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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