Cover Image

The impact of macroeconomic variables on commodity futures prices: an evidence from Malaysian crude palm oil futures

The current study aims to fulfil the gap of knowledge in commodity futures by empirically examining the influence of selected macroeconomic variables on the prices of commodity futures particularly Crude Palm Oil Futures (FCPO). Cointegration, Vector Error Correction and Granger causality analyse...

Full description

Saved in:
Bibliographic Details
Main Authors: Ahmed, Khalil, Zain, Mohamed, Mohd Noor, Azman, Alsaadi, Abdul Rahman, Milhem, Marwan, Ahmad, Alhasan
Format: Article
Language:English
English
Published: Ubiquity Press 2020
Subjects:
HB Economic Theory
Online Access:http://irep.iium.edu.my/88315/1/88315_The%20impact%20of%20macroeconomic%20variables.pdf
http://irep.iium.edu.my/88315/2/88315_The%20impact%20of%20macroeconomic%20variables_SCOPUS.pdf
http://irep.iium.edu.my/88315/
https://ejmcm.com/pdf_4015_1c9ad8a80319348b036d4281661351d6.html
Tags: Add Tag
No Tags, Be the first to tag this record!
id my.iium.irep.88315
record_format dspace
spelling my.iium.irep.883152021-02-10T04:32:48Z http://irep.iium.edu.my/88315/ The impact of macroeconomic variables on commodity futures prices: an evidence from Malaysian crude palm oil futures Ahmed, Khalil Zain, Mohamed Mohd Noor, Azman Alsaadi, Abdul Rahman Milhem, Marwan Ahmad, Alhasan HB Economic Theory The current study aims to fulfil the gap of knowledge in commodity futures by empirically examining the influence of selected macroeconomic variables on the prices of commodity futures particularly Crude Palm Oil Futures (FCPO). Cointegration, Vector Error Correction and Granger causality analyses are used to examine the nexus between macroeconomic variables (interest rate, exchange rate and Industrial Production Index (IPI)) and FCPO from January 1999 to December 2019. Results show that interest rate, exchange rate and IPI have a significant influence on FCPO prices in the long-run. While interest rate and exchange have a negative impact, IPI has a positive impact. VECM results suggest that the macroeconomic variables appear to have no significant shortrun causal effect associate with the FCPO prices. Granger causality test indicate that FCPO and exchange Granger cause IPI and act as leading indicators for IPI. The study implicates that policy makers should carefully design policy (monetary and fiscal intervention) to reduce swings in the commodity futures prices to protect hedgers and investors Ubiquity Press 2020-09 Article PeerReviewed application/pdf en http://irep.iium.edu.my/88315/1/88315_The%20impact%20of%20macroeconomic%20variables.pdf application/pdf en http://irep.iium.edu.my/88315/2/88315_The%20impact%20of%20macroeconomic%20variables_SCOPUS.pdf Ahmed, Khalil and Zain, Mohamed and Mohd Noor, Azman and Alsaadi, Abdul Rahman and Milhem, Marwan and Ahmad, Alhasan (2020) The impact of macroeconomic variables on commodity futures prices: an evidence from Malaysian crude palm oil futures. European Journal of Molecular & Clinical Medicine, 7 (6). pp. 2095-2105. ISSN 2515-8260 https://ejmcm.com/pdf_4015_1c9ad8a80319348b036d4281661351d6.html
institution Universiti Islam Antarabangsa Malaysia
building IIUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider International Islamic University Malaysia
content_source IIUM Repository (IREP)
url_provider http://irep.iium.edu.my/
language English
English
topic HB Economic Theory
spellingShingle HB Economic Theory
Ahmed, Khalil
Zain, Mohamed
Mohd Noor, Azman
Alsaadi, Abdul Rahman
Milhem, Marwan
Ahmad, Alhasan
The impact of macroeconomic variables on commodity futures prices: an evidence from Malaysian crude palm oil futures
description The current study aims to fulfil the gap of knowledge in commodity futures by empirically examining the influence of selected macroeconomic variables on the prices of commodity futures particularly Crude Palm Oil Futures (FCPO). Cointegration, Vector Error Correction and Granger causality analyses are used to examine the nexus between macroeconomic variables (interest rate, exchange rate and Industrial Production Index (IPI)) and FCPO from January 1999 to December 2019. Results show that interest rate, exchange rate and IPI have a significant influence on FCPO prices in the long-run. While interest rate and exchange have a negative impact, IPI has a positive impact. VECM results suggest that the macroeconomic variables appear to have no significant shortrun causal effect associate with the FCPO prices. Granger causality test indicate that FCPO and exchange Granger cause IPI and act as leading indicators for IPI. The study implicates that policy makers should carefully design policy (monetary and fiscal intervention) to reduce swings in the commodity futures prices to protect hedgers and investors
format Article
author Ahmed, Khalil
Zain, Mohamed
Mohd Noor, Azman
Alsaadi, Abdul Rahman
Milhem, Marwan
Ahmad, Alhasan
author_facet Ahmed, Khalil
Zain, Mohamed
Mohd Noor, Azman
Alsaadi, Abdul Rahman
Milhem, Marwan
Ahmad, Alhasan
author_sort Ahmed, Khalil
title The impact of macroeconomic variables on commodity futures prices: an evidence from Malaysian crude palm oil futures
title_short The impact of macroeconomic variables on commodity futures prices: an evidence from Malaysian crude palm oil futures
title_full The impact of macroeconomic variables on commodity futures prices: an evidence from Malaysian crude palm oil futures
title_fullStr The impact of macroeconomic variables on commodity futures prices: an evidence from Malaysian crude palm oil futures
title_full_unstemmed The impact of macroeconomic variables on commodity futures prices: an evidence from Malaysian crude palm oil futures
title_sort impact of macroeconomic variables on commodity futures prices: an evidence from malaysian crude palm oil futures
publisher Ubiquity Press
publishDate 2020
url http://irep.iium.edu.my/88315/1/88315_The%20impact%20of%20macroeconomic%20variables.pdf
http://irep.iium.edu.my/88315/2/88315_The%20impact%20of%20macroeconomic%20variables_SCOPUS.pdf
http://irep.iium.edu.my/88315/
https://ejmcm.com/pdf_4015_1c9ad8a80319348b036d4281661351d6.html
_version_ 1691732937553215488
score 13.211869

Similar Items