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Spillover Effects between Oil, Gold, Stock, and Exchange Rate Returns in Thailand: An Extended Joint Connected TVP-VAR Approach

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  • Supanee Harnphattananusorn

    (Department of Economics, Faculty of Economics, Kasetsart University, Bangkok 10900, Thailand)

Abstract

The objective of this study is to analyze the spillover effects among the returns of oil, gold, the stock market, and exchange rates in Thailand. Using the time-varying parameter vector autoregression model (TVP-VAR) with extended joint connectedness and data from April 2002 to March 2024, our analysis reveals a moderate level of the dynamic linkage among these returns. We observe that the dynamic connectedness among all returns varies over time, influenced by global economic events and country situations. Notably, in Thailand's landscape, stock market and gold returns act as net shock transmitters, with the stock market exhibiting the highest volatility among all variables, while oil and exchange rate markets function as net recipients. These insights significantly contribute to understanding asset and commodity markets and offer valuable policy implications for effectively managing these markets.

Suggested Citation

  • Supanee Harnphattananusorn, 2024. "Spillover Effects between Oil, Gold, Stock, and Exchange Rate Returns in Thailand: An Extended Joint Connected TVP-VAR Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 14(5), pages 62-72, September.
    • Handle: RePEc:eco:journ2:2024-05-7
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    More about this item

    Keywords

    Extended Time-Varying Parameter Vector Autoregression; Spillover Effects; Oil; Gold; Stock Market; Exchange Rate;
    All these keywords.

    JEL classification:

    • A1 - General Economics and Teaching - - General Economics

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