 Terms of trade or market power? Further evidence from dynamic spillovers in return and volatility between Malaysian crude palm oil and foreign exchange marketsYou-How Go and Wee Yeap Lau The North American Journal of Economics and Finance, 2024, vol. 73, issue C 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. Keywords: Crude palm oil; Foreign exchange; Terms of trade; Market power; Commodity currency; Malaysia (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001037 DOI: 10.1016/j.najef.2024.102178 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
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