揭开马来西亚能源价格和汇率之间的联系:从非线性角度的新见解,使用值共同整合分析
Shamaila Butt1, Muhammad Ramzan2,3, Wing-Keung Wong4,5,6
1Guangdong Chinese Academy of Sciences (CAS) Cogniser, Information Technology, Co., Ltd., Room 201, No. 221, Huanshi Avenue West, Nansha District, 511458, Guangzhou, Guangdong, China.
Heliyon
|March 4, 2024
概括
能源价格显著影响马来西亚马来西亚.
科学领域:
- 经济学 经济学 经济学
- 计量经济学 计量经济学
- 金融市场 金融市场
背景情况:
- 汇率动态对于经济稳定至关重要.
- 了解名义汇率的驱动因素对于政策制定至关重要.
- 现有的模型可能无法完全捕捉汇率确定中的非线性关系.
研究的目的:
- 调查能源价格与马来西亚名义汇率之间的非线性关系.
- 分析货币供应,收入和利率对这种关系的影响.
- 为了更细致的分析,采用值共同整合框架.
主要方法:
- 使用了一个非线性值联合整合框架.
- 雇员门自回归 (TAR) 和动量门自回归 (MTAR) 模型.
- 应用了动量值向量错误校正模型 (VECM) 对于短期动态.
主要成果:
- 能源价格,货币供应和利率显著影响汇率的非线性调整.
- 该研究确定了与长期平衡短期偏差的非线性调整过程.
- 这些因素在捕捉短期汇率波动方面发挥着关键作用.
结论:
- 能源价格对马来西亚的名义汇率有很大影响.
- 这些发现强调了将能源价格动态纳入汇率政策的重要性.
- 决策者应该考虑这些非线性效应,以便明智制定经济政策.
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