Is monetary variable a determinant in the Ringgit-Dollar exchange rates model?: a cointegration approach
The main aim of this paper was to validate the relative price monetary model (RPMM) of exchange rate determination for the Malaysian exchange rate (RM/USD) using monthly data set from 1986-2010. The Johansen multivariate cointegration test and vector error correction model were employed. Because the...
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Universiti Kebangsaan Malaysia
2012
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| Online Access: | http://journalarticle.ukm.my/5480/ http://journalarticle.ukm.my/5480/ http://journalarticle.ukm.my/5480/1/16%2520Abu%2520Hassan.pdf |
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ukm-54802016-12-14T06:38:34Z http://journalarticle.ukm.my/5480/ Is monetary variable a determinant in the Ringgit-Dollar exchange rates model?: a cointegration approach Behrooz Gharleghi, Abu Hassan Shaari Md Nor, The main aim of this paper was to validate the relative price monetary model (RPMM) of exchange rate determination for the Malaysian exchange rate (RM/USD) using monthly data set from 1986-2010. The Johansen multivariate cointegration test and vector error correction model were employed. Because the time period under consideration includes the South East Asian financial crisis, the analysis is done using two time periods; the full time period as well as the period after the crisis. Two interesting results were observed from this empirical exercise. First, there is a long-run relationship between exchange rate and the selected macro variables only for the period after the crisis. Second, the forecasting performance of monetary approach based on the error correction model outperformed the Random Walk model. Universiti Kebangsaan Malaysia 2012-09 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/5480/1/16%2520Abu%2520Hassan.pdf Behrooz Gharleghi, and Abu Hassan Shaari Md Nor, (2012) Is monetary variable a determinant in the Ringgit-Dollar exchange rates model?: a cointegration approach. Sains Malaysiana, 41 (9). pp. 1163-1169. ISSN 0126-6039 http://www.ukm.my/jsm/ |
| repository_type |
Digital Repository |
| institution_category |
Local University |
| institution |
Universiti Kebangasaan Malaysia |
| building |
UKM Institutional Repository |
| collection |
Online Access |
| language |
English |
| description |
The main aim of this paper was to validate the relative price monetary model (RPMM) of exchange rate determination for the Malaysian exchange rate (RM/USD) using monthly data set from 1986-2010. The Johansen multivariate cointegration test and vector error correction model were employed. Because the time period under consideration includes the South East Asian financial crisis, the analysis is done using two time periods; the full time period as well as the period after the crisis. Two interesting results were observed from this empirical exercise. First, there is a long-run relationship between exchange rate and the selected macro variables only for the period after the crisis. Second, the forecasting performance of monetary approach based on the error correction model outperformed the Random Walk model. |
| format |
Article |
| author |
Behrooz Gharleghi, Abu Hassan Shaari Md Nor, |
| spellingShingle |
Behrooz Gharleghi, Abu Hassan Shaari Md Nor, Is monetary variable a determinant in the Ringgit-Dollar exchange rates model?: a cointegration approach |
| author_facet |
Behrooz Gharleghi, Abu Hassan Shaari Md Nor, |
| author_sort |
Behrooz Gharleghi, |
| title |
Is monetary variable a determinant in the Ringgit-Dollar exchange rates model?: a cointegration approach |
| title_short |
Is monetary variable a determinant in the Ringgit-Dollar exchange rates model?: a cointegration approach |
| title_full |
Is monetary variable a determinant in the Ringgit-Dollar exchange rates model?: a cointegration approach |
| title_fullStr |
Is monetary variable a determinant in the Ringgit-Dollar exchange rates model?: a cointegration approach |
| title_full_unstemmed |
Is monetary variable a determinant in the Ringgit-Dollar exchange rates model?: a cointegration approach |
| title_sort |
is monetary variable a determinant in the ringgit-dollar exchange rates model?: a cointegration approach |
| publisher |
Universiti Kebangsaan Malaysia |
| publishDate |
2012 |
| url |
http://journalarticle.ukm.my/5480/ http://journalarticle.ukm.my/5480/ http://journalarticle.ukm.my/5480/1/16%2520Abu%2520Hassan.pdf |
| first_indexed |
2023-09-18T19:44:15Z |
| last_indexed |
2023-09-18T19:44:15Z |
| _version_ |
1777405793426997248 |