The long-run impact of bilateral real exchange rate volatility on Malaysia’s bilateral trade balance with its major trading partners / Mazila Md Yusuf

Md Yusuf, Mazila (2008) The long-run impact of bilateral real exchange rate volatility on Malaysia’s bilateral trade balance with its major trading partners / Mazila Md Yusuf. Gading Business and Management Journal, 12 (1). pp. 87-103. ISSN 0128-5599

Abstract

The objective of this paper is to analyse the long-run impact of
bilateral real exchange rate volatility on Malaysia’s bilateral trade
balance with its major trading partners, comprising the United
States, Singapore, Japan, United Kingdom, and Republic of Korea
over the monthly period 1990:1 to 2002:12. The long-run impact
will be analysed using the cointegration analysis and a vector error
correction model (VECM) framework which treats all variables in
the model as potentially endogenous. In this study, the GARCH model
is employed to measure the bilateral exchange rate volatility. Our
findings revealed that there is a positive long-run impact of exchange
rate volatility on the trade balance of Malaysia with the United
States, a negative long-run impact on the trade balance of Malaysia
with Singapore and no impact on the trade balance of Malaysia
with the other three countries.

Metadata

Item Type: Article
Creators:
Creators
Email / ID Num.
Md Yusuf, Mazila
mazila370@salam.uitm.edu.my
Subjects:
H Social Sciences > HG Finance > International finance
H Social Sciences > HG Finance > International finance > Foreign exchange. Foreign exchange rates
Divisions: Universiti Teknologi MARA, Pahang
Journal or Publication Title: Gading Business and Management Journal
ISSN: 0128-5599
Volume: 12
Number: 1
Page Range: pp. 87-103
Keywords: Exchange rate, bilateral exchange rate, exchange rate volatility, international trade, trade balance, cointegration, longrun impact
Date: 2008
URI: https://ir.uitm.edu.my/id/eprint/10116
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10116

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