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 494
- Downloads 35
FINANCIAL ANALYSIS OF WAQF REAL ESTATE REVENUES IN THE WEST BANK: 1994-2014
This paper made a financial analysis of the revenues of the Palestinian Ministry of Waqf ( endowment ) and specifically its real estate revenues in the West Bank. It was found that 61% of the waqf ministry?s total reven...
IDENTIFYING STOCK MARKET REACTIONS TO ACQUISITION ANNOUNCEMENTS IN TAIWAN LAND AUCTION
This paper examines the market reactions to acquisition announcements in Taiwan land auctions. Empirical evidence shows that successful bidders can enjoy significant positive abnormal returns as a result of land auction...
SUGGEST SOLUTIONS FOR DIFFUSION AND IMPLEMENTATION OF ACTIVITY-BASED COSTING IN VIETNAM
Activity-Based Costing (ABC) was developed by Robert S. Kaplan in the mid-1980s and up to now the academics, researchers as well as accounting practitioners have perceived it as the normative appropriate cost system. It...
ECONOMIC GROWTH OF SELECTED SOUTH ASIAN COUNTRIES: DOES INSTITUTION MATTER?
In this paper we estimate the proximate determinants of economic growth in four major economies of South Asia with special emphasis on the role of institutions in conjunction with stock of physical capital, human capital...
DETERMINANTS OF NON-PERFORMING LOANS IN LICENSED COMMERCIAL BANKS: EVIDENCE FROM SRI LANKA
This study investigates the determinant factors of ex-post credit risk considering non-performing loans (NPLs) as proxy variable in Sri Lanka?s commercial banking sector and is carried out with a sample of nine licensed...