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The Exchange Rate Exposure of Thai Banks: Evidence from 2004-2008 (Vithessonthi C.)

Stability&Soundness Structure of Assets&Liabilities

Abstract In this study, I estimate the exchange rate exposure of Thai banks to four major currencies consisting of the Japanese yen, the euro, the British pound and the US dollar using a sample of banks listed on the Stock Exchange of Thailand over a period from January 2004 through December 2008. The results show that there are a number of banks in Thailand with significant exchange rate exposure. For the whole sample period, about half of the banks in the sample are exposed to the Japanese yen. The number of banks with significant exposure to the Japanese yen increases to 75% of the sample when the asymmetric effects of exchange rate movements are taken into account. The results also indicate that a few banks are exposed to the US dollar in recent years, which are in line with Chue and Cook (2008) who find that the number of Thai firms with significant currency exposure has decreased to about 27% over the 2002-2006 period. The fact that a number of firms with significant exposure vary from year to year provides some preliminary evidence in support of time variation in exchange rate exposure. Notably, a large number of banks (91.67% of the sample) appear to have significant exposure to the US dollar in 2006 but the exposure to the US dollar becomes less evident in 2007 and 2008. Likewise, while there is no bank in the sample with significant exposure to the Japanese yen in 2006, almost all banks (91.67% of the sample) have significant exposure to the Japanese yen in 2007.
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Libref/ Vithessonthi C. (2010) "The Exchange Rate Exposure of Thai Banks: Evidence from 2004-2008", pp. 1 - 30
© Программирование — Александр Красильников, 2008
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