Thesis (M.Econ.)--Chulalongkorn University, 1997

Focused on the exchange rate determination in the short-run and the long-run. The analyses were conducted under the the flexible exchange rate regime in Thailand from July 2, 1997 to February 18, 1998. This study analyzed the efficiency of the foreign-exchange market by examning the relationship between spot and forward exchange rates. Besides, it analyzed whether the deviations in actual and expected interest differentials, which reflected news, could be significant in determining the spot rates. Furthermore, it tested the relationship between the exchange rates and the price level by examining patterns of deviasions from purchasing power parities. This model used the data on a monthly basis from January 1994 to November 1997. The ordinary least squares method was used in the first and second analyses use and the results revealed that the foreign-exchange market was inefficient and the forward rate is not unbiased estimator of the future spot exchange rate. Further, both of news and the forward rate in previous period were not influencial in changes in the spot rate. The result also showed that the pattern of deviations from purchasing power parities could be characterized by the first-order autoregressive process.