Evaluating the exchange rate and commodity price nexus in Malaysia: evidence from the threshold cointegration approach

Evaluating the exchange rate and commodity price nexus in Malaysia: evidence from the threshold cointegration approach

Abstract This paper examines the long- and short-run dynamics of asymmetric adjustment between the nominal exchange rate and commodity prices, namely oil, palm oil, rubber, and natural gas prices, in Malaysia using monthly data from January 1994 to December 2017. The relationship between exchange ra...

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Bibliographic Details
Main Authors: Shamaila Butt, Suresh Ramakrishnan, Nanthakumar Loganathan, Muhammad Ali Chohan
Format: Article
Language:English
Published: SpringerOpen 2020-04-01
Series:Financial Innovation
Subjects:
Commodity prices
Exchange rate
Threshold cointegration
Online Access:http://link.springer.com/article/10.1186/s40854-020-00181-6

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