对马来西亚汇率波动的解释
摘要:汇率是一个国家相对健康的经济水平最重要的一个因素。在一个国家的贸易中，汇率起着至关重要的作用,这也是世界上大多数自由市场经济的关键点。本文试图分析马来西亚在1999 - 2009年之间的利率、通货膨胀率和汇率波动之间的关系。本文采用时间序列平稳性的向量误差修正模型(结果)进行了平稳性检验、协整检验、稳定性测试和格兰杰因果关系检验。还采用了脉冲响应函数(IRF)来解释冲击变量之间的反应。结果表明, 就像葛兰哲因果关系表示的那样，通货膨胀率对利率产生了影响，随后利率又影响了汇率。假定存在一个长期的关系,利率积极浮动的同时通货膨胀率的表现却是消极的，从而导致了马来西亚的汇率波动。本文的目的是证明提高利率能够有效地抑制汇率波动。未来研究人员可以利用固定样本数据试图通过其他变量来进行十多年的长期研究。
Explaining Exchange Rate Volatility In Malaysia
Abstract: The exchange rate is one of the most important determinants of a country's relative level of economic health. Exchange rate plays a vital role in a country's level of trade, which is critical to most free market economies in the world. This paper is an attempt to analyze the relationship between interest rate, inflation rate and exchange rate volatility in Malaysia covering the period between 1999-2009. This paper used time-series Vector Error Correction Model (VECM) approach of stationarity test, cointegration test, stability test and Granger causality test. Impulse Response Function (IRF) has also been generated to explain the response to shock amongst the variables. The results show that the inflation rate impacts the interest rate as indicated by Granger-cause. Subsequently the interest rate influences the exchange rate as shown by the Granger cause test. Taking into account a long term relationship, interest rate moves positively while inflation rate goes negatively towards exchange rate volatility in Malaysia. The implication of this study is that increasing the interest rate can be efficient in restraining exchange rate volatility. Future researchers should attempt to use panel data and cover longer study duration of above10 years by using other variables.
Keywords: Exchange rate ? Interest rate ? Inflation rate ? Vector Error Correction Model (VECM) ? Impulse Response Function
INTRODUCTION
Exchange rates play a vital role in a country's level of trade, which is critical to most every free market economies in the world. For this reason, exchange rates are among the most watched analyzed and governmentally manipulated economic measures [1] and most countries attempted to moderate their domestic currency fluctuations by imposing regulatory restrictions on exchange rate movements [1]. However, controlling the exchange rate could be very costly, and even become pointless, when speculators attack a currency, even under government protection. High interest rate will prevent capital outflows, hinder economic growth and, consequently, hurt the economy [2].
In July 1997, financial crisis has gripped much of Asia. The crisis started in Thailand with the financial collapse of the Thai baht caused by the decision of the Thai government to float the baht, cutting its peg to the USD, after exhaustive efforts to support it in the face of a severe financial over extension that was in part real estate driven [3]. Malaysia was also under “attacked” by speculators within days of the Thai baht devaluation. Then the premier, Mahathir Mohammad imposed strict capital controls and introduced a MYR3.80 peg against the US dollar.
Therefore, it would be interesting to explore the factors of exchange rate volatility in Malaysia. The study intended to look at the factors of exchange rate movements in Malaysia. In linking exchange rate changes with changes in interest and inflation rates, the International Fisher Effect theory states that the future spot rate of exchange can be determined from nominal interest differential. According to [4], the differences in anticipated inflation that are embedded in the nominal interest rates are expected to affect the future spot rate of exchange.
An exchange rate has been defined by [5] as a relative price of two national monies. More specifically, it can be stated that the exchange rate is the ratio between a unit of one currency and the amount of another currency for which that unit can be exchanged at a particular time. The macroeconomic analysis o
