OIL PRICE AND EXCHANGE RATE IN MALAYSIA: A TIME-FREQUENCY ANALYSIS
Journal Title: Asian Economic and Financial Review - Year 2015, Vol 5, Issue 4
Abstract
The study analyzed the Granger-causal relationship in the time-frequency framework between return series of real oil price (ROP) and real effective exchange rate (REER) for Malaysia. In doing so, study relied on time-frequency framework of the Granger-causality, which is based on continuous wavelet approach. We found that the causal and reverse causal relations between oil price and real exchange rate vary across scale and period viz., during late 1989, in the time scale of 8~10 months, both variables were in phase and ROP was leading and both variables were out of phase and ROP was leading (a) in 1990-1991, in the time scale of 12~16 months, (b) in 1997 -1998 in the time scale of 10~16 months, (c) in 2001-2003, in time scale of 9~15 months, and (d) in 2005 and early 2006, in the time scale of 2~7 months. Further, evidence shows that during 1989-1998, in 32~48 months scales, variable were in phase and ROP was lagging and throughout the study period, in 60~64 months scale, variables were in phase and ROP was leading. Hence, our evidence show that there is evidence of both cyclical and anti-cyclical relationship between ROP and REER at shorter time scales however, throughout study for higher scales REER was lagging and receiving cyclical effects of ROP shocks. Findings obtained in the study have implications for central monetary authority of Malaysia in the formulations of appropriate monetary and exchange rate policies and for traders in the formulations of effective risk management.
Authors and Affiliations
Aviral Kumar Tiwari| Faculty of Management, IBS Hyderabad, IFHE University, India
Keywords
Related Articles
- EP ID EP2194
- DOI -
- Views 481
- Downloads 35
THE IMPACT OF TRADE LIBERALIZATION ON DEMAND AND PRICE VOLATILITY IN PAKISTAN: CO INTEGRATION APPROACH FOR COMPENSATION HYPOTHESIS
The important modification of the compensation hypothesis rests on the principle; increased trade openness increase the domestic economic volatility. The economic theory recommend increase of international trade require...
ESCAPING THE DUTCH DISEASE: THE ROLE OF PUBLIC INVESTMENT IN NIGER
This paper describes the use of a recursive dynamic computable general equilibrium model to the analysis of two investment strategies of natural resources revenue in Niger. Potential impact of education and infrastructur...
PUBLIC SECTOR WAGE AND INFLATION IN GHANA
Achieving price stability has been in the orbit of concern of state authorities for time immemorial. This paper, therefore, attempted to determine empirically the impact of public wage bill on inflation in Ghana for the...
EMPLOYEE BRANDING MODEL BASED ON INDIVIDUAL AND ORGANIZATIONAL VALUES IN THE IRANIAN BANKING INDUSTRY
In the competitive world of today, every company knows that their main asset is human resources, since employees have a crucial role in building strong a brand. But researches show that more managers do not pay attention...
CEREAL BANK AS A NECESSARY RURAL LIVELIHOOD INSTITUTE IN ARID LAND, MAKOJA VILLAGE, DODOMA-TANZANIA
In 2012, the study was carried at Makoja Village, in Semi-Arid region of Dodoma. The aim of the conducted study was to assess the importance of Cereal Bank to livelihood of farming households. A total of 80 respondents w...