Exchange Rate Overshooting in Thailand

บทคัดย่อ

This paper investigates the exchange rate overshooting phenomenon for Thailand over the period 1987-2000 using Autoregressive Distributed Lag (ARDL) regression method introduced by Pesaran and Shin (1998). The study is based on the sticky-price monetary model introduced by Dornbusch (1976), that asserts that an increase in money supply, causes currency to depreciate in the long run with some short-run rigidity caused by price stickiness. The result of the study support the exchange rate overshooting hypothesis for Thailand and it is in line with the findings of Bahmani-Oskooee and Kara (2000).