Impact of exchange rate volatility on import flows: The case of Malaysia and the United States

Wong, Yii Siing and Ho, Chong Mun and Dollery, Brian E. (2012) Impact of exchange rate volatility on import flows: The case of Malaysia and the United States. Applied Financial Economics Volume 20, Issue 3, February 2010, Pages 255-264 , 22 (24). pp. 2027-2034. ISSN 0960-3107

[img]
Preview
PDF
45Kb

Official URL: http://dx.doi.org/10.1080/09603107.2012.697120

Abstract

This article investigates empirically both linear and nonlinear relationships between exchange rate volatility and import flows for the United States and Malaysia. Previous empirical work has neglected nonlinear relationships, focusing instead on linear causal relationships between exchange rate volatility and import flows, which may have generated misleading conclusions. Using annual American and Malaysian data for the periods 1975/2009 and 1980/2009, this article differs from earlier studies by adding a Brock-Dechert-Scheinkman (BDS) test to investigate the independent and identically distributed (i.i.d.) residual and then employing nonlinear causality tests to investigate the existence of nonlinear causal relationships. Two major findings emerge. First, the BDS test shows the residual of the linear model is not i.i.d. Second, the nonlinear causality test shows both Malaysia and the US have nonlinear causal relationships between exchange rate volatility and import flows.

Item Type:Article
Subjects:?? HG3810-4000 ??
Divisions:SCHOOL > School of Science and Technology
ID Code:5270
Deposited By:IR Admin
Deposited On:30 Oct 2012 15:38
Last Modified:18 Feb 2015 10:04

Repository Staff Only: item control page


Browse Repository
Collection
   Articles
   Book
   Speeches
   Thesis
   UMS News
Search
Quick Search

   Latest Repository

Link to other Malaysia University Institutional Repository

Malaysia University Institutional Repository