The spillover effects of unremunerated reserve requirements: Evidence from Thailand

We examine the spillover effects of the unremunerated reserve requirement (URR), which had been implemented in Thailand during 2006-2007, on stock returns through the Thai baht (THB) exchange rate against the euro (EUR) and the Japanese yen (JPY). Based on a sample of 270 firms listed on the Stock Exchange of Thailand (SET), we find that the imposition of the URR appears to affect the first- and second-moment exchange rate exposure to the EUR and the JPY of some firms, but the evidence does not strongly support the notion that there are spillover effects of the URR on exchange rate exposure.