Publish In |
International Journal of Management and Applied Science (IJMAS)-IJMAS |
Journal Home Volume Issue |
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Issue |
Volume-1,Issue-4 ( May, 2015 ) | |||||||||
Paper Title |
The Relationships Between Thai Government Bond Yield And Economic Variables | |||||||||
Author Name |
Hathaichanoke Moonwong, Chaiwat Nimanussornkul, Nachatchapong Kaewsompong | |||||||||
Affilition |
Economic Faculty, Chiangmai University | |||||||||
Pages |
152-158 | |||||||||
Abstract |
This study uses Traditional and Threshold Cointegration models to analyze the secondary data over the periods of 225 months (1996 to 2014:3) in order to examine the relationships between Thai government bond yield and economic variables (interbank rate, private investment index, consumer price index, coincident economic index, exchange rate (baht/dollar) and SET index). All variables are stationary at the first difference. Testing for threshold follows on Hansen – Seo (2002) test. The results show some evidence of non-linear cointegration between Thai government bond yield and economic variables. Moreover, Thai government bond yield has either positive or negative correlation with independent variables. Keywords- Secondary Data, Economic Variables, Negative Correlation. | |||||||||
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