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Short-Run Determinants of the USD/MYR Exchange Rate

Author

Listed:
  • Yu Hsing

    (Southeastern Louisiana University)

Abstract

This paper examines short-run determinants of the U.S. dollar/Malaysian ringgit (USD/MYR) exchange rate based on a simultaneous-equation model. Applying the EGARCH model, the paper finds that the USD/MYR exchange rate is positively associated with the Malaysian real government Treasury bill rate, U.S. real GDP, the Malaysian real stock index and the expected exchange rate and is negatively influenced by the U.S. real Treasury bill rate, Malaysian real GDP and the U.S. real stock index. The Asian financial crisis has shifted the exchange rate function downward.

Suggested Citation

  • Yu Hsing, 2015. "Short-Run Determinants of the USD/MYR Exchange Rate," Economics Bulletin, AccessEcon, vol. 35(1), pages 97-105.
    • Handle: RePEc:ebl:ecbull:eb-14-00979
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    References listed on IDEAS

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    More about this item

    Keywords

    exchange rates; interest rates; real GDP; stock indexes; EGARCH;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

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