Now showing items 1-3 of 3

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    Exchange rate co-movement and volatility spill over in Africa 

    Carsamer, Emmanuel; Yuthana Sethapramote (National Institute of Development Administration, 2015)

    Although research interest in why and how economies are related to each other continues to accumulate (Joyce, 2013, Todd, 2008), our understanding of the mechanisms through which economic turmoil in one region transmits to another is still unclear. The motivations for this study were to examine the volatility transmission in the African foreign exchange market and the global world through financial interdependence and factors explaining exchange rate co-movement. The thesis set out to find answers to the questions of volatility spill over ...
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    REGIME-SWITCHING HOUSING PRICE CYCLE IN CHINA 

    Xiaoman Lu; Yuthana Sethapramote (NIDA, 4/2/19)

    This paper aims to examine the house price cycle at the province level of China using the three-regime Markov-switching model. Our findings indicate that, in Xinjiang, Chongqing and Jiangsu, there was no secular slowdown in growth since the rapid-growth regime re-emerged at some stage. While during economic downturn and rapid economic growth, house prices fall and grow fastest, respectively, in the central region. However, during normal growth regime, house prices increase fastest in the eastern provinces. These findings indicate regional ...
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    The Spillover Effects of Global Economic Policy Uncertainty (GEPU) on Emerging Equity Markets: Evidence from Thailand 

    Asma Mora; Yuthana Sethapramote (NIDA, 8/9/19)

              This paper examines the spillover effects of Global Economic Policy Uncertainty (GEPU) index and other global risk factors, i.e. CBOE Volatility Index (VIX index), oil prices and gold prices, on the Stock Exchange of Thailand (SET). The empirical results show that both GEPU and VIX indices has significant impacts on the returns of stock market in Thailand before 2010. After 2010, the effects of GEPU on the stock return are not statistically significant. However, the VIX index still significantly affect on the return and volatility of ...