Exchange rate volatility and financial performance of agriculture firms in Malaysia: An empirical analysis using GARCH, wavelet and system GMM

Business and Economic Horizons Pub Date : 2017-01-01 DOI:10.15208/BEH.2017.29

Reaz, Fauziah Mahat, Ahmed Mohamed Dahir, Mohammad Sahabuddin, Abu Saad Md Masnun Al Mahi

引用次数: 4

Abstract

The insurgence of exchange rate volatility over the years has gained the attention of not only scholars but also policy makers around the world. This paper investigates the influence of exchange rate volatility to the financial performance of agriculture firms in Malaysia. Authors use the system GMM dynamic panel techniques, wavelet coherence technique and GARCH (1, 1) for the period of 2001 and 2015. The findings show that the volatility of exchange rate of Malaysian Ringgit (RM) has a negative impact on the financial performance of agriculture firms in Malaysia. The ARME and AVA demonstrate a positive impact on the financial performance at 1% significance level for the full sample. The findings also reveal that financial performance, exchange rate, consumer price index, and interest rate comove while using the wavelet coherence.

查看原文本刊更多论文

汇率波动与马来西亚农业企业财务绩效:基于GARCH、小波和系统GMM的实证分析

多年来，汇率波动的剧烈不仅引起了学者的关注，也引起了世界各国决策者的关注。本文研究了汇率波动对马来西亚农业企业财务绩效的影响。本文采用系统GMM动态面板技术、小波相干技术和GARCH(1,1)对2001 - 2015年的数据进行了分析。研究结果表明，马来西亚林吉特(RM)汇率波动对马来西亚农业企业的财务绩效有负面影响。ARME和AVA在1%的显著水平上对整个样本的财务绩效产生了积极影响。研究结果还表明，当使用小波相干性时，财务绩效、汇率、消费者价格指数和利率趋于一致。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Business and Economic Horizons ECONOMICS-

自引率

0.00%

发文量

期刊介绍： The Business and Economic Horizons (BEH) is an international peer-reviewed journal that publishes high quality theoretical, empirical, and review papers covering the broad spectrum of research in areas of economics, business, management, and finance. The journal aim is to bridge the gap between the theory and the observed data in these constantly developing domains. BEH Editorial Board welcomes the high-quality original research articles and review papers that verify the well-grounded and the emerging theories by employing the econometric, statistical methods or other relevant empirical methods in theoretical and applied economic analysis. BEH does not discriminate articles utilizing the non-mainstream approaches such as experimental research, institutional analysis, other variations of heterodox and developmental economic studies. Therefore, the submissions in any field of micro- and macroeconomics, business ethics, economic policy or finance are appropriate for this journal. We hope, the provided contributions will help to understand the contemporary challenges faced by the private and public sector and will establish an international forum of empirical research.