Exchange rate misalignment, volatility and malaysian export flows

Mohd Naseem Niaz Ahmad, Siti Hamizah Mohd, Tajul Ariffin Masron

    Research output: Contribution to journalArticle

    3 Citations (Scopus)

    Abstract

    This paper investigates the effects of real exchange rate misalignment and volatility on Malaysian export flows for the pre-crisis and crisis periods over the period spanning from 1991:Q1 to 2003:Q3. A measure of the quantitative proxy of the real exchange rate misalignment is constructed through the Natural Real Exchange Rate (NATREX) equilibrium model, and the volatility of real exchange rate is generated from the GARCH (1, 1) model. This paper differs from those previously published as the effects of exchange rate misalignment in terms of overvalued and undervalued exchange rates has significantly hastened the level of Malaysian exports for both the pre-crisis and crisis periods. In the meantime, the exchange rate volatility has merely promoted the Malaysian exports during the crisis period. This suggests that the exchange rate misalignment and volatility has played an important role in inspiring Malaysian export flows, especially during the 1997 Asian financial crisis when the economy was distressed.

    Original languageEnglish
    Pages (from-to)51-70
    Number of pages20
    JournalInternational Journal of Business and Society
    Volume11
    Issue number2
    Publication statusPublished - Dec 2010

    Fingerprint

    Misalignment
    Exchange rates
    Real exchange rate
    Asian financial crisis
    Generalized autoregressive conditional heteroscedasticity
    Exchange rate volatility

    Keywords

    • ARDL Bounds Test
    • Asian Crisis
    • Real Exchange Rate Misalignment
    • Volatility

    ASJC Scopus subject areas

    • Economics and Econometrics
    • Finance
    • Strategy and Management
    • Business and International Management

    Cite this

    Exchange rate misalignment, volatility and malaysian export flows. / Ahmad, Mohd Naseem Niaz; Mohd, Siti Hamizah; Masron, Tajul Ariffin.

    In: International Journal of Business and Society, Vol. 11, No. 2, 12.2010, p. 51-70.

    Research output: Contribution to journalArticle

    Ahmad, Mohd Naseem Niaz ; Mohd, Siti Hamizah ; Masron, Tajul Ariffin. / Exchange rate misalignment, volatility and malaysian export flows. In: International Journal of Business and Society. 2010 ; Vol. 11, No. 2. pp. 51-70.
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