The effects of crude oil price volatility, stock price, exchange rate and interest rate on Malaysia’s economic growth
This study examines the effects and relationships between Malaysia’s economic growth and selected variables which are oil price volatility, stock price, real exchange rate and real interest rate. Using time-series data methodology, the study employs unit root test using Augmented Dickey–Fuller (ADF...
| Main Authors: | , |
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| Format: | Proceeding Paper |
| Language: | English English |
| Published: |
Springer
2020
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| Online Access: | http://irep.iium.edu.my/80144/ http://irep.iium.edu.my/80144/1/80144_The%20Effects%20of%20Crude%20Oil%20Price%20Volatility.pdf http://irep.iium.edu.my/80144/2/80144_The%20Effects%20of%20Crude%20Oil%20Price%20Volatility_Cover.pdf |
| _version_ | 1848788908371869696 |
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| author | Rahim, Farah Hamid, Zarinah |
| author_facet | Rahim, Farah Hamid, Zarinah |
| author_sort | Rahim, Farah |
| building | IIUM Repository |
| collection | Online Access |
| description | This study examines the effects and relationships between Malaysia’s economic growth and selected variables which are oil price volatility, stock price, real
exchange rate and real interest rate. Using time-series data methodology, the study employs unit root test using Augmented Dickey–Fuller (ADF) and Phillips–Perron (PP), Auto-Regressive Distribution Lag (ARDL) model supplemented by Bounds F-Testing, Johansen-Julius Co-integration test and Granger causality test. The long�run equation derived from ARDL shows that there are positive relationships for stock price and real exchange rate whilst there are negative relationships between oil price volatility and real interest rate. Furthermore, Granger causality test shows that only stock price and real interest rates have an impact on Malaysia’s gross domestic product (GDP) in the short run. Finally, sound policy recommendations are suggested, in particular, to address oil price volatility in a forward looking manner as well as monetary-friendly measures to further support Malaysia’s economic growth. |
| first_indexed | 2025-11-14T17:48:18Z |
| format | Proceeding Paper |
| id | iium-80144 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English English |
| last_indexed | 2025-11-14T17:48:18Z |
| publishDate | 2020 |
| publisher | Springer |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | iium-801442020-07-10T07:24:48Z http://irep.iium.edu.my/80144/ The effects of crude oil price volatility, stock price, exchange rate and interest rate on Malaysia’s economic growth Rahim, Farah Hamid, Zarinah HB Economic Theory HB131 Methodology.Mathematical economics. Quantitative methods HB3711 Business cycles. Economic fluctuations HG Finance HG4001 Financial management. Business finance. Corporation finance. This study examines the effects and relationships between Malaysia’s economic growth and selected variables which are oil price volatility, stock price, real exchange rate and real interest rate. Using time-series data methodology, the study employs unit root test using Augmented Dickey–Fuller (ADF) and Phillips–Perron (PP), Auto-Regressive Distribution Lag (ARDL) model supplemented by Bounds F-Testing, Johansen-Julius Co-integration test and Granger causality test. The long�run equation derived from ARDL shows that there are positive relationships for stock price and real exchange rate whilst there are negative relationships between oil price volatility and real interest rate. Furthermore, Granger causality test shows that only stock price and real interest rates have an impact on Malaysia’s gross domestic product (GDP) in the short run. Finally, sound policy recommendations are suggested, in particular, to address oil price volatility in a forward looking manner as well as monetary-friendly measures to further support Malaysia’s economic growth. Springer 2020 Proceeding Paper PeerReviewed application/pdf en http://irep.iium.edu.my/80144/1/80144_The%20Effects%20of%20Crude%20Oil%20Price%20Volatility.pdf application/pdf en http://irep.iium.edu.my/80144/2/80144_The%20Effects%20of%20Crude%20Oil%20Price%20Volatility_Cover.pdf Rahim, Farah and Hamid, Zarinah (2020) The effects of crude oil price volatility, stock price, exchange rate and interest rate on Malaysia’s economic growth. In: 2019 International Conference on Applied Economics (ICOAE 2019), 4 - 6 July 2019, Milan, Italy. https://link.springer.com/chapter/10.1007/978-3-030-38253-7_48 https://doi.org/10.1007/978-3-030-38253-7_48 |
| spellingShingle | HB Economic Theory HB131 Methodology.Mathematical economics. Quantitative methods HB3711 Business cycles. Economic fluctuations HG Finance HG4001 Financial management. Business finance. Corporation finance. Rahim, Farah Hamid, Zarinah The effects of crude oil price volatility, stock price, exchange rate and interest rate on Malaysia’s economic growth |
| title | The effects of crude oil price volatility, stock price, exchange rate and interest rate on Malaysia’s economic growth |
| title_full | The effects of crude oil price volatility, stock price, exchange rate and interest rate on Malaysia’s economic growth |
| title_fullStr | The effects of crude oil price volatility, stock price, exchange rate and interest rate on Malaysia’s economic growth |
| title_full_unstemmed | The effects of crude oil price volatility, stock price, exchange rate and interest rate on Malaysia’s economic growth |
| title_short | The effects of crude oil price volatility, stock price, exchange rate and interest rate on Malaysia’s economic growth |
| title_sort | effects of crude oil price volatility, stock price, exchange rate and interest rate on malaysia’s economic growth |
| topic | HB Economic Theory HB131 Methodology.Mathematical economics. Quantitative methods HB3711 Business cycles. Economic fluctuations HG Finance HG4001 Financial management. Business finance. Corporation finance. |
| url | http://irep.iium.edu.my/80144/ http://irep.iium.edu.my/80144/ http://irep.iium.edu.my/80144/ http://irep.iium.edu.my/80144/1/80144_The%20Effects%20of%20Crude%20Oil%20Price%20Volatility.pdf http://irep.iium.edu.my/80144/2/80144_The%20Effects%20of%20Crude%20Oil%20Price%20Volatility_Cover.pdf |