Abstract
This study investigates the information flow between U.S. Dollar-Ringgit spot, forward and Nondeliverable Forward (NDF) exchange rates during the pre and post-U. S. Quantitative Easing (QE) exit. Our results show: First, there is a robust unidirectional causality from NDF to spot and NDF to forward in the post-QE period; Second, Malaysian Government Securities (MGS) has a vital role during the QE period while international reserve precedes the spot, forward and NDF exchange rates in the post-US QE exit. Our results reaffirm the policy measures taken by the Central Bank in regulating the NDF market. Our finding suggests that: First: MGS and Reserve are essential variables that can be used to counter speculation from the offshore NDF market; and Second, right policy stance must be communicated by the Central Bank to the market participants to avoid excessive volatility to the domestic currency which will affect the real economy
Recommended Citation
Lau, Wee-Yeap; Yip, Tien Ming; and Go, You How
(2019)
"Dynamic Linkages between US Dollar-Ringgit spot, forward and NDF during QE and Post-QE Exit,"
The Indonesian Capital Market Review: Vol. 11:
No.
2, Article 1.
DOI: 10.21002/icmr.v11i2.11606
Available at:
https://scholarhub.ui.ac.id/icmr/vol11/iss2/1
