Examining between Exchange Rate Volatility and Natural Rubber Prices: Engle-Granger Causality Test
There are two objectives of this study, first, it is to determine the impact of exchange rate volatility on Malaysian natural rubber (NR) prices of (SMR20 and RSS4); second, it is to forecast a short-term exchange rate (ERP) of Malaysian Ringgit (RM per USD) and NR prices strongly represented in th...
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| Format: | Article |
| Language: | English |
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EconJournals
2017-12-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://www.econjournals.com/index.php/ijefi/article/view/5572 |
| _version_ | 1797918372190486528 |
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| author | Aye Aye Khin Wong Hong Chau Ung Leng Yean Ooi Chee Keong Raymond Ling Leh Bin |
| author_facet | Aye Aye Khin Wong Hong Chau Ung Leng Yean Ooi Chee Keong Raymond Ling Leh Bin |
| author_sort | Aye Aye Khin |
| collection | DOAJ |
| description |
There are two objectives of this study, first, it is to determine the impact of exchange rate volatility on Malaysian natural rubber (NR) prices of (SMR20 and RSS4); second, it is to forecast a short-term exchange rate (ERP) of Malaysian Ringgit (RM per USD) and NR prices strongly represented in the Malaysian NR market. The granger causality test is first analyzed using the vector error correction model (VECM) with the more efficient Engle-Granger causality procedure. Both short-term ERP and NR prices ex-ante forecasts are tested using Pindyck and Rubinfeld's procedures. The result shows the RSS4 NR price Granger-causes the SMR20 NR price and also ERP with unidirectional causality relationship. Both ERP and NR prices forecasts would be on a slightly increasing trend from January to June 2016. It was due to government and traders changing their behaviour by increasing domestic consumptions for the stabilization of the NR supply-demand balance.
Keywords: Exchange Rate Volatility, Forecasting, Malaysian Natural Rubber Price
JEL Classifications: C1, C2, D4, F31, F37
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| first_indexed | 2024-04-10T13:28:02Z |
| format | Article |
| id | doaj.art-7af10aab4e8e4e1894a5d4b4fb82ca0d |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T13:28:02Z |
| publishDate | 2017-12-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-7af10aab4e8e4e1894a5d4b4fb82ca0d2023-02-15T16:11:46ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382017-12-01762995Examining between Exchange Rate Volatility and Natural Rubber Prices: Engle-Granger Causality TestAye Aye Khin0Wong Hong Chau1Ung Leng Yean2Ooi Chee Keong3Raymond Ling Leh Bin4​Assistant Professor, Faculty of Accountancy and Management (FAM), Universiti Tunku Abdul Rahman (UTAR), Lot PT21144, Jalan Sungai Long, Bandar Sungai Long Cheras, 43000 Kajang, Malaysia.Assistant Professor, Faculty of Accountancy and Management (FAM), Universiti Tunku Abdul Rahman (UTAR), Lot PT21144, Jalan Sungai Long, Bandar Sungai Long Cheras, 43000 Kajang, Malaysia.Senior Lecturer, Faculty of Accountancy and Management (FAM), Universiti Tunku Abdul Rahman (UTAR), Lot PT21144, Jalan Sungai Long, Bandar Sungai Long Cheras, 43000 Kajang, Malaysia.Assistant Professor, Faculty of Accountancy and Management (FAM), Universiti Tunku Abdul Rahman (UTAR), Lot PT21144, Jalan Sungai Long, Bandar Sungai Long Cheras, 43000 Kajang, Malaysia.Lecturer, Faculty of Accountancy and Management (FAM), Universiti Tunku Abdul Rahman (UTAR), Lot PT21144, Jalan Sungai Long, Bandar Sungai Long Cheras, 43000 Kajang, Malaysia. There are two objectives of this study, first, it is to determine the impact of exchange rate volatility on Malaysian natural rubber (NR) prices of (SMR20 and RSS4); second, it is to forecast a short-term exchange rate (ERP) of Malaysian Ringgit (RM per USD) and NR prices strongly represented in the Malaysian NR market. The granger causality test is first analyzed using the vector error correction model (VECM) with the more efficient Engle-Granger causality procedure. Both short-term ERP and NR prices ex-ante forecasts are tested using Pindyck and Rubinfeld's procedures. The result shows the RSS4 NR price Granger-causes the SMR20 NR price and also ERP with unidirectional causality relationship. Both ERP and NR prices forecasts would be on a slightly increasing trend from January to June 2016. It was due to government and traders changing their behaviour by increasing domestic consumptions for the stabilization of the NR supply-demand balance. Keywords: Exchange Rate Volatility, Forecasting, Malaysian Natural Rubber Price JEL Classifications: C1, C2, D4, F31, F37 https://www.econjournals.com/index.php/ijefi/article/view/5572 |
| spellingShingle | Aye Aye Khin Wong Hong Chau Ung Leng Yean Ooi Chee Keong Raymond Ling Leh Bin Examining between Exchange Rate Volatility and Natural Rubber Prices: Engle-Granger Causality Test International Journal of Economics and Financial Issues |
| title | Examining between Exchange Rate Volatility and Natural Rubber Prices: Engle-Granger Causality Test |
| title_full | Examining between Exchange Rate Volatility and Natural Rubber Prices: Engle-Granger Causality Test |
| title_fullStr | Examining between Exchange Rate Volatility and Natural Rubber Prices: Engle-Granger Causality Test |
| title_full_unstemmed | Examining between Exchange Rate Volatility and Natural Rubber Prices: Engle-Granger Causality Test |
| title_short | Examining between Exchange Rate Volatility and Natural Rubber Prices: Engle-Granger Causality Test |
| title_sort | examining between exchange rate volatility and natural rubber prices engle granger causality test |
| url | https://www.econjournals.com/index.php/ijefi/article/view/5572 |
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