Sains Malaysiana 41(9)(2012): 1163–1169

 

 

Is Monetary Variable a Determinant in the Ringgit-Dollar Exchange

Rates Model?: A Cointegration Approach

(Adakah Pemboleh Ubah Monetari Penentu Kepada Model Kadar Pertukaran

Ringgit-Dollar?: Satu Pendekatan Kointegrasi)

 

Behrooz Gharleghi* & Abu Hassan Shaari Md Nor

Pusat Pengajian Ekonomi, Fakulti Ekonomi dan Pengurusan, Universiti Kebangsaan Malaysia

43600 Bangi, Selangor, Malaysia

 

Received: 10 October 2011 / Accepted: 2 April 2012

 

ABSTRACT

The main aim of this paper was to validate the relative price monetary model (RPMM) of exchange rate determination for the Malaysian exchange rate (RM/USD) using monthly data set from 1986-2010. The Johansen multivariate cointegration test and vector error correction model were employed. Because the time period under consideration includes the South East Asian financial crisis, the analysis is done using two time periods; the full time period as well as the period after the crisis. Two interesting results were observed from this empirical exercise. First, there is a long-run relationship between exchange rate and the selected macro variables only for the period after the crisis. Second, the forecasting performance of monetary approach based on the error correction model outperformed the Random Walk model.

 

Keywords: Cointegration; error-correction model; exchange rate; relative price monetary model

 

ABSTRAK

Tujuan utama kertas ini adalah untuk menentusahkan model monetari harga relatif bagi kadar pertukaran ringgit Malaysia (RM/USD) menggunakan data bulanan dari 1986-2010. Ujian multivariat Johansen dan model vector pembetulan ralat digunakan. Oleh sebab tempoh kajian merangkumi masa krisis, maka analisis telah dilakukan ke atas dua tempoh masa; tempoh keseluruhan dan selepas krisis. Dua keputusan telah diperoleh melalui kajian empirik tersebut. Pertama, wujud hubungan jangka panjang antara kadar pertukaran dengan pembolehubah makro hanya pada tempoh masa selepas krisis. Kedua, peramalan menggunakan pendekatan model monetari melalui kaedah vektor pembetulan ralat adalah lebih baik berbanding model pejalanan rawak.

 

Kata kunci: Kadar pertukaran; kointegrasi; model pembetulan ralat; model monetari harga relative

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*Corresponding author; email: gharleghi.bn@gmail.com