View Article |
Is monetary variable a determinant in the ringgit-dollar exchange rates model?: a cointegration approach
Gharleghi, Behrooz1, Abu Hassan Shaari Md Nor2.
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.
Affiliation:
- Universiti Kebangsaan Malaysia, Malaysia
- Universiti Kebangsaan Malaysia, Malaysia
|
|
Indexation |
Indexed by |
MyJurnal (2021) |
H-Index
|
6 |
Immediacy Index
|
0.000 |
Rank |
0 |
Indexed by |
Web of Science (SCIE - Science Citation Index Expanded) |
Impact Factor
|
JCR (1.009) |
Rank |
Q4 (Multidisciplinary Sciences) |
Additional Information |
JCI (0.15) |
Indexed by |
Scopus 2020 |
Impact Factor
|
CiteScore (1.4) |
Rank |
Q2 (Multidisciplinary) |
Additional Information |
SJR (0.251) |
|
|
|