Spillover Effects between Oil, Gold, Stock, and Exchange Rate Returns in Thailand: An Extended Joint Connected TVP-VAR Approach

Authors

  • Supanee Harnphattananusorn Department of Economics, Faculty of Economics, Kasetsart University, Bangkok 10900, Thailand

DOI:

https://doi.org/10.32479/ijeep.16418

Keywords:

Extended Time-Varying Parameter Vector Autoregression, Spillover Effects, Oil, Gold, Stock Market, Exchange Rate

Abstract

The objective of this study is to analyze the spillover effects among the returns of oil, gold, the stock market, and exchange rates in Thailand. Using the time-varying parameter vector autoregression model (TVP-VAR) with extended joint connectedness and data from April 2002 to March 2024, our analysis reveals a moderate level of the dynamic linkage among these returns. We observe that the dynamic connectedness among all returns varies over time, influenced by global economic events and country situations. Notably, in Thailand's landscape, stock market and gold returns act as net shock transmitters, with the stock market exhibiting the highest volatility among all variables, while oil and exchange rate markets function as net recipients. These insights significantly contribute to understanding asset and commodity markets and offer valuable policy implications for effectively managing these markets.

Downloads

Download data is not yet available.

Downloads

Published

2024-09-07

How to Cite

Harnphattananusorn, S. (2024). Spillover Effects between Oil, Gold, Stock, and Exchange Rate Returns in Thailand: An Extended Joint Connected TVP-VAR Approach. International Journal of Energy Economics and Policy, 14(5), 62–72. https://doi.org/10.32479/ijeep.16418

Issue

Vol. 14 No. 5 (2024)

Section

Articles

License

Submission of an article implies that the work described has not been published previously , that it is not under consideration for publication elsewhere, that its publication is approved by all authors and tacitly or explicitly by the responsible authorities where the work was carried out, and that, if accepted, will not be published elsewhere in the same form, without the written consent of the Publisher. The Editors reserve the right to edit or otherwise alter all contributions, but authors will receive proofs for approval before publication.