The movement of currency exchange rates will affect a lot of parts of the economy such as import, export, investment, and others. Each country has factors affecting currency exchange rates differently because of economic structure. In this study, we try to analyze the factors affecting USD/THB exchange rates with macroeconomic variables such as the difference between US Interest rate and Thai Interest rate, the US Inflation rate, the term of trade, and international reserves from 2012 to 2022 with quarterly data using multiple linear regression. The results show that the difference between US Interest rate and Thai Interest rate, the US Inflation rate, the term of trade are positive significant variables, but international reserves are negative significant variable. After finishing the analysis from 2012 to 2022, we separate the data into two sets, and then test with multiple linear regression. The first set is from 2012 to 2019 (before covid 19 and Russia Ukraine war crisis). The second set is from 2020 to 2022 (covid 19 and Russia Ukraine war crisis). The results of the first set of data are similar to the data from 2012 to 2022. However, the results of the second set of data are quite different. the difference between US Interest rate and Thai Interest rate, and US Inflation rate are positive significant variables, but the term of trade, and international reserves are insignificant variables. Moreover, we compare the performance of models for predicting exchange rates between multiple linear regression and random forest regression. We have three cases for testing. The results show that the performance of random forest regression is better than multiple linear regression. We see from R2 and error. Moreover, the performance of random forest regression has improved when the amount of data increases. Therefore, we can conclude that the random forest regression is suitable for predicting USD/THB exchange rates.
Keywords: Currency exchange rates, Macroeconomic variables, Regression model

ABSTRACT i
TABLE OF CONTENTS ii
LIST OF TABLES iv
LIST OF FIGURES v
CHAPTER 1 Introduction 1
1.1Research Background 1
1.2 Research Questions 3
1.3 Research Aims 3
1.4 The significance of research 3
CHAPTER 2 Litterature Review 4
2.1 Overview 4
2.2 Factors affecting exchange rate 10
2.2.1 The Difference of US Interest rate and Thai Interest rate 10
2.2.2 The US Inflation rate 10
2.2.3 Terms of Trade 11
2.2.4 International reserves 11
CHAPTER 3 Research Methodology 12
3.1 Data Source 12
3.2 Tools, and Models 12
Multiple Linear Regression (MLR) 12
Random Forest Regression (RFR) 14
CHAPTER 4 Results 15
4.1 Descriptive Statistics 15
4.2 Multicollinearity 16
4.3 Autocorrelations 17
4.4 Heteroscedasticity 17
4.5 Multiple Linear Regression 18
4.6 Multiple Linear Regression (datasets from 2012 to 2019) 19
4.7 Multiple Linear Regression (datasets from 2020 to 2022) 20
4.8 Comparing Model for Predicting Exchange Rate 22
CHAPTER 5 Conclusion 27
REFERENCES 30
APPENDIX 33

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