The Efficiency of Models Determining Baht to ASEAN Monetary Exchange

Abstract

In this thesis, the researcher investigates the efficiency of monetary models for the determination of baht to ASEAN monetary exchange rates. the purposes of this study performance of monetary models are 1) Flexible Price 2) Dornbusch Sticky Price and 3) Real Interest Rate Differential there are factors studied and considered of  1) the comparative money supply 2) the comparative national income 3) the comparative inflation rate and 4) the net interest margin. This study applied the unit root test and regression analysis of ordinary least squares was used. Then, a comparison was conducted for the models, capability in forecasting exchange rates with the consideration of the lowest root mean squares error (RMSE). Findings showed that the flexible price model was the monetary model with the highest level of efficiency in forecasting the value of Thai baht and the Singapore dollar. The real interest rate differential model was the monetary model with the highest efficiency in forecasting Thai baht and Brunei dollars, Thai baht and ringgit, Thai baht and peso, Thai baht and rupiah, Thai baht and dong, Thai baht and kip, Thai baht and kyat and Thai baht and riel.