Go, You How and Lau, Wee Yeap (2024) Terms of trade or market power? Further evidence from dynamic spillovers in return and volatility between Malaysian crude palm oil and foreign exchange markets. North American Journal of Economics and Finance, 73. p. 102178. ISSN 1062-9408, DOI https://doi.org/10.1016/j.najef.2024.102178.
Full text not available from this repository.Abstract
This study examines whether the Malaysian ringgit (MYR) provides terms of trade or market power for crude palm oil (CPO). We consider MYR exchange rates against three currencies of major CPO-importing countries, including the Indian rupee (INR), euro (EUR) and Chinese yuan (CNY). Using daily data on Malaysian CPO prices (spot and futures) and foreign exchange rates (INRMYR, EURMYR and CNYMYR) from 2000 to 2018, our results provide three notable findings. First, volatility spillovers from EURMYR to CPO spot and futures are more significant during the global financial crisis of 2008-2009. Second, the return spillovers from CPO spot and futures to INRMYR and EURMYR exchange rates experience significant bursts after the crisis. Third, the volatility of CPO spot price changes shows the predictive ability of the volatility of INRMYR exchange rate changes at the end of 2018. Overall, our findings support that the terms of trade are a driver of the CPO market after the crisis.
| Item Type: | Article |
|---|---|
| Funders: | UNSPECIFIED |
| Uncontrolled Keywords: | Crude palm oil; Foreign exchange; Terms of trade; Market power; Commodity currency; Malaysia |
| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HF Commerce H Social Sciences > HG Finance |
| Divisions: | Faculty of Business and Economics |
| Depositing User: | Ms. Juhaida Abd Rahim |
| Date Deposited: | 19 Sep 2024 01:16 |
| Last Modified: | 19 Sep 2024 01:16 |
| URI: | http://eprints.um.edu.my/id/eprint/45129 |
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