文章基本信息

标题：Is Ringgit really influenced by crude oil price? Evidence from commodity and bank lending markets
本地全文：下载
作者：Abdul Razak Abdul Hadi ; Mohd Hanafia Huridi ; Syeliya Md Zaini 等
期刊名称：Współczesna Ekonomia
印刷版ISSN：1897-9254
出版年度：2019
卷号：13
期号：4
页码：407-416
DOI：10.5709/ce.1897-9254.322
出版社：VIZJA Press & IT
摘要：This study aims to investigate the effects of crude oil price (COP) and base rate (BR) on the strength of the Ringgit (RM) against the US Dollar (USD). Within the framework of the international Fisher effect theory, the study employs yearly data from the Bloomberg Database over an observed period from 1984 through 2017. Using bivariate Engle-Granger cointegration test as an estimation tool, the study reveals the presence of a long-term relationship between the RM and COP. However, the results of the Granger Causality test show an absence of a dynamic relationship between them. From the second analysis between the RM and BR, the study finds the presence of both long-term and short-term relationships between them. Interestingly, the relationship is somewhat bidirectional. Overall, the study has suggested the relevance of the international Fisher effect in explaining how variations in the RM exchange rate are elucidated by the bank lending market. In addition, it is worth noting that both BR and COP exert a significant influence on the strength of the RM against USD over time.
关键词：Bivariate cointegration test; crude oil price; Malaysia base rate; Malaysia exchange rate; Granger causality test; error;correction term; international Fisher theory