UPSI Digital Repository (UDRep)
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UPSI Digital Repository (UDRep)
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| Abstract : Perpustakaan Tuanku Bainun |
| The thesis comprises three essays, all of which are empirical studies of different issues on_ exchange rates. Implementing advanced econometrics methodologies with monthly time series data,_ these studies focus on macroeconomic determinants to measure the relationships within the_ variables. The first essay (Chapter Two) re-examines the robustness of the export-led growth_ hypothesis across the exchange rate regimes in Malaysia. According to the exchange rate regime_ history, Malaysia experienced three different exchange rate mechanisms from 1990 to 20l0._ Generally, the results vary across the time and regimes. Specifically, the study suggests_ bi-directional and/or unidirectional causality between exports and economic growth across the_ regimes, both in the short-run and long-run. The second essay (Chapter Three) tries to bridge the_ gap between the exchange rate issues by investigating the impact exchange rate exposure on sector_ level in Malaysia from October, 1992 to December, 2010. The purpose of this study is to examine the_ impact of the exchange rate exposure in Malaysia sectorial returns by using an augmented model._ Overall, in all instances, the results suggest that the exchange rate exposures in Malaysia can be_ categorized as the long memory in the volatility process. After investigating currency exposure in_ two types of models, the results further suggest that the sectors are largely affected by the_ currency fluctuations. The third essay (Chapter Four) explores the channels and magnitude of_ exchange rate volatility-export nexus empirically on th_ export flow of five ASEAN countries_ namely, Singapore, Malaysia, Thailand, Philippines and Indonesia to the United States from January,_ 1990 to December, 2010. The major results show that increases in the volatility of the real_ bilateral exchange rate, exert significant effects upon export demand in the short run in each of_ the ASEAN countries. This study further suggests significant negative effects from the bilateral_ exchange rate volatility of exports flow in Singapore, Malaysia and Philippines. However, these findings do not apply to Indonesia and Thailand. _ |
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