Exchange rate shock on Malaysian prices of imports and exports: An empirical analysis

Exchange rate shock on Malaysian prices of imports and exports: An empirical analysis

This study examines the significant impact of exchange rate shock on prices of Malaysian imports and exports. In methodology, the study adopts vector error connection (VECM) model using monthly data on nominal exchange rates, money supply, prices of imports and prices of exports covering the period...

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Main Author: Duasa, Jarita
Format: Article
Language:English
Published: The Statistical, Economic and Social Research and Training Centre for Islamic Countries (SESRIC) 2009
Subjects:
H Social Sciences (General)
HB Economic Theory
HC Economic History and Conditions
Online Access:http://irep.iium.edu.my/7971/
http://irep.iium.edu.my/7971/
http://irep.iium.edu.my/7971/1/Exchange_rate_shock_on_Malaysian_prices_of_imports_and_exports_An_empirical_analysis.pdf
id iium-7971
recordtype eprints
spelling iium-79712011-11-24T21:29:08Z http://irep.iium.edu.my/7971/ Exchange rate shock on Malaysian prices of imports and exports: An empirical analysis Duasa, Jarita H Social Sciences (General) HB Economic Theory HC Economic History and Conditions This study examines the significant impact of exchange rate shock on prices of Malaysian imports and exports. In methodology, the study adopts vector error connection (VECM) model using monthly data on nominal exchange rates, money supply, prices of imports and prices of exports covering the period of M1:1999 to M12:2006. For further analysis, we adopt an innovation accounting by simulating variance decompositions (VDC) and impulse response functions (IRF). VDC and IRF serve as tools for evaluating the dynamic interactions and strength of causal relations among variables in the system. In fact, IRF is used to calculate the exchange rate pass-through on import prices and export prices. The findings indicate that, while the exchange rate shock is significantly affect the fluctuation of import prices, the degree of pass-through is incomplete. The Statistical, Economic and Social Research and Training Centre for Islamic Countries (SESRIC) 2009-07 Article PeerReviewed application/pdf en http://irep.iium.edu.my/7971/1/Exchange_rate_shock_on_Malaysian_prices_of_imports_and_exports_An_empirical_analysis.pdf Duasa, Jarita (2009) Exchange rate shock on Malaysian prices of imports and exports: An empirical analysis. Journal of Economic Cooperation and Development, 30 (3). pp. 99-114. ISSN 1308-7800 http://www.accessecon.com/Pubs/EB/2009/Volume29/EB-09-V29-I4-P23.pdf
repository_type Digital Repository
institution_category Local University
institution International Islamic University Malaysia
building IIUM Repository
collection Online Access
language English
topic H Social Sciences (General)
HB Economic Theory
HC Economic History and Conditions
spellingShingle H Social Sciences (General)
HB Economic Theory
HC Economic History and Conditions
Duasa, Jarita
Exchange rate shock on Malaysian prices of imports and exports: An empirical analysis
description This study examines the significant impact of exchange rate shock on prices of Malaysian imports and exports. In methodology, the study adopts vector error connection (VECM) model using monthly data on nominal exchange rates, money supply, prices of imports and prices of exports covering the period of M1:1999 to M12:2006. For further analysis, we adopt an innovation accounting by simulating variance decompositions (VDC) and impulse response functions (IRF). VDC and IRF serve as tools for evaluating the dynamic interactions and strength of causal relations among variables in the system. In fact, IRF is used to calculate the exchange rate pass-through on import prices and export prices. The findings indicate that, while the exchange rate shock is significantly affect the fluctuation of import prices, the degree of pass-through is incomplete.
format Article
author Duasa, Jarita
author_facet Duasa, Jarita
author_sort Duasa, Jarita
title Exchange rate shock on Malaysian prices of imports and exports: An empirical analysis
title_short Exchange rate shock on Malaysian prices of imports and exports: An empirical analysis
title_full Exchange rate shock on Malaysian prices of imports and exports: An empirical analysis
title_fullStr Exchange rate shock on Malaysian prices of imports and exports: An empirical analysis
title_full_unstemmed Exchange rate shock on Malaysian prices of imports and exports: An empirical analysis
title_sort exchange rate shock on malaysian prices of imports and exports: an empirical analysis
publisher The Statistical, Economic and Social Research and Training Centre for Islamic Countries (SESRIC)
publishDate 2009
url http://irep.iium.edu.my/7971/
http://irep.iium.edu.my/7971/
http://irep.iium.edu.my/7971/1/Exchange_rate_shock_on_Malaysian_prices_of_imports_and_exports_An_empirical_analysis.pdf
first_indexed 2023-09-18T20:17:32Z
last_indexed 2023-09-18T20:17:32Z
_version_ 1777407887477309440

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