The spillover effects of unremunerated reserve requirements: Evidence from Thailand

被引：3

作者：

Vithessonthi, Chaiporn ^{[1
]}

Tongurai, Jittima ^{[2
]}

机构：

[1] Univ Otago, Sch Business, Dept Accountancy & Finance, Dunedin 9054, New Zealand

[2] Miyazaki Int Coll, Kiyotake, Miyazaki 8891605, Japan

来源：

JOURNAL OF BANKING & FINANCE | 2014年 / 45卷

关键词：

Capital controls; Exchange rate exposure; Exchange rate volatility; Thailand; Unremunerated reserve requirements; EXCHANGE-RATE VOLATILITY; CENTRAL BANK INTERVENTION; CAPITAL CONTROLS; RATE EXPOSURE; ECONOMIC-GROWTH; FIRM VALUE; RISK; YEN; INSTABILITY; COUNTRIES;

D O I：

10.1016/j.jbankfin.2014.03.021

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：338 / 351

页数：14

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