Exchange rate volatility and macroeconomic determinants: a comparative analysis for Malaysia

Kong, Chek Hang (2010) Exchange rate volatility and macroeconomic determinants: a comparative analysis for Malaysia. Masters thesis, Universiti Malaysia Sarawak, (UNIMAS).

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Abstract

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.

Item Type: Thesis (Masters)
Additional Information: Thesis (M.Sc.) -- Universiti Malaysia Sarawak, 2010.
Uncontrolled Keywords: Exchange Rate volatility, economy theory, Foreign exchange market, rates, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, Postgraduate, research, Universiti Malaysia Sarawak
Subjects: H Social Sciences > HB Economic Theory
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Karen Kornalius
Date Deposited: 02 Oct 2015 02:16
Last Modified: 02 Oct 2015 02:16
URI: http://ir.unimas.my/id/eprint/9036

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