The effects of crude oil price volatility, stock price, exchange rate and interest rate on Malaysia’s economic growth

Rahim, Farah and Hamid, Zarinah (2020) The effects of crude oil price volatility, stock price, exchange rate and interest rate on Malaysia’s economic growth. In: 2019 International Conference on Applied Economics (ICOAE 2019), 4 - 6 July 2019, Milan, Italy.

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Abstract

This study examines the effects and relationships between Malaysia’s economic growth and selected variables which are oil price volatility, stock price, real exchange rate and real interest rate. Using time-series data methodology, the study employs unit root test using Augmented Dickey–Fuller (ADF) and Phillips–Perron (PP), Auto-Regressive Distribution Lag (ARDL) model supplemented by Bounds F-Testing, Johansen-Julius Co-integration test and Granger causality test. The long�run equation derived from ARDL shows that there are positive relationships for stock price and real exchange rate whilst there are negative relationships between oil price volatility and real interest rate. Furthermore, Granger causality test shows that only stock price and real interest rates have an impact on Malaysia’s gross domestic product (GDP) in the short run. Finally, sound policy recommendations are suggested, in particular, to address oil price volatility in a forward looking manner as well as monetary-friendly measures to further support Malaysia’s economic growth.

Item Type:	Conference or Workshop Item (Plenary Papers)
Additional Information:	728/80144
Uncontrolled Keywords:	Economic growth, Malaysia, Oil price volatility
Subjects:	H Social Sciences > HB Economic Theory H Social Sciences > HB Economic Theory > HB131 Methodology.Mathematical economics. Quantitative methods H Social Sciences > HB Economic Theory > HB3711 Business cycles. Economic fluctuations H Social Sciences > HG Finance H Social Sciences > HG Finance > HG4001 Financial management. Business finance. Corporation finance.
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Kulliyyah of Economics and Management Sciences Kulliyyah of Economics and Management Sciences > Department of Economics
Depositing User:	Dr. Zarinah Hamid
Date Deposited:	20 May 2020 13:31
Last Modified:	10 Jul 2020 15:24
URI:	http://irep.iium.edu.my/id/eprint/80144

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