 Granger-causality between oil price, exchange rate and government bonds: evidence from MalaysiaAmri Rahamat and Abul Masih MPRA Paper from University Library of Munich, Germany Abstract: This investigation aims to study the Granger-causality between the oil price, exchange rate and the Malaysian and US government bonds namely, the US Treasury Bills (UST), the Government Investment Issues (GII) and Malaysian Government Security (MGS). Furthermore, this study also aims to study whether GII or MGS to be first affected in response to a movement in the US market and the global oil price. We used the standard time series techniques for the analysis and used Malaysia as a case study. From the results and findings in this investigation, we found that the (i) US Treasury yield rate, global oil price and the USD/MYR exchange rate are related to the Malaysian Islamic and conventional bond yields (ii)the US Treasury rate is the most influential variable to affect Malaysian Islamic and conventional bond yields; and (iii) in the Malaysian context, the GII is more influential than the MGS and hence more stable. However, this would require further study to verify this claim as we believe that the GII must be a function of the MGS. Thus, we expect MGS should influence GII. The findings are plausible and contain strong policy implications. Keywords: Granger-causality; oil price; exchange rates; Government bonds; VECM; VDC; 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:pra:mprapa:111769 Access Statistics for this paper More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC. |
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