Please use this identifier to cite or link to this item: http://ir.unikl.edu.my/jspui/handle/123456789/23651
metadata.conference.dc.title: Crude Oil Price and Exchange Rates - The Case of Malaysia and Brunei
metadata.conference.dc.contributor.*: Abdul Razak Abdul Hadi
Hafezali Iqbal Hussain
Zalina Zainudin
Raja Reha
metadata.conference.dc.subject: Malaysian Exchange Rate
Brunei Exchange Rate
Asian Debt Crisis 1997
Engle-Granger Cointegration Test
West Texas Intermediate Price
OPEC
metadata.conference.dc.date.issued: 10-Jun-2019
metadata.conference.dc.publisher: International Journal of Financial Research
metadata.conference.dc.description.abstract: This study is driven by the motivation to investigate the impacts crude oil price fluctuations on Malaysian and Brunei exchange rates as proxied by RM/USD and BD/USD respectively. Even though there is no specific economic theories that can help explain the interaction between commodity and foreign exchange markets, the study is research-worthy as both Malaysia and Brunei are major oil-exporting countries in South East Asia. This study is considered quite extensive involving 370 data points spanning from January 1988 till October 2018. Using Engle-Granger 2-Step Cointegration Test (1987) as an estimation tool, the empirical results show the presence of long-term equilibrium relationship between the two national currencies and crude oil price. Interestingly, there is also a significant short-run causality between them in both countries. With respect to the short-run dynamics, there is a unidirectional causality running from crude oil price to the two exchange rates. The study also posits that RM is less prone to changes in crude oil price during the period before Asian Debt Crisis in 1997. After the removal of RM peg in June 2005, RM is found to be more sensitive towards changes in crude oil price over short haul. In summary, the significant equilibrium and dynamic relationships between the national currencies and crude oil price are therefore confirmed and perhaps the quotation of crude oil price in USD could be one of the explanations.
metadata.conference.dc.identifier.uri: 10.5430/ijfr.v10n5p1
http://ir.unikl.edu.my/jspui/handle/123456789/23651
metadata.conference.dc.identifier.issn: 1923-4023
1923-4031
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