Assessing the impact of exchange rate on major agricultural export commodities of Thailand
2016
Chalermpon, J. | Sukprasert, P. | Chulaphan, W. | Sriariyawat, S.
The purpose of this study is to measure the impact of exchange rate on major agricultural export commodities of Thailand using time series analysis over the period of January 2001 to December 2013. A seasonal autoregressive integrated moving average with exogenous (SARIMA-X) is modeled to detect the impact of Thai currency fluctuations on export supplies for natural rubber, rice, tapioca, poultry and fishery. After identifying trend and seasonal stationarities, SARIMA(p,d,q)(P,D,Q)s is performed for tapioca and poultry as well as SARMA(p,q)(P,Q)s for natural rubber, rice and fishery. The results show that exchange rate significantly impacts on rice, tapioca, poultry and fishery, but it seems not to have a significant impact on natural rubber even though the time lag effect is included. Policymakers should, therefore, consider the appropriate policies based on these empirical findings to manage the risks on export supplies and national income concerning the fluctuations of exchange rates.
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