ผลกระทบของการเปลี่ยนแปลงปัจจัยทางเศรษฐศาสตร์มหภาคต่อการปรับตัวของ อัตราผลตอบแทนทองคำในประเทศไทย โดยใช้แบบจำลอง GVAR

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ณฉัตร์ชพงษ์ แก้วสมพงษ์
กัญญ์วรา พลแหลม

บทคัดย่อ

การศึกษานี้มีวัตถุประสงค์เพื่อศึกษาถึงผลกระทบของตัวแปรทางเศรษฐกิจมหภาคของประเทศไทยและประเทศคู่ค้าทองคำของไทยต่ออัตราผลตอบแทนทองคำในประเทศไทย โดยใช้แบบจำลอง Global Vector Autoregressive (GVAR) เพื่อดูการส่งผลกระทบต่อกันระหว่างประเทศ และแสดงผลการศึกษาโดยใช้ Generalized Impulse Response Function (GIRF) ที่จะแสดงถึงการตอบสนอง (response) ของราคาทองคำในแต่ละประเทศต่อการเปลี่ยนแปลงอย่างฉับพลัน (shock) ของตัวแปรทางเศรษฐกิจ ซึ่งจากผลการศึกษาพบว่าการเปลี่ยนแปลงของตัวแปรเศรษฐกิจมหภาคในทุกประเทศรวมถึงประเทศไทย ส่งผลกระทบในทิศทางลบต่ออัตราผลตอบแทนทองคำของประเทศไทย โดยเฉพาะอย่างยิ่ง การเปลี่ยนแปลงอย่างฉับพลันของตัวแปร GDP ของประเทศไทยส่งผลกระทบต่ออัตราผลตอบแทนในทองคำของประเทศไทยมากที่สุด

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