Browsing by Author Baharumshah, Ahmad Zubaidi

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Showing results 1 to 4 of 4
  • Current_account_exchange_rate_dynamics_and_the_predictability_mansur.pdf.jpg
  • Journal Article


  • Authors: Baharumshah, Ahmad Zubaidi; Mohammed Masih, Abul Mansur (2004)

  • The East Asian financial crisis indicated that one of the factors that played a critical role in affecting the exchange rate of a country was its current account balance. This paper attempts to investigate this hypothesis. The Singaporean dollar (SD) and the Malaysian ringgit (RM) against the yen are taken as case studies. Our analysis is based on the recent cointegration method and we examine two issues. First, whether the exchange rates are cointegrated with the fundamentals as predicted by economic theory. Our focus was to investigate whether the exchange rate movements are affected by the economic fundamentals, particularly the current account balance. Our findings suggest that t...

  • item.jpg
  • Journal Article


  • Authors: Baharumshah, Ahmad Zubaidi; Chan, Tze Haw; Mohammed Masih, Abul Mansur; Lau, Evan (2011)

  • In this article, we investigate the financial linkages between the East Asian economies with Japan and the United States. We test for long-run Real Interest-rate Parity (RIP) using an array of panel-data techniques, including recent techniques developed by Breuer et al. (2002) and Carrion-i-Silvestre et al. (2005). This study offers two important results: first, the failure to account for structural breaks in the industrialized countries and Asian emerging economies is likely to provide evidence of nonstationary series that are stationary. Second, we found strong evidence that the parity condition holds in all the Asian countries. The failure of earlier studies to confirm mean reversi...

  • The_stock_market_and_the_ringgit_exchange_rate_mansur.pdf.jpg
  • Journal Article


  • Authors: Baharumshah, Ahmad Zubaidi; Mohammed Masih, Abul Mansur (2002)

  • This paper presents and tests an augmented monetary model that includes the effect of stock prices on the bilateral exchange rates. The model is applied to the ringgit/US dollar (RM/US) and ringgit/Japanese yen (RM/JY) exchange rates. The empirical analysis is conducted by the Johansen method of cointegration. Using the data from the recent float that ends with 1996:Q4, the study is motivated, among others, by an interesting preliminary finding that although the augmented monetary model is cointegrated, it is subject to parameter instability and that the parameter time dependency can be attributed at least partly to a particular subset of the variables in the system including stock pr...

  • stability_money_demand_china_evidence_from_ARDL_model_baharumshah_etal.pdf.jpg
  • Journal Article


  • Authors: Baharumshah, Ahmad Zubaidi; Mohd, Siti Hamizah; Mohammed Masih, Abul Mansur (2009-09-01)

  • This study examines the demand for broad money (M2) in China using the autoregressive distributed lag (ARDL) cointegration framework. The results based on the bounds testing procedure confirm that a stable, long-run relationship exists between M2 and its determinants: real income, inflation, foreign interest rates and stock prices. Importantly, our results reveal that stock prices have a significant wealth effect on long- and short-run broad money demand; its omission can lead to serious misspecifications in the money demand function (MDF). This finding is consistent with the notion that asset inflation (deflation) has systematic influence on the pattern of monetary aggregates.

Browsing by Author Baharumshah, Ahmad Zubaidi

Jump to: 0-9 A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
or enter first few letters:  
Showing results 1 to 4 of 4
  • Current_account_exchange_rate_dynamics_and_the_predictability_mansur.pdf.jpg
  • Journal Article


  • Authors: Baharumshah, Ahmad Zubaidi; Mohammed Masih, Abul Mansur (2004)

  • The East Asian financial crisis indicated that one of the factors that played a critical role in affecting the exchange rate of a country was its current account balance. This paper attempts to investigate this hypothesis. The Singaporean dollar (SD) and the Malaysian ringgit (RM) against the yen are taken as case studies. Our analysis is based on the recent cointegration method and we examine two issues. First, whether the exchange rates are cointegrated with the fundamentals as predicted by economic theory. Our focus was to investigate whether the exchange rate movements are affected by the economic fundamentals, particularly the current account balance. Our findings suggest that t...

  • item.jpg
  • Journal Article


  • Authors: Baharumshah, Ahmad Zubaidi; Chan, Tze Haw; Mohammed Masih, Abul Mansur; Lau, Evan (2011)

  • In this article, we investigate the financial linkages between the East Asian economies with Japan and the United States. We test for long-run Real Interest-rate Parity (RIP) using an array of panel-data techniques, including recent techniques developed by Breuer et al. (2002) and Carrion-i-Silvestre et al. (2005). This study offers two important results: first, the failure to account for structural breaks in the industrialized countries and Asian emerging economies is likely to provide evidence of nonstationary series that are stationary. Second, we found strong evidence that the parity condition holds in all the Asian countries. The failure of earlier studies to confirm mean reversi...

  • The_stock_market_and_the_ringgit_exchange_rate_mansur.pdf.jpg
  • Journal Article


  • Authors: Baharumshah, Ahmad Zubaidi; Mohammed Masih, Abul Mansur (2002)

  • This paper presents and tests an augmented monetary model that includes the effect of stock prices on the bilateral exchange rates. The model is applied to the ringgit/US dollar (RM/US) and ringgit/Japanese yen (RM/JY) exchange rates. The empirical analysis is conducted by the Johansen method of cointegration. Using the data from the recent float that ends with 1996:Q4, the study is motivated, among others, by an interesting preliminary finding that although the augmented monetary model is cointegrated, it is subject to parameter instability and that the parameter time dependency can be attributed at least partly to a particular subset of the variables in the system including stock pr...

  • stability_money_demand_china_evidence_from_ARDL_model_baharumshah_etal.pdf.jpg
  • Journal Article


  • Authors: Baharumshah, Ahmad Zubaidi; Mohd, Siti Hamizah; Mohammed Masih, Abul Mansur (2009-09-01)

  • This study examines the demand for broad money (M2) in China using the autoregressive distributed lag (ARDL) cointegration framework. The results based on the bounds testing procedure confirm that a stable, long-run relationship exists between M2 and its determinants: real income, inflation, foreign interest rates and stock prices. Importantly, our results reveal that stock prices have a significant wealth effect on long- and short-run broad money demand; its omission can lead to serious misspecifications in the money demand function (MDF). This finding is consistent with the notion that asset inflation (deflation) has systematic influence on the pattern of monetary aggregates.