Unravelling the nexus between energy prices and exchange rate in Malaysia: Fresh insights from a non-linear perspective using threshold cointegration analysis.

Autor:	Butt S; Guangdong Chinese Academy of Sciences (CAS) Cogniser, Information Technology, Co., Ltd., Room 201, No. 221, Huanshi Avenue West, Nansha District, 511458, Guangzhou, Guangdong, China., Ramzan M; Faculty of Management and Administrative Sciences, Department of Business Administration, University of Sialkot, Punjab, Pakistan.; Adnan Kassar School of Business, Lebanese American University, Beirut, Lebanon., Wong WK; Department of Finance, Fintech & Blockchain Research Center, Big Data Research Center, Asia University, 500, Lioufeng Road, Wufeng, Taichung, 41354, Taiwan.; Department of Medical Research, China Medical University Hospital, No.91, Hsueh-Shih Road, Taichung, 40402, Taiwan.; Department of Economics and Finance, The Hang Seng University of Hong Kong, Hang Shin Link, Siu Lek Yuen, Shatin, Territories, 999077, Hong Kong., Chohan MA; Guangdong Chinese Academy of Sciences (CAS) Cogniser, Information Technology, Co., Ltd., Room 201, No. 221, Huanshi Avenue West, Nansha District, 511458, Guangzhou, Guangdong, China., Bazhair AH; Faculty of Business Administration, Department of Economics and Finance, Taif University (TU), Altaif, Saudi Arabia.
Jazyk:	angličtina
Zdroj:	Heliyon [Heliyon] 2024 Feb 20; Vol. 10 (5), pp. e26512. Date of Electronic Publication: 2024 Feb 20 (Print Publication: 2024).
DOI:	10.1016/j.heliyon.2024.e26512
Abstrakt:	This paper proposes a nonlinear threshold cointegration framework to study how energy prices affect Malaysia's nominal exchange rate, considering the money supply, income, and interest rate. The study employs a threshold cointegration approach utilizing threshold autoregressive and momentum threshold autoregressive models. The momentum threshold vector error correction model determines the short-run adjustment of exchange rate deviation from the long-run equilibrium level. The findings reveal that the nonlinear adjustment process to capture the short-run deviation in the long-run equilibrium path is primarily influenced by energy prices, money supply, and interest rates. These results highlight the importance of considering the impact of energy prices on exchange rate policies when formulating and implementing economic policies in Malaysia. The findings can also be valuable for decision-makers to comprehend the future dynamics of exchange rates and make well-informed decisions. Competing Interests: The authors declare that they have no known competing financial interests or personal relationships that could have appeared to influence the work reported in this paper. (© 2024 The Authors.)
Databáze:	MEDLINE
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