IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Forecasting Malaysian Ringgit: Before and After The Global Crisis

  • Chan Tze-Haw

    ()

    (Graduate School of Business, Universiti Sains Malaysia, 11800 Pulau Pinang, Malaysia)

  • Lye Chun Teck

    (Faculty of Business, Multimedia University, Jalan Ayer Keroh Lama, 75450 Ayer Keroh, Melaka, Malaysia)

  • Hooy Chee Wooi

    (School of Management, Universiti Sains Malaysia, 11800 Pulau Pinang, Malaysia)

The forecasting of exchange rates remains a difficult task due to global crises and authority interventions. This study employs the monetary-portfolio balance exchange rate model and its unrestricted version in the analysis of Malaysian Ringgit during the post-Bretton Wood era (1991M1–2012M12), before and after the subprime crisis. We compare two Artificial Neural Network (ANN) estimation procedures (MLFN and GRNN) with the random walks (RW) and the Vector Autoregressive (VAR) methods. The out-of sample forecasting assessment reveals the following. First, the unrestricted model has superior forecasting performance compared to the original model during the 24-month forecasting horizon. Second, the ANNs have outperformed both the RW and VAR forecasts in all cases. Third, the MLFNs consistently outperform the GRNNs in both exchange rate models in all evaluation criteria. Fourth, forecasting performance is weakened when the post-subprime crisis period was included. In brief, economic fundamentals are still vital in forecasting the Malaysian Ringgit, but the monetary mechanism may not sufficiently work through foreign exchange adjustments in the short run due to global uncertainties. These findings are beneficial for policy making, investment modelling, and corporate planning.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://web.usm.my/journal/aamjaf/vol9-2-2013/AAMJAF9-2-art7(155-175).pdf
Download Restriction: no

Article provided by Penerbit Universiti Sains Malaysia in its journal Asian Academy of Management Journal of Accounting and Finance.

Volume (Year): 9 (2013)
Issue (Month): 2 ()
Pages: 157-175

as
in new window

Handle: RePEc:usm:journl:aamjaf00902_157-175
Contact details of provider: Web page: http://web.usm.my/aamj/

More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:usm:journl:aamjaf00902_157-175. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Journal Division)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.