tag:blogger.com,1999:blog-6297413898275266606.post2847527471522790836..comments2024-03-27T18:15:59.096+08:00Comments on Economics Malaysia: The Ringgit and 1MDBhishamhhttp://www.blogger.com/profile/06265308095732759923noreply@blogger.comBlogger10125tag:blogger.com,1999:blog-6297413898275266606.post-48867436852012762042016-12-06T09:21:04.003+08:002016-12-06T09:21:04.003+08:00@Jason
You got caught by the spam filter!
1. Sin...@Jason<br /><br />You got caught by the spam filter!<br /><br />1. Since the taper tantrum was in reference to a reduction in QE, kinda hard to build an interest rate expectations model based off of it, even using forward rates.<br /><br />2. You have to - exchange rates are relative prices, not absolute ones. It's always with reference to another currency or currency basket. Even when you&#hishamhhttps://www.blogger.com/profile/06265308095732759923noreply@blogger.comtag:blogger.com,1999:blog-6297413898275266606.post-85731419672651825542016-12-02T17:31:17.772+08:002016-12-02T17:31:17.772+08:001. But you can 'sorta' build in the expect...1. But you can 'sorta' build in the expectations in the interest rate model? Textbooks say use forward rates, but i'm just regurgitating knowledge<br /><br />2. As much as I like the idea of an explanatory model for the MYR, it seems kinda impossible with this type of exchange rate regime (*hoping BNM doesn't lynch me). Using another currency (or currency basket) as an independentJasonhttps://www.blogger.com/profile/03517459200735545587noreply@blogger.comtag:blogger.com,1999:blog-6297413898275266606.post-51968827882806294762016-12-01T10:56:09.300+08:002016-12-01T10:56:09.300+08:00Hi Jason,
1. We actually do have a interest rate ...Hi Jason,<br /><br />1. We actually do have a interest rate parity model (based on a global interest rate differential variable). Not really necessary in this one, since interest changes would be reflected in USD strength. Note however, that the effect of the taper tantrum would be difficult to capture, since it was based on <i>expectations</i> of a change in QE, not in interest rates.<br /><br /hishamhhttps://www.blogger.com/profile/06265308095732759923noreply@blogger.comtag:blogger.com,1999:blog-6297413898275266606.post-12500411212832266972016-11-30T16:44:35.939+08:002016-11-30T16:44:35.939+08:00No US interest rate variable? Surely taper tantrum...No US interest rate variable? Surely taper tantrum episode must count?<br /><br />Curious: Why do you use DXY? Isn't DXY a bit of multicollinearity? (I won't dare touch exchange rate models)Jasonhttps://www.blogger.com/profile/03517459200735545587noreply@blogger.comtag:blogger.com,1999:blog-6297413898275266606.post-11878096305958701252016-11-23T11:34:45.498+08:002016-11-23T11:34:45.498+08:00@Warrior
It's undervalued - but you knew that...@Warrior<br /><br />It's undervalued - but you knew that, right?<br /><br />Fundamentally, we're thinking 3.60-3.80 (and I think that's BNM's view as well), but fair value is higher, probably around 4.00-4.20.<br /><br />If you're wondering why the difference, exchange rate equilibrium values have short term, medium term, and long term components. I tend to use "fair hishamhhttps://www.blogger.com/profile/06265308095732759923noreply@blogger.comtag:blogger.com,1999:blog-6297413898275266606.post-11462273246905149082016-11-23T11:29:33.672+08:002016-11-23T11:29:33.672+08:00@anon
Short term answer: Roughly half of Indonesi...@anon<br /><br />Short term answer: Roughly half of Indonesian sovereign bonds are denominated in USD. A selldown affects the currency less, though it exposes the government to FX fluctuations on its liabilities. A second reason is that Indonesia tried halting trading on the NDF market last year, but eventually gave up. This year, it's our turn to be <a href="https://en.wikipedia.org/wiki/hishamhhttps://www.blogger.com/profile/06265308095732759923noreply@blogger.comtag:blogger.com,1999:blog-6297413898275266606.post-38888155833087267682016-11-23T11:21:54.378+08:002016-11-23T11:21:54.378+08:00@KY
Standalone dummies are for shifts in the inte...@KY<br /><br />Standalone dummies are for shifts in the intercept (alpha); interaction dummies are for shifts in the slope (beta)hishamhhttps://www.blogger.com/profile/06265308095732759923noreply@blogger.comtag:blogger.com,1999:blog-6297413898275266606.post-78593721753432391612016-11-22T22:03:44.294+08:002016-11-22T22:03:44.294+08:00Mmmm...I was just wondering...never mind. Can you ...Mmmm...I was just wondering...never mind. Can you then hazard a FV for the ringgit based on current fundamentals or would that be too much of an ask?<br /><br />Warrior 231Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-6297413898275266606.post-10008195724400382102016-11-22T21:04:44.921+08:002016-11-22T21:04:44.921+08:00I'm surprised that the ringgit is depreciating...I'm surprised that the ringgit is depreciating against the rupiah. Could you shed some light on this? Thank you.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-6297413898275266606.post-12913103807175601612016-11-22T20:00:39.674+08:002016-11-22T20:00:39.674+08:00Thank you for sharing your results, but I was wond...Thank you for sharing your results, but I was wondering what are the (theoretical) reasons for interacting the dummy variables with the dependent variable (log(USDMYR)) in your models?KYnoreply@blogger.com