Relationship between crude oil price with foreign exchange rates and interest rates of South East Asian countries

This study measures long run relationships and short run relationships between crude oil price, foreign exchange rates and interest rates by using monthly data of Brent crude oil prices with foreign exchange rates and interest rates for seven Southeast Asian countries from January 2010 to October...

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Main Authors:	Humaida Banu Samsudin, Yap, Chiou Shin
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2019
Online Access:	http://journalarticle.ukm.my/13868/ http://journalarticle.ukm.my/13868/ http://journalarticle.ukm.my/13868/1/jqma-15-2-paper1.pdf

id	ukm-13868
recordtype	eprints
spelling	ukm-138682020-01-08T09:19:45Z http://journalarticle.ukm.my/13868/ Relationship between crude oil price with foreign exchange rates and interest rates of South East Asian countries Humaida Banu Samsudin, Yap, Chiou Shin This study measures long run relationships and short run relationships between crude oil price, foreign exchange rates and interest rates by using monthly data of Brent crude oil prices with foreign exchange rates and interest rates for seven Southeast Asian countries from January 2010 to October 2017. The long run relationship is tested using the Johansen cointegration test, while the short run relationship is tested using the Granger causality test. The Vector Error Correction Model (VECM) is built for the country with cointegration between variables. The results of the study show that cointegration is only present for Vietnam and not for six other countries. The Granger causality test found that no causal relationship could be detected between crude oil prices and foreign exchange rates for all tested countries. Unidirectional causalities detected in this study are from interest rates to foreign exchange rates for Brunei and Vietnam and from crude oil prices to Singapore's interest rates Penerbit Universiti Kebangsaan Malaysia 2019-12 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/13868/1/jqma-15-2-paper1.pdf Humaida Banu Samsudin, and Yap, Chiou Shin (2019) Relationship between crude oil price with foreign exchange rates and interest rates of South East Asian countries. Journal of Quality Measurement and Analysis, 15 (2). pp. 1-8. ISSN 1823-5670 http://www.ukm.my/jqma/current.html
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	This study measures long run relationships and short run relationships between crude oil price, foreign exchange rates and interest rates by using monthly data of Brent crude oil prices with foreign exchange rates and interest rates for seven Southeast Asian countries from January 2010 to October 2017. The long run relationship is tested using the Johansen cointegration test, while the short run relationship is tested using the Granger causality test. The Vector Error Correction Model (VECM) is built for the country with cointegration between variables. The results of the study show that cointegration is only present for Vietnam and not for six other countries. The Granger causality test found that no causal relationship could be detected between crude oil prices and foreign exchange rates for all tested countries. Unidirectional causalities detected in this study are from interest rates to foreign exchange rates for Brunei and Vietnam and from crude oil prices to Singapore's interest rates
format	Article
author	Humaida Banu Samsudin, Yap, Chiou Shin
spellingShingle	Humaida Banu Samsudin, Yap, Chiou Shin Relationship between crude oil price with foreign exchange rates and interest rates of South East Asian countries
author_facet	Humaida Banu Samsudin, Yap, Chiou Shin
author_sort	Humaida Banu Samsudin,
title	Relationship between crude oil price with foreign exchange rates and interest rates of South East Asian countries
title_short	Relationship between crude oil price with foreign exchange rates and interest rates of South East Asian countries
title_full	Relationship between crude oil price with foreign exchange rates and interest rates of South East Asian countries
title_fullStr	Relationship between crude oil price with foreign exchange rates and interest rates of South East Asian countries
title_full_unstemmed	Relationship between crude oil price with foreign exchange rates and interest rates of South East Asian countries
title_sort	relationship between crude oil price with foreign exchange rates and interest rates of south east asian countries
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	2019
url	http://journalarticle.ukm.my/13868/ http://journalarticle.ukm.my/13868/ http://journalarticle.ukm.my/13868/1/jqma-15-2-paper1.pdf
first_indexed	2023-09-18T20:05:49Z
last_indexed	2023-09-18T20:05:49Z
_version_	1777407150512930816

Relationship between crude oil price with foreign exchange rates and interest rates of South East Asian countries

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