Ringgit Malaysia predictability

Do currencies and prediction horizon matters?

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

The main objective of this study is to investigate the predictability of Malaysian ringgit against currencies that are regarded as fundamentally unstable. The study is motivated by a hypothesis that postulates the performance of exchange rate predictability is better-off for currencies with weak macroeconomic fundamentals or monetary instability. We employ bootstrap technique as proposed by Mark (1995) and later improved by Kilian (1999) to alleviate statistical inference intricacies inherit in the long horizon forecasting to three different monetary models (flexible, sticky and relative price) for ringgit against selected developing economies' currencies. The empirical result shows the superiority of sticky price model for all prediction horizons along with the evidence of exchange rate predictability for ringgit against high inflation economies.

Original languageEnglish
Pages (from-to)51-60
Number of pages10
JournalJurnal Ekonomi Malaysia
Volume44
Issue number1
Publication statusPublished - 2010

Fingerprint

Predictability
Currency
Prediction
Malaysia
Exchange rates
Sticky prices
Developing economies
Empirical results
High inflation
Bootstrap
Statistical inference
Relative prices
Macroeconomic fundamentals

Keywords

  • Forecasting
  • Foreign exchange
  • International finance
  • Simulation

ASJC Scopus subject areas

  • Business, Management and Accounting (miscellaneous)

Cite this

Ringgit Malaysia predictability : Do currencies and prediction horizon matters? / Sarmidi, Tamat.

In: Jurnal Ekonomi Malaysia, Vol. 44, No. 1, 2010, p. 51-60.

Research output: Contribution to journalArticle

@article{4f988b37c8584e55b9b58bc8cbee620c,
title = "Ringgit Malaysia predictability: Do currencies and prediction horizon matters?",
abstract = "The main objective of this study is to investigate the predictability of Malaysian ringgit against currencies that are regarded as fundamentally unstable. The study is motivated by a hypothesis that postulates the performance of exchange rate predictability is better-off for currencies with weak macroeconomic fundamentals or monetary instability. We employ bootstrap technique as proposed by Mark (1995) and later improved by Kilian (1999) to alleviate statistical inference intricacies inherit in the long horizon forecasting to three different monetary models (flexible, sticky and relative price) for ringgit against selected developing economies' currencies. The empirical result shows the superiority of sticky price model for all prediction horizons along with the evidence of exchange rate predictability for ringgit against high inflation economies.",
keywords = "Forecasting, Foreign exchange, International finance, Simulation",
author = "Tamat Sarmidi",
year = "2010",
language = "English",
volume = "44",
pages = "51--60",
journal = "Jurnal Ekonomi Malaysia",
issn = "0126-1962",
publisher = "Penerbit Universiti Kebangsaan Malaysia",
number = "1",

}

TY - JOUR

T1 - Ringgit Malaysia predictability

T2 - Do currencies and prediction horizon matters?

AU - Sarmidi, Tamat

PY - 2010

Y1 - 2010

N2 - The main objective of this study is to investigate the predictability of Malaysian ringgit against currencies that are regarded as fundamentally unstable. The study is motivated by a hypothesis that postulates the performance of exchange rate predictability is better-off for currencies with weak macroeconomic fundamentals or monetary instability. We employ bootstrap technique as proposed by Mark (1995) and later improved by Kilian (1999) to alleviate statistical inference intricacies inherit in the long horizon forecasting to three different monetary models (flexible, sticky and relative price) for ringgit against selected developing economies' currencies. The empirical result shows the superiority of sticky price model for all prediction horizons along with the evidence of exchange rate predictability for ringgit against high inflation economies.

AB - The main objective of this study is to investigate the predictability of Malaysian ringgit against currencies that are regarded as fundamentally unstable. The study is motivated by a hypothesis that postulates the performance of exchange rate predictability is better-off for currencies with weak macroeconomic fundamentals or monetary instability. We employ bootstrap technique as proposed by Mark (1995) and later improved by Kilian (1999) to alleviate statistical inference intricacies inherit in the long horizon forecasting to three different monetary models (flexible, sticky and relative price) for ringgit against selected developing economies' currencies. The empirical result shows the superiority of sticky price model for all prediction horizons along with the evidence of exchange rate predictability for ringgit against high inflation economies.

KW - Forecasting

KW - Foreign exchange

KW - International finance

KW - Simulation

UR - http://www.scopus.com/inward/record.url?scp=80955122848&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=80955122848&partnerID=8YFLogxK

M3 - Article

VL - 44

SP - 51

EP - 60

JO - Jurnal Ekonomi Malaysia

JF - Jurnal Ekonomi Malaysia

SN - 0126-1962

IS - 1

ER -