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Evaluating the exchange rate and commodity price nexus in Malaysia: evidence from the threshold cointegration approach

机译：评估马来西亚的汇率和商品价格Nexus：来自门槛协整方法的证据

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摘要

This paper examines the long- and short-run dynamics of asymmetric adjustment between the nominal exchange rate and commodity prices, namely oil, palm oil, rubber, and natural gas prices, in Malaysia using monthly data from January 1994 to December 2017. The relationship between exchange rate and each commodity price is examined in terms of Engle-Granger and threshold cointegrations. The estimated results provide evidence of long-run threshold cointegration and show that the adjustments towards the long-run equilibrium position are asymmetric in the short run. Furthermore, this study finds evidence of a unidirectional causal relationship running from the nominal exchange rate to oil price in the long and short run using a spectral frequency domain causality application. There is also empirical evidence of bidirectional causality between the nominal exchange rate and palm oil price, rubber price, and natural gas price in the long and short run. Overall, the findings have significant implications for the current debate on the future of primary commodities in Malaysia.
机译：本文介绍了在2017年1月至2017年12月的月度数据的标称汇率和商品价格，即石油，棕榈油，橡胶和天然气价格之间的不对称调整的长期和短期动态，即石油，棕榈油，橡胶和天然气价格。这种关系在Engle-Granger和阈值整体方面审查了汇率和每种商品价格之间。估计的结果提供了长期阈值整合作的证据，并表明朝向长期均衡位置的调整在短期下不对称。此外，本研究发现，使用光谱频率域因果关系应用，从名义汇率从名义汇率到油价运行的单向因果关系。在长短短期和短期的跑步率和棕榈油价格之间，橡胶价格与棕榈油价格之间的双向因果关系也有经验证据。总体而言，该研究结果对目前对马来西亚初级商品未来的辩论具有重大影响。

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