Since 2014
Ringgit Malaysia Predictability: Do Currencies and Prediction Horizon Matters?
Jurnal Ekonomi Malaysia
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| Title |
Ringgit Malaysia Predictability: Do Currencies and Prediction Horizon Matters?
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| Creator |
Sarmidi, Tamat
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| Description |
ABSTRACTThe main objective of this study is to investigate the predictability of Malaysian ringgit against currencies that are regarded as fundamentally unstable. The study is motivated by a hypothesis that postulates the performance of exchange rate predictability is better-off for currencies with weak macroeconomic fundamentals or monetary instability. We employ bootstrap technique as proposed by Mark (1995) and later improved by Kilian (1999) to alleviate statistical inference intricacies inherit in the long horizon forecasting to three different monetary models (flexible, sticky and relative price) for ringgit against selected developing economies’ currencies. The empirical result shows the superiority of sticky price model for all prediction horizons along with the evidence of exchange rate predictability for ringgit against high inflation economies.Keywords: foreign exchange; international finance; forecasting; simulationABSTRAKTujuan utama kajian ini ialah untuk menguji kebolehramalan kadar pertukaran ringgit Malaysia kepada matawang negara yang memiliki asas ekonomi yang tidak stabil. Kajian ini dimotivasikan oleh hipotesis yang mencadangkan kebolehramalan kadar pertukaran asing adalah lebih baik bagi matawang negara yang memiliki asas makroekonmi dan monetari yang lemah atau tidak stabil. Teknik bootstrap yang dibangunkan oleh Mark (1995) dan dimurnikan oleh Kilian (1999) bagi tujuan mengurangkan masalah peramalan menggunakan data jangkaan tempoh masa panjang telah diaplikasikan menggunakan tiga model monetari berbeza iaitu harga fleksibel, harga lekit dan harga relatif. Hasil kajian menunjukkan keutamaan model harga lekit untuk semua tempoh masa jangkaan dan wujudnyapetunjuk statistik yang signifikan bagi kebolehramalan untuk kadar pertukaran ringgit kepada matawang negaraberinflasi tinggi.Keywords: tukaran asing; kewangan antarabangsa; peramalan; simulasi
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| Publisher |
Universiti Kebangsaan Malaysia
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| Date |
2012-02-19
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article — |
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| Format |
application/pdf
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| Identifier |
http://ejournal.ukm.my/jem/article/view/1326
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| Source |
Jurnal Ekonomi Malaysia; Vol 44 (2010): Jurnal Ekonomi Malaysia
0126-1962 |
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| Language |
eng
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| Relation |
http://ejournal.ukm.my/jem/article/view/1326/1193
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