Mohd Khan, Shazida Jan and Yola, Abdulnasir T. and Hidthiir, Mohamad Helmi (2024) Global oil price uncertainties and exchange rate co-movement: evidence from South-East Asian countries. Kurdish Studies, 12 (1). pp. 326-337. ISSN 20514883

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Abstract

This research paper investigates the intricate relationship between global oil price uncertainties and exchange rate co-movements in Southeast Asian countries of countries such as Malaysia, Indonesia, and Brunei for the period from 2009 to 2021. The complex and often asymmetric relationship wherein change in oil prices impact exchange rates, potentially leading to volatility and policy challenges for countries heavily reliant on oil imports and exports has been a topic issue yet to be resolved. To make it robust, the paper employs an asymmetric Baba, Engle, Kraft, and Kroner (BEKK) model. The major findings from the estimated model suggest that own shock is a major factor in contributing to the volatility of both global oil prices and the exchange rates of the selected South-East Asian countries. Contrary to prevailing hypotheses, this study does not support the notion that foreign exchange rate market news follows a process akin to a meteor shower hitting the Earth as it revolves. In light of these findings, the paper recommends that policymakers are urged to adopt a proactive stance in managing exchange rates, taking into account the multifaceted nature of global oil price uncertainties. Moreover, the importance of crafting exchange rate policies that focus on country-specific factors, acknowledging the significant impact of domestic shocks on exchange rate stability.

Item Type:	Article
Uncontrolled Keywords:	Exchange rate, oil price, volatility, asymmetric BEKK, South-East Asia
Subjects:	H Social Sciences > HD Industries. Land use. Labor H Social Sciences > HG Finance
Divisions:	School of Economics, Finance & Banking
Depositing User:	Mr. Izhar Hj. Hashim
Date Deposited:	11 Nov 2026 09:39
Last Modified:	11 Nov 2026 09:39
URI:	https://repo.uum.edu.my/id/eprint/35157

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