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Unremunerated reserve requirements, exchange rate volatility, and firm value

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  • Vithessonthi, Chaiporn
  • Tongurai, Jittima
Abstract
In this paper we investigate whether the imposition of the unremunerated reserve requirement on capital inflows influences exchange rate volatility and stock prices. Our analysis shows that exchange rate volatility of the Thai baht against four major currencies—the US dollar, the British pound, the euro, and the Japanese yen—appears to be larger during the period of the imposition of the unremunerated reserve requirement in 2006–2007. Using a data set of publicly traded firms in Thailand, we find that the exposure of firms to exchange rate volatility appears to change during the unremunerated reserve requirement period relative to the pre- and post-unremunerated reserve requirement period. We also find that the effect of exchange rate volatility during the unremunerated reserve requirement period on stock returns is stronger for some firms than others. The results suggest that the unremunerated reserve requirement affects asset prices, through larger exchange rate volatility and through changes in exposure of firms to exchange rate volatility.

Suggested Citation

  • Vithessonthi, Chaiporn & Tongurai, Jittima, 2013. "Unremunerated reserve requirements, exchange rate volatility, and firm value," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 358-378.
    • Handle: RePEc:eee:intfin:v:23:y:2013:i:c:p:358-378
    DOI: 10.1016/j.intfin.2012.10.004
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    Cited by:

    1. Vithessonthi, Chaiporn & Tongurai, Jittima, 2014. "The spillover effects of unremunerated reserve requirements: Evidence from Thailand," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 338-351.
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    5. Hooi Hooi Lean & Irene W.K. Ting, 2016. "Will Penang Based Companies Perform Better than the Market?," Economics Bulletin, AccessEcon, vol. 36(1), pages 528-536.

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    More about this item

    Keywords

    Exchange rate; Exchange rate volatility; Stock return; Unremunerated reserve requirement; Thailand;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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