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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| Format: | Article |
| Language: | English |
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Bina Nusantara University
2021-12-01
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| Series: | Journal of ASEAN Studies |
| Subjects: | |
| Online Access: | https://journal.binus.ac.id/index.php/jas/article/view/7517 |
| _version_ | 1818976286951866368 |
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| author | Mohd Jaffri Abu Bakar Nanthakumar Loganathan Asan Ali Golam Hassan Tirta Nugraha Mursitama |
| author_facet | Mohd Jaffri Abu Bakar Nanthakumar Loganathan Asan Ali Golam Hassan Tirta Nugraha Mursitama |
| author_sort | Mohd Jaffri Abu Bakar |
| collection | DOAJ |
| 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. |
| first_indexed | 2024-12-20T16:09:26Z |
| format | Article |
| id | doaj.art-5b45526841d84552959f9efa61c2cba2 |
| institution | Directory Open Access Journal |
| issn | 2338-1361 2338-1353 |
| language | English |
| last_indexed | 2024-12-20T16:09:26Z |
| publishDate | 2021-12-01 |
| publisher | Bina Nusantara University |
| record_format | Article |
| series | Journal of ASEAN Studies |
| spelling | doaj.art-5b45526841d84552959f9efa61c2cba22022-12-21T19:34:02ZengBina Nusantara UniversityJournal of ASEAN Studies2338-13612338-13532021-12-019210.21512/jas.v9i2.75176591THE EFFECTS OF INTEREST RATE ON REAL EFFECTIVE EXCHANGE RATE VOLATILITY SPILLOVER IN MALAYSIA AND THAILAND: EMPIRICAL EVIDENCEMohd Jaffri Abu Bakar0Nanthakumar Loganathan1Asan Ali Golam Hassan2Tirta Nugraha Mursitama3Universiti Teknologi MalaysiaUniversiti Teknologi MalaysiaUniversiti Teknologi Malaysia Bina Nusantara UniversityThe 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.https://journal.binus.ac.id/index.php/jas/article/view/7517asymmetric analysisinterest ratenonlinear causalityreal effective exchange rate |
| spellingShingle | Mohd Jaffri Abu Bakar Nanthakumar Loganathan Asan Ali Golam Hassan Tirta Nugraha Mursitama THE EFFECTS OF INTEREST RATE ON REAL EFFECTIVE EXCHANGE RATE VOLATILITY SPILLOVER IN MALAYSIA AND THAILAND: EMPIRICAL EVIDENCE Journal of ASEAN Studies asymmetric analysis interest rate nonlinear causality real effective exchange rate |
| title | 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_short | 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 |
| topic | asymmetric analysis interest rate nonlinear causality real effective exchange rate |
| url | https://journal.binus.ac.id/index.php/jas/article/view/7517 |
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