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The estimation of equilibrium exchange rates in Malaysia: evidence using FEER model

The study of exchange rate behavior is important to identify the currency either experiencing an overvaluation or undervaluation. The traditional theory to estimate exchange rates behavior is the Law of One Price (henceforth LOP). This theory suggests that the price levels would be the same between...

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Main Authors: Shukri, J. M., Habibullah, Muzafar Shah, Sanusi, Nur Azura
Format: Article
Language:English
Published: American Scientific Publishers 2017
Online Access:http://psasir.upm.edu.my/id/eprint/63451/1/The%20estimation%20of%20equilibrium%20exchange%20rates%20in%20Malaysia.pdf
http://psasir.upm.edu.my/id/eprint/63451/
https://www.ingentaconnect.com/contentone/asp/asl/2017/00000023/00000009/art00091
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spelling my.upm.eprints.634512018-10-16T09:43:22Z http://psasir.upm.edu.my/id/eprint/63451/ The estimation of equilibrium exchange rates in Malaysia: evidence using FEER model Shukri, J. M. Habibullah, Muzafar Shah Sanusi, Nur Azura The study of exchange rate behavior is important to identify the currency either experiencing an overvaluation or undervaluation. The traditional theory to estimate exchange rates behavior is the Law of One Price (henceforth LOP). This theory suggests that the price levels would be the same between two countries after converting their price into a common currency. However, the LOP does not take into account the real macroeconomic fundamentals factors. Hence, this model is seen missing to explain the possible a particular exchange rate is influenced by macroeconomics fundamentals. Therefore, this study is aim to investigates the behavior of exchange rate movement and identify the determinants of macroeconomics fundamentals on the exchange rates in Malaysia. By using fundamental equilibrium exchange rates (FEER) model, this study adopts the bound testing popularized by Pesaran et al., and autoregressive distributed lag (ARDL) to examine the long run relationships (or cointegration) among the variables and the dynamic effect within variables in the short run. American Scientific Publishers 2017-09 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/63451/1/The%20estimation%20of%20equilibrium%20exchange%20rates%20in%20Malaysia.pdf Shukri, J. M. and Habibullah, Muzafar Shah and Sanusi, Nur Azura (2017) The estimation of equilibrium exchange rates in Malaysia: evidence using FEER model. Advanced Science Letters, 23 (9). 8492 - 8497. ISSN 1936-6612; ESSN: 1936-7317 https://www.ingentaconnect.com/contentone/asp/asl/2017/00000023/00000009/art00091 10.1166/asl.2017.9917
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
description The study of exchange rate behavior is important to identify the currency either experiencing an overvaluation or undervaluation. The traditional theory to estimate exchange rates behavior is the Law of One Price (henceforth LOP). This theory suggests that the price levels would be the same between two countries after converting their price into a common currency. However, the LOP does not take into account the real macroeconomic fundamentals factors. Hence, this model is seen missing to explain the possible a particular exchange rate is influenced by macroeconomics fundamentals. Therefore, this study is aim to investigates the behavior of exchange rate movement and identify the determinants of macroeconomics fundamentals on the exchange rates in Malaysia. By using fundamental equilibrium exchange rates (FEER) model, this study adopts the bound testing popularized by Pesaran et al., and autoregressive distributed lag (ARDL) to examine the long run relationships (or cointegration) among the variables and the dynamic effect within variables in the short run.
format Article
author Shukri, J. M.
Habibullah, Muzafar Shah
Sanusi, Nur Azura
spellingShingle Shukri, J. M.
Habibullah, Muzafar Shah
Sanusi, Nur Azura
The estimation of equilibrium exchange rates in Malaysia: evidence using FEER model
author_facet Shukri, J. M.
Habibullah, Muzafar Shah
Sanusi, Nur Azura
author_sort Shukri, J. M.
title The estimation of equilibrium exchange rates in Malaysia: evidence using FEER model
title_short The estimation of equilibrium exchange rates in Malaysia: evidence using FEER model
title_full The estimation of equilibrium exchange rates in Malaysia: evidence using FEER model
title_fullStr The estimation of equilibrium exchange rates in Malaysia: evidence using FEER model
title_full_unstemmed The estimation of equilibrium exchange rates in Malaysia: evidence using FEER model
title_sort estimation of equilibrium exchange rates in malaysia: evidence using feer model
publisher American Scientific Publishers
publishDate 2017
url http://psasir.upm.edu.my/id/eprint/63451/1/The%20estimation%20of%20equilibrium%20exchange%20rates%20in%20Malaysia.pdf
http://psasir.upm.edu.my/id/eprint/63451/
https://www.ingentaconnect.com/contentone/asp/asl/2017/00000023/00000009/art00091
_version_ 1643837804232310784
score 13.211869

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