GDP)

21 (weighted per capita real GDP)
natural logarithm

(tradable sector)
(non-tradable sector)

tradable non-tradable
non-tradable

tradable

(Balassa,1964; Samuelson, 1964; Obstfeld and Rogoff, 1996; MacDonald, 1998)
2.
(Net Foreign Assets to GDP ratio NFA)
t
NFA








MacDonald (1998)

85

3. BEER
BEER uncovered interest rate

(real interest rate differential
RIRDIFF) 5



4. (Terms of Trade TOT)
natural
logarithm
2
(income effect) (substitution effect)

non-tradable tradable
non-tradable



non-tradable non-tradable
5.
tradable nontradable tradable tradable


non-tradable
non-tradable
(Government spending
to GDP GS_GDP) natural logarithm
6. non-tradable tradable

86

(consumer price index) non-tradable

(wholesale price index) tradable BalassaSamuelson effect REL_PROD

(2)
(Fundamental Equilibrium Exchange Rate, FEER)



0.45-0.63

Caldern, Chong and Loayaza
(1999) Chinn and Prasad (2003)


CA = f ( REER, TOT, OPENNESS, TPGDP, DDMAND )
CA

(10)

=
(current account balance to GDP)

REER

= (real effective exchange rate)

TOT

=
(terms of
trade)

OPENNESS =
DDMAND

= (domestic demand)

TPGDP

87

2


(TPGDP)


(DDMAND)
(REER)







multicollinearity

TOT

(elasticity of substitution)
Marshall-Lerner
Kent and Cashin (2003)
(permanent shock)


(OPENNESS)

88

1. (CA)
(GDP)

CA 10 1.5
3 GDP scenario

2.
Johansen

3.

TOT, OPENNESS CA/Y


Hodrick-Prescott Filter
(trend) (cycle)
(season) (irregular) HP filter

6.2.2 (Small Macroeconomic Model)

(System of Equations)
(Behavioral Equations) (Identity Equations)
6-2

89

6-2:

(C+I+G+X-M)

(FDI, Non-FDI, REERI)

(FDI) (Non-FDI)







6.3

90

LN(REERI)

f ( RP_NONT, NFA, LN(GDPR_TPGDP), TOT,

CONSUMP_GDP, XGS_MGS )

(Terms of Trade, TOT)
(wealth effect) (substitution effect)
(appreciation)

(depreciation)
tradable nontradable non-tradable nontradable non-tradable
tradable ()

(XGS_MGS)




(+)

LN(FDISTOCK)

= f ( LN(GDPR), OPENNESS, LN(REERI) )

(GDPR)

91

(OPENNESS)



(REERI)

LN(CONSUMPR) = f ( LN(RGDP*(1-RH)), RMLR, LN(CPI), ECM_CONSUMPR (-1) )

ECM_CONSUMPR = LN(CONSUMPR) ( a + b1 LN(RGDP*(1-RH)) + b2RMLR))

2 (income)
(intertemporal consumption) (financial
cost)
(real disposable income) RGDP*(1-RH) RH
intertemporal consumption
(RMLR) (-)


(CPI)

LN(INVESTR) = f (LN(GDPR/GDPR_HP), LN(REERI), ECM_INVESTR (-1) )

ECM_ INVESTR = LN(InvestR) ( a + b1LN(RMLR) + b2 LN(FDIFLOW)
+ b3LN(CREDIT /CPI) + b4LN(GDPR/GDPR_HP)
+ b5LN(SETINDEX)

92

(RMLR)
(CREDIT/CPI)
(+)
Output Gap GDPR/GDPR_HP GDPR_HP
Hodrick-Presscott Filer




(SETINDEX)

(+)

LN(XGSR)
ECM_XGSR

= f ( LN(TPGDP), LN(REERI), LN(FDISTOCK), ECM_XGSR (-1) )

= LN(XGSR) ( a + b1LN(TPGDP) + b2LN(REERI) +
+ b3LN(FDISTOCK) )

(REERI)
(TPGDP) (FDISTOCK)



(FDI)
93

shock

(REERI)
(REERI )



LN(MGSR)
ECM_MGSR

= f ( LN(DDEMAND), LN(REERI), LN(RXGSSA), ECM_ MGSR(-1) )

= LN(MGSR) ( a + b1LN(PMGS/CPI) + b2LN(DDEMAND)
+ b3LN(XGSR) )

(DDEMAND)


(comparative advantage)
/

(PMGS/CPI)

(-)

(XGSR)
(Regional Supply Chain)

94

LN(MLR) = f (LN(RP), LN(R_FIXED36), ECM_MLR )
ECM_MLR = LN(MLR) - ( a + b1LN(RP) + b2LN(R_FIXED36) + b3LN(DEPO/CREDIT) )

MLR
MLR
.

(
)
(-)


6.2.3
(Ordinary Least Square
Method, OLS) cointegration
spurious regression
cointegration stationary
Mackinnon (1991)
(Error Correction Model)

95

(stationary) unit root Augmented-Dickey
Fuller (ADF)
x t = + x t 1 + i =1 i x t 1 + t
p

x t

= t (Xt Xt-1)

, ,

(11)

unit root (non-stationary)

t-statistic MacKinnon (MacKinnon
Critical Value)
H0 : = 0 xt unit root (non-stationary)
H1 : < 0 xt unit root (stationary)
Cointegration
Cointegration

Cointegration

(non-stationary) (mean)
(variance)


(spurious)
Cointegration


2

96

two-step approach Engle

Granger (1987) Johansen Juselius (1990)
Cointegration Engle Granger
Johansen Engle and Granger
2
1:
(OLS)
2: (residual)
1 (stationary) t-statistic
MacKinnon (MacKinnon Critical Value)

( tstatistic MacKinnon)

(cointegrating
relationship) 1 Engle Granger
Johansen

multivariate cointegration Vector Autoregressive (VAR)
Johansen
(cointegrating
relationship)
Cointegration Johansen Engle Granger

Johansen 3 (
Enders (2004))
1: integration
lag
Johansen
VAR lag
97

Integration ADF lag

Likelihood Ratio (LR) Akaike
Information Criterion (AIC) Schwartz Baysian Criterion (SBC)
lag serial correlation

2:
characteristic roots eigen value (critical
value)



1

3:
(cointegrating relationship)

(speed of adjustment) 0 -1
6.2.4 (Exchange Rate Misalignment)
(ERM)
( )


ERM (%) = REER EREER * 100
EREER
ERM

98

REER

= ( )

EREER

(12)

ERM
(overvalued) ERM
(undervalued)




6.2.5
(secondary data) (quarterly
time series) 1 .. 2536 4 .. 2551

1)




2)

International Financial Statistics International Monetary Fund (IMF)

6.3
6.3.1
(Behavioral Equilibrium Exchange Rate, BEER)

non-stationary Augmented Dickey
Fuller (ADF) 6-1 ADF test statistic level first
difference
(REER) (REL_PROD)

99

(RIRDIF) (TOT)
(NFA) (OPENNESS)
(BDEFICIT) non-stationary
1 first difference
stationary stationary
1 integration I(1)

(PNT) (GS_GDP)
stationary

6-1: Stationary BEER
Trend and Intercept
Level
LN(REER)
REL_PRODUCTIVITY
RIRDIF
LN(TOT)
NFA
LN(PNT)
GS_GDP
BDEFICIT
OPENNESS

-2.371
-1.843
-2.935
-1.673
-2.885
-3.966***
-7.443***
-1.624
-2.026

First
difference
-6.190***
-4.982***
-7.297***
-7.718***
-4.590***
-13.584***
-8.421***
-14.547***
-8.138***

Intercept
Level
-2.273
-1.763
-2.850
-1.465
-0.283
-3.967***
-7.408***
-1.659
-1.420

First
difference
-6.051***
-5.023***
-7.354***
-7.736***
-4.228***
-13.716***
-8.501***
-14.692***
-8.172***

None
First
difference
-0.306
-6.096***
-0.619
-5.056***
-2.856*
-7.421***
-1.162
-7.666***
-1.117
-4.004***
-3.226*** -13.846***
-0.027
-8.574***
-1.510
-14.786***
-1.071
-8.008***
Level

: *** stationary 1

ADF stationary


( 6-3)
NFA, OPENNESS
Johansen

100

6-2 Trace Test

Maximum Eigen Value Test 2


6-3
6-3: BEER
.055

110
105

.050

100

.045

95

.040

90
85

.035

80

.030

75

.025

70

1994 1996 1998 2000 2002 2004 2006 2008

1994 1996 1998 2000 2002 2004 2006 2008

REL_PRODUCTIVITY

REER

10

1.8

1.6

1.4

4
1.2

2
1.0

0.8

-2

0.6

-4
1994 1996 1998 2000 2002 2004 2006 2008
Real Interest Rate Differential

1994 1996 1998 2000 2002 2004 2006 2008

Degree of openness

101

6-3: BEER ( )
128

2.0

124

1.6

120
1.2

116

0.8

112

0.4

108
104

0.0

100
-0.4

96
92

-0.8

1994 1996 1998 2000 2002 2004 2006 2008

1994 1996 1998 2000 2002 2004 2006 2008

Terms of Trade

NFA/GDP

.08

5
.04

4
3

.00

2
-.04

1
0

-.08

-1
-2

-.12

1996

1998

2000

2002

2004

2006

Price of non-tradable to tradable

102

2008

1996

1998

2000

2002
BDEFICIT

2004

2006

2008

6-2: Johansen
BEER
Unrestricted Cointegration Rank Test (Trace)
Hypothesized
No. of CE(s)

Eigenvalue

Trace
Statistic

0.01
Critical Value

Prob.**

None *

0.761

204.53

121.74

0.0000

At most 1 *

0.644

121.59

92.71

0.0000

At most 2

0.376

61.67

67.63

0.0363

At most 3

0.277

34.29

46.57

0.1722

Trace test and Max-eigenvalue test indicate 2 cointegrating eqn(s) at the 0.01 level
* denotes rejection of the hypothesis at the 0.01 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized
No. of CE(s)

Eigenvalue

Max-Eigen
Statistic

0.01
Critical Value

Prob.**

None *

0.761

82.93

48.65

0.0000

At most 1 *

0.644

59.91

42.23

0.0000

At most 2

0.376

27.38

35.72

0.1148

At most 3

0.277

18.85

29.06

0.2223

Trace test and Max-eigenvalue test indicate 2 cointegrating eqn(s) at the 0.01 level
* denotes rejection of the hypothesis at the 0.01 level
**MacKinnon-Haug-Michelis (1999) p-values

103

6-3: Johansen
BEER
Dependent variable: LOG(REER)

Coefficient

Standard Errors

T-statistics

Relative productivity

12.781

0.814

15.694

Real interest rate differential

0.009

0.002

3.730

LN(Terms of Trade)

0.848

0.075

11.29

NFA/GDP

0.047

0.008

5.664

BDeficit/GDP

-1.765

0.172

-10.283

Crisis

-0.125

0.021

-6.008

Adjustment speed

-0.206

0.111

-1.854

R-squared

0.265

(relative
productivity)
non-tradable tradable nontradable tradable tradable
non-tradable
non-tradable

(TOT)
non-tradable tradable

104

3 2540 1 2542

-0.206
(short-run
adjustments)
20.6%
6-4 (actual)
(equilibrium)
6-3 (HP filtered) 6-5

6.2.4

3
(1) 3 1996 2 1997
(over-valued) 12
1995


(2)

12 1997

(overshoot)
1998




1999

105

(3) 2006
. 30%
2006


6-4:
BEER
110
105
100
95
90
85
80
75
70
1996

1998

2000

2002

BEER (HP Filtered)

106

2004

2006
REER

2008

6-5:
BEER
16
12
8
4
0
-4
-8
-12
1996

1998

2000

2002

2004

2006

2008

Exchange Rate Misalignment (BEER)

6.3.2
(Fundamental Equilibrium Exchange Rate, FEER)
6-4 6-6

(CA) (REER) (TOT)
(OPENNESS) non-stationary ADF
integration I(1)

Johansen
( 6-5) Trace Test Maximum Eigen Value Test
1
GDP
6-6

107

(REER)
GDP

6-4: Stationary FEER

Trend and Intercept

Intercept

None

Level

First
difference

Level

First
difference

Level

First
difference

LN(REER)

-2.371

-6.190***

-2.273

-6.051***

-0.306

-6.096***

REL_PRODUCTIVITY

-1.843

-4.982***

-1.763

-5.023***

-0.619

-5.056***

LN(TOT)

-1.673

-7.718***

-1.465

-7.736***

-1.162

-7.666***

OPENNESS

-2.026

-8.138***

-1.420

-8.172***

-1.071

-8.008***

CA

-2.852

-6.760***

-2.595

-6.888***

-2.476

-6.921***

: *** stationary 1

(TOT) MarshallLerner




(OPENNESS)

108

6-6: FEER
110

.055

105

.050

100
.045

95
90

.040

85

.035

80
.030

75
70

.025
1994 1996 1998 2000 2002 2004 2006 2008

1994 1996 1998 2000 2002 2004 2006 2008

REL_PRODUCTIVITY

REER

128

1.8

124
1.6

120
116

1.4

112
1.2

108
104

1.0

100
0.8

96
92

0.6

1994 1996 1998 2000 2002 2004 2006 2008

1994 1996 1998 2000 2002 2004 2006 2008

Terms of Trade

Degree of openness

.20
.15
.10
.05
.00
-.05
-.10
-.15
1994 1996 1998 2000 2002 2004 2006 2008
CA/GDP

109

6-5: Johansen
FEER
Unrestricted Cointegration Rank Test (Trace)
Hypothesized
No. of CE(s)

Eigenvalue

Trace
Statistic

0.05
Critical Value

Prob.**

None *

0.464514

75.64994

63.8761

0.0037

At most 1

0.321147

38.79972

42.91525

0.1215

At most 2

0.180437

15.94602

25.87211

0.4969

At most 3

0.068806

4.205966

12.51798

0.7121

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized
No. of CE(s)

Eigenvalue

Max-Eigen
Statistic

0.05
Critical Value

Prob.**

None *

0.464514

36.85021

32.11832

0.0122

At most 1

0.321147

22.8537

25.82321

0.1176

At most 2

0.180437

11.74005

19.38704

0.4397

At most 3

0.068806

4.205966

12.51798

0.7121

Trace test and Max-eigenvalue test indicate 1 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

110

6-6: Johansen
FEER
Dependent variable: CA/GDP

Coefficient

Standard Errors

T-statistics

Log(REER)

-1.050157

0.11203

-9.37375

Log(Terms of Trade)

0.689487

0.20987

3.28531

OPENNESS

-0.901183

0.14166

-6.36145

Trend

0.012905

0.00186

6.92671

2.110472

Adjustment speed

-0.17745

0.14215

-1.64831

R-squared

0.4784

6-7
FEER CA GDP
3 2 1.5 0 -1.5 GDP
3 GDP

-1.5



3 GDP


3 0
20
16

111

2
1) 3 1997 :

5-20

2) 3 1997 - 1 1998 :
3-20
6-7:
FEER
110
105
100
95
90
85
80
75
70
1994 1996 1998 2000 2002 2004 2006 2008
REER
FEER (Target CA=1.5%)
FEER (Target CA=2%)

112

FEER (Target CA= -1.5%)

FEER (Target CA=0%)
FEER (Target CA=3%)

6-8:
FEER
30

20

20
10

10
0

0
-10

-10

-20

-20

1994 1996 1998 2000 2002 2004 2006 2008

1994 1996 1998 2000 2002 2004 2006 2008

Exchange Rate Misalignment (Target CA=3%)

Exchange Rate Misalignment (Target CA=2%)

20

20

10
10

0
0

-10
-10

-20

-30

-20
1994 1996 1998 2000 2002 2004 2006 2008

1994 1996 1998 2000 2002 2004 2006 2008

Exchange Rate Misalignment (Target CA=1.5%)

Exchange Rate Misalignment (Target CA=0%)

20

10

-10

-20

-30
1994 1996 1998 2000 2002 2004 2006 2008
Exchange Rate Misalignment (Target CA=-1.5%)

113

(2548) ..
2540
(2548)
Macroeconomic Balance Approach
17-25 Rajan, Sen and Siregar (2004) Natural
Equilibrium Exchange Rate (NATREX) Jerome Stein .. 2540
4-10
6.3.3 (Small Macroeconomic
Model)

Two-step method Engle and Granger
(flexible)


( 6-9)
4

(1) 1 2548 :
(2) 2 2549 4 2549 :
(3) 2 2550 :
(4) 4 2550 3 2551: 3-6

114

6-9:

6.4




FEER
(internal balance) (external balance)

BEER

BEER

BEER
(current misalignment)

115

(shock)

1. (managed
float)



2.


2548-2549

3.



4.
managed float




.
2
1.

.

116

.




2. .
.

.


. (net forward position)
SWAP/Forward (spot)



.

.



2540



117

(1)





(2)



(3)









.

118

 7

7.1
7.1.1 .. 2540
25 . .. 2539 37-41
. .. 2541-43 44 . .. 2544
40 . .. 2548 33-34
. .. 2550-51
7.1.2 GDP
GDP

GDP
6
90%


7.1.3







7.1.4
.. 2544-2551

119

7.1.5 . (REER)

21
REER
REER

7.1.6 .. 2540
REER .
REER
REER

7.1.7



3 (.. 2541-2543) Max-Min Coefficient
of Variation


(
)

7.1.8



()



120

swap
( 1 1 )
buy-sell-buy


sell-buy-sell

buy-sell-buy sell-buy-sell
swap
(roll-over)
7.1.9

/
NRBA 30%

.
7.1.10
3
() /GDP 77% .. 2542
23% .. 2551
56% 21%

()
4-6
.. 2530-40 6-8 .. 2541-51
()
2

121

7.2







7.2.1 (basic objectives)
3
. (exchange rate stability)




. (current account equilibrium)

(fundamentals)

( /


)
2
(1)

(finance) /

(self-correction)

(sustainability) (2)

122

(resource utilization)


. (competitiveness)

exchange rate stability current account equilibrium

competitiveness .. 2540
.
8% GDP .. 2538-39
.. 2545-49
. (
)

3


7.2.2 (constraints)



.

123

2



competitiveness
1

. (
)
.

.
(speculation)
.

(predictable)
. .



20,000 .


. SMEs


2

(dynamic)

124

(productivity)

7.2.3




//
()

/
2 ()
(evil circle)
(unhedged)
(foreign exchange exposure)
() (forward/futures markets)



7.2.4
3
. .
(net open position)

.

.
intra-affiliate exposure
foreign exchange exposure

125

.


(systemic risks)
.



(
)

7.2.5
.


X%






/
(fundamentals)

( buy-sell-buy 7.1.8)


7.2.6
/

126

/ (sensitive)

(speculation)

(snowball effect)



monotony rational expectation
.

() predictability













7.2.7
( 4 ) 35 . .. 2543 135
. .. 2552

127

(reserve pooling)

.. 2540 reserve pooling
Chiang Mai Initiative, Bilateral Swap Agreement


reserve pooling

7.2.8

smoothening
small moving band

7-1: Small Moving Band

1
0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0
2009

2010

2011

2012

2013

2014

2015

band
competitiveness
small


moving

128

smoothening smoothening

(degree)

smoothening
(dilemma) /

degree predictability
expectation speculation
expectation
speculation
predictability

(more dynamic)
( Small
Moving Band )


.. 2540


7.2.9
(SMEs) 99.7
( .. 2551)
29-32 5 SMEs

129

hedging
forward cover
(credit line) (credibility)
SMEs

SMEs
SMEs


forward cover SMEs pool long short
EXIM Bank / SME Bank
forward cover SMEs

7.2.10


.
(foreign exchange exposure)

7.2.11

130


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. (2550). URR Outflow .
.

133

135

 1

- .. 2552

137

1. :

.

2.

.
(trend)
. smoothening

3.

. smoothening

(Bank of Japan)

4.

(optimal exchange rate):

benchmark

5.

absolute
term Purchasing Power Parity (PPP)
A
B / relative term

6.

(speculation) (market
distortion)
1997 10


(actual)

139

7.

(predominate)
(financial intermediary)
(speculator) (open position)
.

8.

(hedge funds)

9.

70% (top-tier
Thai firms)
(HQ) HQ
(squared position)

. open position
0-5%

10. 1997
(NPL )

(Thai baht government bond)


NPL
11.

(asset-liability management)
FX position near squared position

.
140

12. . .
NEER





13.

.
14.
GDP 2% GDP


15. (economic

fundamentals)

16. .
17. Key : (stable exchange rate)
18. FX (Thin VS Thick) :
19. Forward market (Thin VS Thick): /
100 forward cover forward market
1997 (one-side
position)
20. (small exporters/importers) forward
contract
(relationship)
21.

Financial Master Plan II

141

22.
Bank of England
.
23.

24.

25. :
exchange control / capital control

26.
(
)
27. exchange rate targeting :

28. FX market : .

Financial Master
Plan
29.

30. aggressive/active :
Citibank active
(retail banking)

142

1.

(FX)
.
.
(MNC) .
(capital flows) aggressive
. (conservative)
(SMEs) SMEs
(hedging)

forward financial products

2.

( )



MNC SMEs

3.

(speculators) . ( )
(spread)
80-90
(
.)

4.

143

(BOP)
( 2552)
(capital flows) net flows
17,000 500 . trade
flows

4 2551
. URR ( US$
forward ) 5-7 US$ US$
( ) 8-9 Lehman
Brothers US$
US$ 2551
2543-2550
( .
)
(BOP) errors
XR
(
)
regional speculation
5.

.



4-5
4% 2%
.
aggressive
capital control 30%
(URR) underlying .

144

trade volume .
FX
URR URR
offshore
. non-resident baht account
. sterilize
reserves/money supply disequilibrium
change in reserves change in baht supply . sterilize flows
capital account current account
(sterilizing policy conservative )
6.

.
range
. . Tokyo-Mitsubishi
BBL Deutsche bank swap offshore onshore
.

provide liquidity

.

7. (
move ) move region disequilibrium stability
NEER $/
intervention announcement effect
8.

spot .
forward

(inconsistency)
. aggressive XR

145

(inconsistency)
Inflation targeting oil price targeting




hedge
US$
aggressive
9.

forward
FX
97 spread ( 3
2 ) margin volume swap
spot pure demand/supply competition
forward products (0-1
1 ) 10-15 forward
(fully functioning) active /
products credit line
(
credit line)
SME credit line swap fully hedged volume

10. forward . .
swap 0-1
(volume ) pricing forward
traders
11. .

net open position FX position .
(squared position) .

146

1. (monetary
stability) variance

2. policy makers
CV price stability
3. /
regime managed float
volatility smoothing
let it be smoother

4.


. (intermediary credit function
/intermediate institution)
5. .

6. .



7. . passive way
. (US$)

(sterilize) (absorbed by bonds)
8. Components 2 (determine) bottom line . XR yield curve
9. inflation targeting .

147

10. 2006 capital inflows .

capital control

11. . speculators

12. speculation/arbitrage disequilibrium
market opportunity
equilibrating factor

13. (investors) 2 (pair one to one)
(psychologically)
14. . speculation intermediary active
squared position
15. (fundamentals)
disequilibrium

16. managed float

stability trade account
excessive capital inflows/outflows trade flows/capital flows
/

17. deviations
upper/lower band ad hoc intervention band
18. FX small developing country

19. 1997
( )

148

(A)
1. . FX managed float 2540
XR sentiment
region IMF

2. ( turning point) sentiment

region ( 52 43
. )
( )
( 43 37 ) FDI
capital account outflows ( 5 )
( vulnerability BOP)
3. URR
. $ inflation
targeting . bond
(buy-sell-buy)
(
policy rate US$ $
LIBOR 1% BOT bond 2%)
.

4. .
FIDF
5. asset
.
roll over FIDF
6. FX swap . 3-6

149

7. FX .
exogenous
8. . NEER, REER ()
spot
(ASEAN, Korea, China)

9. trend reaction economic activity
money market react
10. Criteria XR move on/off track? XR

FX ( ) XR
equilibrium 5

11. . stabilize (smoothen) XR

12. . XR growth (
)
13. . FX interfere money market/policy rate
. sterilize

14. sell-buy ( . .) . buy
() . (. US$ . . .
swap . )
15. . FX real flows (exports/imports)
capital flows .
16. FX position . . FX
17. FX FX
(spot) lock rate

150

18. FX active function capital control

. forward FX
position . spot .
19. . swap premium quote forward
attractive
20. FX position Basel II
. flexible forward
FX
21. . FX two ways ( one way)
. offshore ( .
onshore )
22.
(underlying assets) 300
23. exports/imports
stress test on BOP ( shock
outflows / ) insurance concept (ensure output
loss opportunity cost hold reserves)
24. .



25. URR daily
swap medium term holding period (.
)
26. . verbal intervention
27. . capital flows flows

trade flows

151

28. . FX . float
.
swap .
29. () primary dealers
.

152

(B)
1. subjective
inflation targeting ( residual)
policy XR
2. FX . flows
imports/exports XR . .
capital flows capital
know-how derivatives (hedging instruments, IRS) .
active FX
3. .
.
4. risk based .
5. Flows exports/imports XR
6. inflation targeting XR
7. FX active thin

8. .
9. global
demand

(
)
10. .

11. FX . smoothen
12.

153

13. FX counterbalance
one-way flow
market
manipulation .
14. FX (.)
. ( know-how/) .
( . )
(Financial Master Plan 2 )

154

(C)
1. . 2 (1) (2)

2. .
. . mark-tomarket loss (loss .)
( )
3. .
4. FX guidelined .
URR
international markets
5. . FX

6. .
FX swap, bond (issued 3
), bill, deposit facility (DF, electronic P/N)

7. Lehman Brothers FX
8. FX largely driven by trade flows
2 ways ( view )
9.
FX active

10. .
11.
FX
12. . FX
FX ( accessibility) FX swap .

155

.
.

156

157



28 .. 2552 9.00-12.00 .
2

1.

FX

2.

3.

productivity

4.

5.

6.

URR 30%

7.

sterilization policy sterilize

capital flows reserves .

159

8.

. (inefficiency) .
playing ground /
FX /

9.

. .
non-residents

10. . hedge

(unwind)
predictable market ( )

11.

12. XR

import content
(margin )
13. EU

EU
( )

(export oriented) reserves

single track

14.

160


15. . XR volatility

volatility
16. perception SMEs . XR .

.
SMEs
17. SMEs . forward

SMEs .
18. . SMEs forward

19. REER /

mislead / (pair ) REER 18

20.

21.

. US$

22. unpredictable /
23. predictability

24. (pooling)
25. Small Moving Band target speculation
26. band /

() .
(more dynamic to cope with
dynamic world)

161

() Small Moving Band 3

(1) (Small)

(2)

(
) ( )
(self-correction)
(Moving) (3)

(Band)
Small Moving Band


.. 2540


()

(relative price)

162





Williams College
Harvard University

Osaka University
Center for Economic Institutions, Hitotsubashi University

San Diego State University

163