This research studies the determinant of the exchange rate system of Baht per Yen using the monetary portfolio synthesis model. The cointegration test proposed by Johansen (1995) is adopted to extract thelong-run relationship of variables; the vector error correction model is applied to exhibit the short-run adjustment. Data used in this study are monthly from September 1999 to July 2006. The results show that all variables in the model have a long-run relationship. The long-run relationships between exchange rate and the relative of money supply (m-m*), real income (y-y*), the different in interest rates (r-r*), and the different in inflation expectation corresponds to the hypotheses; while those between the exchange rate and the risk premium does not correspond to the hypothesis.