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Please use this identifier to cite or link to this item: https://ptsldigital.ukm.my/jspui/handle/123456789/577648
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dc.date.accessioned2023-11-06T02:46:04Z-
dc.date.available2023-11-06T02:46:04Z-
dc.date.issued2014-12
dc.identifier.issn0128-7702
dc.identifier.otherukmvital:78484
dc.identifier.urihttps://ptsldigital.ukm.my/jspui/handle/123456789/577648-
dc.descriptionWe researched a significant topic on exchange rate behavior by restating the test procedures in a novel manner and applying an appropriate econometric methodology to re-examine exchange rate behavior of the US economy. The central research question is: Do inflation differences across two economies fully account for exchange rate changes, if controls for non-parity factors are embedded while controlling for interest rate differences? The results affirm, for the first time, that price parity factor holds well while other factors - interest rates and non-parity factors – also affect exchange rates significantly. Our tests also identifies the time to equilibrium to be 0.139 (13.9%) per quarter to adjust to equilibrium value. In our view, these findings extend our knowledge of how the US dollar behavior is consistent with parity and non-parity theorems. Prior tests have been inconclusive on parity factors. The Malaysian Ringgit is heavily dependent on the US dollar exchange rate, and our findings thus have monetary policy implications for the Malaysia’s regulators.
dc.language.isoen
dc.publisherUniversiti Putra Malaysia Press
dc.relation.haspartPertanika Journal of Social Sciences & Humanities
dc.relation.urihttp://www.pertanika.upm.edu.my/Pertanika%20PAPERS/JSSH%20Vol.%2022%20(S)%20Dec.%202014/06%20JSSH%20Vol%2022%20(S)%20Dec%202014_pg107-126%20(JSSH-1208-2014).pdf
dc.subjectPrice parity
dc.subjectExchange rate
dc.subjectSpeed of adjustment
dc.subjectNon-parity factors
dc.subjectInterest rates
dc.subjectARDL JEL Classification: F23
dc.subjectF31
dc.subjectG12
dc.titleThe US exchange rate behavior: an advanced test on price parity theorem
dc.typeJournal Article
dc.format.volume22
dc.format.pages107-126
dc.format.issueSpecial Issue
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