Exchange rate shock on Malaysian prices of imports and exports: An empirical analysis

Duasa, Jarita (2009) Exchange rate shock on Malaysian prices of imports and exports: An empirical analysis. Journal of Economic Cooperation and Development, 30 (3). pp. 99-114. ISSN 1308-7800

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Abstract

This study examines the significant impact of exchange rate shock on prices of Malaysian imports and exports. In methodology, the study adopts vector error connection (VECM) model using monthly data on nominal exchange rates, money supply, prices of imports and prices of exports covering the period of M1:1999 to M12:2006. For further analysis, we adopt an innovation accounting by simulating variance decompositions (VDC) and impulse response functions (IRF). VDC and IRF serve as tools for evaluating the dynamic interactions and strength of causal relations among variables in the system. In fact, IRF is used to calculate the exchange rate pass-through on import prices and export prices. The findings indicate that, while the exchange rate shock is significantly affect the fluctuation of import prices, the degree of pass-through is incomplete.

Item Type:	Article (Journal)
Additional Information:	3479/7971
Uncontrolled Keywords:	import prices, export prices, VECM, impulse response, variance decomposition
Subjects:	H Social Sciences > H Social Sciences (General) H Social Sciences > HB Economic Theory H Social Sciences > HC Economic History and Conditions
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Kulliyyah of Economics and Management Sciences > Department of Economics
Depositing User:	Nur' Aini Abu Bakar
Date Deposited:	25 Nov 2011 05:29
Last Modified:	25 Nov 2011 05:29
URI:	http://irep.iium.edu.my/id/eprint/7971

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