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The effects of interest rate on real effective exchange rate volatility spillover in Malaysia and Thailand: Empirical evidence

The research examined this asymmetric effect between the interrelationship of the interbank rate on the external competitiveness purchasing power represented by the real effective exchange rate for Malaysia and Thailand using monthly data covering the period of 1994 until 2020. The empirical finding...

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Main Authors: Abu Bakar, Mohd. Jaffri, Loganathan, Nanthakumar, Mursitama, Tirta Nugraha, Hassan, Asan Ali Golam
Format: Article
Language:English
Published: Bina Nusantara University 2021
Subjects:
HB Economic Theory
Online Access:http://eprints.utm.my/id/eprint/96316/1/AsanAli2021_TheEffectsOfInterestRateOnRealEffective.pdf
http://eprints.utm.my/id/eprint/96316/
http://dx.doi.org/10.21512/JAS.V9I2.7517
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spelling my.utm.963162022-07-17T07:04:18Z http://eprints.utm.my/id/eprint/96316/ The effects of interest rate on real effective exchange rate volatility spillover in Malaysia and Thailand: Empirical evidence Abu Bakar, Mohd. Jaffri Loganathan, Nanthakumar Mursitama, Tirta Nugraha Hassan, Asan Ali Golam HB Economic Theory The research examined this asymmetric effect between the interrelationship of the interbank rate on the external competitiveness purchasing power represented by the real effective exchange rate for Malaysia and Thailand using monthly data covering the period of 1994 until 2020. The empirical findings confirms an asymmetric effect between interbank rate and real effective exchange rate based on the nonlinear autoregressive distributed lag estimates. The research also finds a unidirectional asymmetric causal relationship running from real effective exchange rate on interbank rate Thailand, which indicate the monetary policy has a direct relationship on interbank rate volatility. While in Malaysia, there is no causality running between both variables since the country has proposed several soft monetary policies and more concentrating on the short-term borrowing by improving the tight money supply circulation based on the domestic inflation, global economic, and financial market volatility. Therefore, the research recommends a specific need of monetary stabilizer policy to stabilize both countries’ currencies and put more effort to liberalize the foreign exchange rate system in a globalized economy. Bina Nusantara University 2021 Article PeerReviewed application/pdf en http://eprints.utm.my/id/eprint/96316/1/AsanAli2021_TheEffectsOfInterestRateOnRealEffective.pdf Abu Bakar, Mohd. Jaffri and Loganathan, Nanthakumar and Mursitama, Tirta Nugraha and Hassan, Asan Ali Golam (2021) The effects of interest rate on real effective exchange rate volatility spillover in Malaysia and Thailand: Empirical evidence. Journal of ASEAN Studies, 9 (2). pp. 181-198. ISSN 2338-1361 http://dx.doi.org/10.21512/JAS.V9I2.7517
institution Universiti Teknologi Malaysia
building UTM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Malaysia
content_source UTM Institutional Repository
url_provider http://eprints.utm.my/
language English
topic HB Economic Theory
spellingShingle HB Economic Theory
Abu Bakar, Mohd. Jaffri
Loganathan, Nanthakumar
Mursitama, Tirta Nugraha
Hassan, Asan Ali Golam
The effects of interest rate on real effective exchange rate volatility spillover in Malaysia and Thailand: Empirical evidence
description The research examined this asymmetric effect between the interrelationship of the interbank rate on the external competitiveness purchasing power represented by the real effective exchange rate for Malaysia and Thailand using monthly data covering the period of 1994 until 2020. The empirical findings confirms an asymmetric effect between interbank rate and real effective exchange rate based on the nonlinear autoregressive distributed lag estimates. The research also finds a unidirectional asymmetric causal relationship running from real effective exchange rate on interbank rate Thailand, which indicate the monetary policy has a direct relationship on interbank rate volatility. While in Malaysia, there is no causality running between both variables since the country has proposed several soft monetary policies and more concentrating on the short-term borrowing by improving the tight money supply circulation based on the domestic inflation, global economic, and financial market volatility. Therefore, the research recommends a specific need of monetary stabilizer policy to stabilize both countries’ currencies and put more effort to liberalize the foreign exchange rate system in a globalized economy.
format Article
author Abu Bakar, Mohd. Jaffri
Loganathan, Nanthakumar
Mursitama, Tirta Nugraha
Hassan, Asan Ali Golam
author_facet Abu Bakar, Mohd. Jaffri
Loganathan, Nanthakumar
Mursitama, Tirta Nugraha
Hassan, Asan Ali Golam
author_sort Abu Bakar, Mohd. Jaffri
title The effects of interest rate on real effective exchange rate volatility spillover in Malaysia and Thailand: Empirical evidence
title_short The effects of interest rate on real effective exchange rate volatility spillover in Malaysia and Thailand: Empirical evidence
title_full The effects of interest rate on real effective exchange rate volatility spillover in Malaysia and Thailand: Empirical evidence
title_fullStr The effects of interest rate on real effective exchange rate volatility spillover in Malaysia and Thailand: Empirical evidence
title_full_unstemmed The effects of interest rate on real effective exchange rate volatility spillover in Malaysia and Thailand: Empirical evidence
title_sort effects of interest rate on real effective exchange rate volatility spillover in malaysia and thailand: empirical evidence
publisher Bina Nusantara University
publishDate 2021
url http://eprints.utm.my/id/eprint/96316/1/AsanAli2021_TheEffectsOfInterestRateOnRealEffective.pdf
http://eprints.utm.my/id/eprint/96316/
http://dx.doi.org/10.21512/JAS.V9I2.7517
_version_ 1739828062096195584
score 13.211869

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