Ringgit Malaysia predictability: do currencies and prediction horizon matters?
The main objective of this study is to investigate the predictability of Malaysian ringgit against currencies that are regarded as fundamentally unstable. The study is motivated by a hypothesis that postulates the performance of exchange rate predictability is better-off for currencies with weak mac...
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Penerbit Universiti Kebangsaan Malaysia
2010
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| Online Access: | http://journalarticle.ukm.my/3372/ http://www.ukm.my/penerbit/JEM/JEM-44-05-abstrak.html |
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| _version_ | 1831354840805015552 |
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| author | Tamat Sarmidi, |
| author_facet | Tamat Sarmidi, |
| author_sort | Tamat Sarmidi, |
| building | Tun Sri Lanang Library |
| collection | Institutional Repository |
| content_provider | Universiti Kebangsaan Malaysia |
| content_source | UKM Journal Article Repository |
| continent | Asia |
| country | Malaysia |
| description | The main objective of this study is to investigate the predictability of Malaysian ringgit against currencies that are regarded as fundamentally unstable. The study is motivated by a hypothesis that postulates the performance of exchange rate predictability is better-off for currencies with weak macroeconomic fundamentals or monetary instability. We employ bootstrap technique as proposed by Mark (1995) and later improved by Kilian (1999) to alleviate statistical inference intricacies inherit in the long horizon forecasting to three different monetary models (flexible, sticky and relative price) for ringgit against selected developing economies’ currencies. The empirical result shows the superiority of sticky price model for all prediction horizons along with the evidence of exchange rate predictability for ringgit against high inflation economies. |
| format | Article |
| id | my-ukm.journal-3372 |
| institution | Universiti Kebangsaan Malaysia |
| publishDate | 2010 |
| publisher | Penerbit Universiti Kebangsaan Malaysia |
| record_format | eprints |
| spelling | my-ukm.journal-33722013-02-14T13:48:04Z http://journalarticle.ukm.my/3372/ Ringgit Malaysia predictability: do currencies and prediction horizon matters? Tamat Sarmidi, The main objective of this study is to investigate the predictability of Malaysian ringgit against currencies that are regarded as fundamentally unstable. The study is motivated by a hypothesis that postulates the performance of exchange rate predictability is better-off for currencies with weak macroeconomic fundamentals or monetary instability. We employ bootstrap technique as proposed by Mark (1995) and later improved by Kilian (1999) to alleviate statistical inference intricacies inherit in the long horizon forecasting to three different monetary models (flexible, sticky and relative price) for ringgit against selected developing economies’ currencies. The empirical result shows the superiority of sticky price model for all prediction horizons along with the evidence of exchange rate predictability for ringgit against high inflation economies. Penerbit Universiti Kebangsaan Malaysia 2010-12 Article PeerReviewed Tamat Sarmidi, (2010) Ringgit Malaysia predictability: do currencies and prediction horizon matters? Jurnal Ekonomi Malaysia, 44 . ISSN 0127-1962 http://www.ukm.my/penerbit/JEM/JEM-44-05-abstrak.html |
| spellingShingle | Tamat Sarmidi, Ringgit Malaysia predictability: do currencies and prediction horizon matters? |
| title | Ringgit Malaysia predictability: do currencies and prediction horizon matters? |
| title_full | Ringgit Malaysia predictability: do currencies and prediction horizon matters? |
| title_fullStr | Ringgit Malaysia predictability: do currencies and prediction horizon matters? |
| title_full_unstemmed | Ringgit Malaysia predictability: do currencies and prediction horizon matters? |
| title_short | Ringgit Malaysia predictability: do currencies and prediction horizon matters? |
| title_sort | ringgit malaysia predictability: do currencies and prediction horizon matters? |
| url | http://journalarticle.ukm.my/3372/ http://www.ukm.my/penerbit/JEM/JEM-44-05-abstrak.html |
| url_provider | http://journalarticle.ukm.my/ |