Time series modelling and forecasting of Sarawak black pepper price

Pepper is an important agriculture commodity especially for the state of Sarawak. It is important to forecast its price, as this could help the policy makers in coming up with production and marketing plan to improve the Sarawak’s economy as well as the farmers’welfare. In this paper, we take up time series modelling and forecasting of the Sarawak black pepper price. Our empirical results show that Autoregressive Moving Average (ARMA) time series models fit the price series well and they have correctly predicted the future trend of the price series within the sample period of study. Amongst a group of 25 fitted models, ARMA (1, 0) model is selected based on post-sample forecast criteria.Time series; pepper (Piper nigrum L.); Autoregressive Moving Average model; forecasting; forecast accuracy

A study on the dynamic relations between macro economic variables and stock market performance / Huzaimi Hussain, Jaafar Pyeman and Mohd. Mokhtar Ghani

The purpose of this study is to investigate the dynamic relationship between stock market performance and macroeconomic variables in Malaysia. The Kuala Lumpur Composite Index (KLCI) is used to proxy for the stock market performance and macroeconomic variables employed are three-month treasury bills rate, inflation rate, and economic growth as measured by gross domestic product. This study utilizes cointegration and causal relationship approach to accomplish the research objectives. The findings from this study exhibit that there are long run cointegration relationship between stock market performance and macroeconomic indicators. Moreover, results of further analysis generally show that all the indicators have substantial impacts on KLCI with the most immediate impact coming from treasury bills rate. In addition it is shown via the variance decomposition procedure that treasury bills rate is highly exogenous. The major policy implication of this study is that market performance can be monitored by Central Bank through treasury bills rate

Causal Relationships Between Exchange Rates And Stock Prices In Malaysia And Thailand During The 1997 Currency Crisis Turmoil

Using Granger (1969), Sim (1972) and Geweke et al. (1982) causality tests, this study finds a feedback causal relationship between exchange rate and stock price in Malaysia, whereas a unidirectional causal relationship running from exchange rate to stock price in Thailand. The stock markets of these countries are also found to be closely linked, with a feedback causal relationship between them. Most importantly, this study is able to identify the path through which the fall in Thai baht was transmitted to Malaysian ringgit plunge during the 1997 Currency Crisis turmoil

A study on the dynamic relations between macroeconomic variables and stock market performance / Huzaimi Hussain... [et al.]

The purpose of this study is to investigate the dynamic relationship between stock market performance and macroeconomic variables in Malaysia. The Kuala Lumpur Composite Index (KLCI) is used to proxy for the stock market performance and macroeconomic variables employed are three-month treasury bills rate, inflation rate, and economic growth as measured by gross domestic product. This study utilizes cointegration and causal relationship approach to accomplish the research objectives. The findings from this study exhibit that there are long run cointegration relationship between stock market performance and macroeconomic indicators. Moreover, results of further analysis generally show that all the indicators have substantial impacts on KLCI with the most immediate impact coming from treasury bills rate. In addition it is shown via the variance decomposition procedure that treasury bills rate is highly exogenous. The major policy implication of this study is that market performance can be monitored by Central Bank through treasury bills rate

Time series modelling and forecasting of Sarawak black pepper price

Pepper is an important agriculture commodity especially for the state of Sarawak. It is important to forecast its price, as this could help the policy makers in coming up with production and marketing plan to improve the Sarawak’s economy as well as the farmers’welfare. In this paper, we take up time series modelling and forecasting of the Sarawak black pepper price. Our empirical results show that Autoregressive Moving Average (ARMA) time series models fit the price series well and they have correctly predicted the future trend of the price series within the sample period of study. Amongst a group of 25 fitted models, ARMA (1, 0) model is selected based on post-sample forecast criteria

Time series modelling and forecasting of Sarawak black pepper price

Pepper is an important agriculture commodity especially for the state of Sarawak. It is important to forecast its price, as this could help the policy makers in coming up with production and marketing plan to improve the Sarawak’s economy as well as the farmers’welfare. In this paper, we take up time series modelling and forecasting of the Sarawak black pepper price. Our empirical results show that Autoregressive Moving Average (ARMA) time series models fit the price series well and they have correctly predicted the future trend of the price series within the sample period of study. Amongst a group of 25 fitted models, ARMA (1, 0) model is selected based on post-sample forecast criteria

Money Demand in Malaysia: Further Empirical Evidence

A cointegration, error correction models and CUSUM stability test are employed in this study aimed at analyzing the money demand in Malaysia with relations to its determinants namely real income level, real interest rate, nominal exchange rate and the degree of monetization. Using Malaysian monthly data covering 1979M1 to 2002M5 we are able to find cointegration relationships among M1 as well as M2 and their determinants. CUSUM stability test shows that both M1 and M2 are stable in this sample period albeit the Financial Innovations and Liberalization and also Asia Financial Crisis. A key contribution of this study is the inclusion of the degree of monetization variable, which is found playing a the significant role in the cointegrating equation. Earlier studies that found no cointegration between money demand and its determinants in Malaysia – rendering Bank Negara Malaysia to shift its monetary targeting to interest rate targeting – may be due to the omission of the degree of monetization variable. Hence, this finding suggests that M1 and M2 can be effective monetary targeting tools in implementing monetary policy

Time series modelling and forecasting of Sarawak black pepper prices / Liew Khim Sen, Mahendran Shitan and Huzaimi Hussain

Pepper is an important agriculture commodity especially for the state of Sarawak. It is important to forecast its price, as this can help the policy makers in coming up with production and marketing plans to improve the Sarawak's economy as well as the farmers' welfare. In this paper, the time series models are used to forecast the Sarawak black pepper price. It is formally shown in this paper that the pepper price series does not follow a random shows that Autoregressive Moving Average (ARMA) time series models fit the price series well. The ARMA (1,0) model seems to be the best fitting model predicting the pepper price based on the data used in this study

Time series modelling and forecasting of Sarawak black pepper price

Pepper is an important agriculture commodity especially for the state of Sarawak. It is important to forecast its price, as this could help the policy makers in coming up with production and marketing plan to improve the Sarawak’s economy as well as the farmers’ welfare. In this paper, we take up time series modelling and forecasting of the Sarawak black pepper price. Our empirical results show that Autoregressive Moving Average (ARMA) time series models fit the price series well and they have correctly predicted the future trend of the price series within the sample period of study. Amongst a group of 25 fitted models, ARMA (1, 0) model is selected based on post-sample forecast criteria

Exchange Rate and Trade Balance Relationship: The Experience of ASEAN Countries

This study addresses the question of whether exchange rate changes have any significant and direct impact on trade balance. By examining the trade balances between ASEAN-5 countries and Japan for the sample period from 1986 to 1999, this study found that the role of exchange rate changes in initiating changes in the trade balances has been exaggerated. As such, an alternative explanation to the observed behaviour of ASEAN-5 trade balances in the selected sample period has been postulated. In particular, we propose that trade balance is affected by real money, rather than nominal exchange rate. A mathematical framework that provides theoretical background to our proposition is presented. Our empirical data analysis suggests that the real money effect proposition could consistently explain the observed trade balances in Malaysia, Singapore, Thailand and the Philippines during the period of study, with respect to Japan. Thus, in order to cope with trade deficits, the governments of these ASEAN countries might resort to policy measures focusing on the variable of real money.Exchange rate; Trade balance; Real money; Purchasing power parity; ASEAN-5 Economies.