THE CORRELATIONAL ANALYSIS BETWEEN THE U.S. MONETARY POLICY AND THE COMMODITY PRICES TO FORECAST THE PURCHASE PRICE OF FRESH FRUIT BUNCHES IN THAILAND

Abstract

This research aims to 1) Study the relationship between the U.S. monetary policy and the commodity prices on the fresh fruit bunches purchase price in Thailand. 2) Simulate and forecast the movement of the fresh fruit bunches purchase price in Thailand. This quantitative analysis employs the Ordinary Least Squares (OLS) method, using secondary monthly data from January 2007 to August 2023. The data access method involves ThaiQuest Limited through a computer process using DDE Link (Dynamic Data Exchange Link), a technology for communication between Windows operating system programs and the Aspen Graphics RTD program. This is an add-on program for transferring data from the Aspen system to the Microsoft Excel program, which the company continuously and automatically updates. The research findings indicate that the U.S. financial policies and foreign commodities are related to the purchase price of fresh palm bunches in Thailand. The prices of Malaysian crude palm oil, global gold, coal, natural gas, forward rubber, and Brent crude oil positively correlate with the purchase price of fresh palm bunches, whereas the U.S. interest rate shows a negative correlation. In modelling the price movement of actual fresh palm bunches against forecasts, the equation can explain 74.59% of the variation (R-squared = 0.745876). Here, the independent variables are the prices of Malaysian crude palm oil price, coal price, natural gas price, Brent crude oil price, rubber, the interest FEDFUNDS rate, and gold price. A one-unit change in these variables results in changes in the purchase price of fresh palm bunches by 1.088788, -0.190701, 0.160761, -0.126362, 0.079611, -0.042723, and -0.217183, respectively.