Lai, Khang Sia (2004) Kadar pertukaran efektif benar dan output benar: Analisis kointegrasi dan ujian penyebab. Universiti Malaysia Sabah. (Unpublished)
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Abstract
The main objective of this thesis is to examines the relationship between the real effective exchange rate and real output in Malaysia. The Asian currency crisis fuelled anew the debate over the use of devaluations as an important component of economic adjustment and stabilization programs. It is widely accepted that devaluations improve a countrys balance of payments position, and accumulate more foreign exchange reserves, however, the issue of how they affect aggregate output still remains subject to disagreement. Therefore, a few econometric methodologies are applied to quarterly data from year 1975 to 2003. First of all, this paper is concentrate on the OLS method. Before cointegration between exchange rate and output is tested, unit root test is performed to test the stationary of the time series data that are used to avoid spurious correlation. By applying the cointegration test to determine the long run dynamics between real effective exchange rate and real output. The results of Johansen cointegration techniques indicate that real effective exchange rate is not cointegrated with real output in the log-run. These findings provide an empirical support to those of some previous studies that employ time series analyses. In addition, Granger causality test shows that real effective exchange rate does not Granger cause real output, while real output is shown to Granger-cause real effective exchange rate.
| Item Type: | Academic Exercise |
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| Subjects: | H Social Sciences > HG Finance |
| Department: | SCHOOL > School of Business and Economics |
| Depositing User: | ADMIN ADMIN |
| Date Deposited: | 07 Jul 2010 00:26 |
| Last Modified: | 11 Oct 2017 16:39 |
| URI: | https://eprints.ums.edu.my/id/eprint/22 |
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