Exchange Rate Volatility, Institutions and Growth: Evidence fiom Malaysia
Inspired by increasing evidence of nonlinear relationship of exchange rate and the importance to integrate the role of institutions, we have estimated the threshold value of exchange rate volatility in analyzing the relationship of exchange rate volatility, institutions and growth. The study is cond...
| Main Authors: | , , |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
2016
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| Subjects: | |
| Online Access: | https://repo.uum.edu.my/id/eprint/25196/1/ECoFI%202016%20308-316_1.PDF |
| _version_ | 1825805241548800000 |
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| author | Zainal, Zalina Sarmidi, Tamat Shaari MOhd Nor, Abu Hassan |
| author_facet | Zainal, Zalina Sarmidi, Tamat Shaari MOhd Nor, Abu Hassan |
| author_sort | Zainal, Zalina |
| collection | UUM |
| description | Inspired by increasing evidence of nonlinear relationship of exchange rate and the importance to integrate the role of institutions, we have estimated the threshold value of exchange rate volatility in analyzing the relationship of exchange rate volatility, institutions and growth. The study is conducted on Malaysia, using quarterly data from 1984 to 2013. Further, the non-monotonicity relationship is analyzed by employing threshold regression adapted from Hansen (2000). The results suggest that there is an evidence of threshold effect in the relationship between exchange rate volatility and economic growth. Interestingly, the study finds that the negative effect of exchange rate volatility is reduced for countries with good institutions. The negative effect is effective only after certain level of volatility is archived. In conclusion, the study shows that the volatility of the exchange rate adversely affect economic growth and the effects vary according to the level of
volatility, however good quality of institution is able to reduce the negative impact on economic growth. |
| first_indexed | 2024-07-04T06:29:04Z |
| format | Conference or Workshop Item |
| id | uum-25196 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T06:29:04Z |
| publishDate | 2016 |
| record_format | eprints |
| spelling | uum-251962018-12-11T02:38:16Z https://repo.uum.edu.my/id/eprint/25196/ Exchange Rate Volatility, Institutions and Growth: Evidence fiom Malaysia Zainal, Zalina Sarmidi, Tamat Shaari MOhd Nor, Abu Hassan HB Economic Theory Inspired by increasing evidence of nonlinear relationship of exchange rate and the importance to integrate the role of institutions, we have estimated the threshold value of exchange rate volatility in analyzing the relationship of exchange rate volatility, institutions and growth. The study is conducted on Malaysia, using quarterly data from 1984 to 2013. Further, the non-monotonicity relationship is analyzed by employing threshold regression adapted from Hansen (2000). The results suggest that there is an evidence of threshold effect in the relationship between exchange rate volatility and economic growth. Interestingly, the study finds that the negative effect of exchange rate volatility is reduced for countries with good institutions. The negative effect is effective only after certain level of volatility is archived. In conclusion, the study shows that the volatility of the exchange rate adversely affect economic growth and the effects vary according to the level of volatility, however good quality of institution is able to reduce the negative impact on economic growth. 2016 Conference or Workshop Item PeerReviewed application/pdf en https://repo.uum.edu.my/id/eprint/25196/1/ECoFI%202016%20308-316_1.PDF Zainal, Zalina and Sarmidi, Tamat and Shaari MOhd Nor, Abu Hassan (2016) Exchange Rate Volatility, Institutions and Growth: Evidence fiom Malaysia. In: 3* Annual ECoFI Symposium 2016 18-19 December 2016, Kedah, Malaysia, 18-19 Dicember 2016, Universiti Utara Malaysia,Kedah. |
| spellingShingle | HB Economic Theory Zainal, Zalina Sarmidi, Tamat Shaari MOhd Nor, Abu Hassan Exchange Rate Volatility, Institutions and Growth: Evidence fiom Malaysia |
| title | Exchange Rate Volatility, Institutions and Growth: Evidence fiom Malaysia |
| title_full | Exchange Rate Volatility, Institutions and Growth: Evidence fiom Malaysia |
| title_fullStr | Exchange Rate Volatility, Institutions and Growth: Evidence fiom Malaysia |
| title_full_unstemmed | Exchange Rate Volatility, Institutions and Growth: Evidence fiom Malaysia |
| title_short | Exchange Rate Volatility, Institutions and Growth: Evidence fiom Malaysia |
| title_sort | exchange rate volatility institutions and growth evidence fiom malaysia |
| topic | HB Economic Theory |
| url | https://repo.uum.edu.my/id/eprint/25196/1/ECoFI%202016%20308-316_1.PDF |
| work_keys_str_mv | AT zainalzalina exchangeratevolatilityinstitutionsandgrowthevidencefiommalaysia AT sarmiditamat exchangeratevolatilityinstitutionsandgrowthevidencefiommalaysia AT shaarimohdnorabuhassan exchangeratevolatilityinstitutionsandgrowthevidencefiommalaysia |