Can offshore exchange rate predict future spot exchange?: Evidence from USDTHB Exchange Rate / Sirapak Likitsajjakul
Imprint
2017
Descript
36 leaves: tables
SUMMARY
USDTHB swap price has been separated into onshore and offshore. The offshore USDTHB swap price is used in USDTHB swap transaction between two counterparties outside Thailand, meanwhile; onshore USDTHB swap price is the transaction between two counterparties inside Thailand. This paper used uncovered interest-rate parity (UIP) to study the relationship of movement of USDTHB spot price and the difference of USDTHB swap offshore and onshore price. The paper found that under normal market conditions the difference between USDTHB swap offshore and onshore price can enhance the predicting power of future USDTHB spot price. Furthermore, the study also found that uncovered interest-rate parity (UIP) in USDTHB is more efficient as time passed by due to the lessen in the restriction of capital control policy by Bank of Thailand (BOT)
