Butt Shamaila, Ramzan Muhammad, Wong Wing-Keung, Chohan Muhammad Ali, Ramakrishnan Suresh
Accounting and Finance Department, Faculty of Management, University Technology Malaysia, Block T08, 81310 UTM Skudai, Johor, Malaysia.
Faculty of Management and Administrative Sciences, Department of Business Administration, University of Sialkot, Punjab, Pakistan.
Heliyon. 2023 Aug 14;9(8):e19140. doi: 10.1016/j.heliyon.2023.e19140. eCollection 2023 Aug.
Nominal exchange rate determination is a puzzling phenomenon throughout the literature. Thus, the study aims to analyze the nominal exchange rate determination with a hybrid approach of macroeconomic and microstructure determinants, i.e., interest rate differential, oil price, order flow, and bid-ask spread over the long- and short-run horizons in the context of Malaysia. The dataset consists of high-frequency daily data from 2010 to 2017, employing a nonlinear ARDL approach. The results indicate that the bid-ask spread and interest rate differential were found to be key determinants of exchange rate dynamics in the long and short run. The findings show strong evidence of long-run asymmetry in the interest rate differential, while short-run asymmetry effects exist between microstructure determinants and the exchange rate. In addition, it indicates that the bid-ask spread holds informative content to explain the dynamics of the exchange rate in Malaysia. Additionally, the negative changes in the oil price could potentially act as macroeconomic news announcements and the bid-ask spread as liquidity determinants in Malaysia, which play a significant role in exchange rate determination. The study concluded that the prominent short-run asymmetry effects captured in cumulative order flow and bid-ask spread While a long-run asymmetry exists between the oil price and exchange rate in Malaysia. The empirical results allow for long-run and short-run asymmetric pricing impacts of a hybrid approach on the nominal exchange rate in Malaysia. This study is helpful in providing policy direction and practical implications for monetary authorities and market dealers. The bid-ask spread and oil price could be considered influential exchange rate determinants in the short run in Malaysia.
名义汇率的决定在整个文献中都是一个令人困惑的现象。因此，本研究旨在采用宏观经济和微观结构决定因素的混合方法来分析名义汇率的决定，即利率差、油价、订单流以及买卖价差，研究时间跨度为长期和短期，研究背景为马来西亚。数据集由2010年至2017年的高频日数据组成，采用非线性自回归分布滞后方法。结果表明，买卖价差和利率差被发现是长期和短期汇率动态的关键决定因素。研究结果显示，利率差存在长期不对称的有力证据，而微观结构决定因素与汇率之间存在短期不对称效应。此外，这表明买卖价差包含了用于解释马来西亚汇率动态的信息内容。此外，油价的负面变化可能会成为宏观经济新闻公告，而买卖价差则成为马来西亚的流动性决定因素，它们在汇率决定中发挥着重要作用。该研究得出结论，累积订单流和买卖价差中存在显著的短期不对称效应，而马来西亚的油价与汇率之间存在长期不对称。实证结果揭示了混合方法对马来西亚名义汇率的长期和短期不对称定价影响。本研究有助于为货币当局和市场交易商提供政策方向和实际意义。在马来西亚，买卖价差和油价在短期内可被视为有影响力的汇率决定因素。
