PALM OIL PRICE–EXCHANGE RATE NEXUS IN INDONESIA AND MALAYSIA
نویسندگان
چکیده
In this study, we extend the literature analyzing predictive content of commodity prices for exchange rates by examining role palm oil price. Our analysis focuses on Indonesia and Malaysia, two top producers exporters oil, utilizes daily data covering period from December 12, 2011 to March 29, 2021, which is partitioned into sub-samples based COVID-19 pandemic. Relying a methodology that accommodates some salient features variables interest, find average in-sample predictability price rate movements stronger than Malaysia. While Indonesia’s appreciates due rise in regardless choice model, Malaysia’s only after adjusting However, both do not seem be resilient pandemic as they depreciate amidst dwindling Similar outcomes are observed out-of-sample analysis. We highlight avenues future research implications our results portfolio diversification strategies.
منابع مشابه
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ژورنال
عنوان ژورنال: Buletin ekonomi moneter dan perbankan
سال: 2021
ISSN: ['1410-8046']
DOI: https://doi.org/10.21098/bemp.v24i2.1620