On the Linkages between Exchange Rate Movements Stock, Bond and Interest Rate Market in a Regime-Switching Model: Evidence for ASEAN and East Asia

Kongliang Zhu, Woraphon Yamaka, Songsak Sriboonchitta

Abstract


This study analyzes the relationship among exchange rate (againstUS dollar), interest rate, government bond and the stock market in three ASEANcountries consisting of Thailand, Malaysia, Singapore and three East Asia coun-tries comprising Japan, Korea, and China. The paper analyzes the questionwhether there exist a correlation between these variables in both high growth andlow growth economy and whether there exist a similar market pattern in thesecountries. In this study, we estimate the correlations between these variables us-ing the MS-VECM approach. In addition, the obtained regime probabilities allowus to detect and identify the factor or event affecting the movement of the financialmarkets.

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The Thai Journal of Mathematics organized and supported by The Mathematical Association of Thailand and Thailand Research Council and the Center for Promotion of Mathematical Research of Thailand (CEPMART).

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|ISSN 1686-0209|