Exchange rate volatility and macroeconomic determinants: a comparative analysis for Malaysia
The purpose of this study is to examine the relationship of Exchange Rate volatility and its determinants from 1976:Ql to 2007:Q4. The ARCHJGARCH techniques are applied to better capture the time-varying characteristics of volatility and the exchange rate volatility series were generated utilizing...
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| Main Author: | |
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| Format: | Thesis |
| Language: | English |
| Published: |
2010
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/9036/1/Kong.pdf |
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| Summary: | The purpose of this study is to examine the relationship of Exchange Rate volatility and its determinants from 1976:Ql to 2007:Q4. The ARCHJGARCH techniques are applied to better
capture the time-varying characteristics of volatility and the exchange rate volatility series were generated utilizing the GARCH mOd0 The empirical results of Philips and Perron test reveal that all the variables are non-stationary in levels but stationary in first differences except for volatility which shows stationary in levels. Then, Johansen's co integration test indicates long run relationships between the variables where two cointegrating vector were existed and finally, Granger causality in the vector error-correction model is employed to scrutinize short run relationships between the variables. Hence, investment seems to have significant influence towards volatility in all macroeconomics factors. The Government's
currency rationing policy tends to lessen the volatility, proving that the policy-induced changes in exchange rate have stabilizing effect on its determinants. |
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