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International Conference on Applied Economics

ICOAE 2019: Advances in Cross-Section Data Methods in Applied Economic Research pp 717–731Cite as

The Effects of Crude Oil Price Volatility, Stock Price, Exchange Rate and Interest Rate on Malaysia’s Economic Growth

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Abstract

This study examines the effects and relationships between Malaysia’s economic growth and selected variables which are oil price volatility, stock price, real exchange rate and real interest rate. Using time-series data methodology, the study employs unit root test using Augmented Dickey–Fuller (ADF) and Phillips–Perron (PP), Auto-Regressive Distribution Lag (ARDL) model supplemented by Bounds F-Testing, Johansen-Julius Co-integration test and Granger causality test. The long-run equation derived from ARDL shows that there are positive relationships for stock price and real exchange rate whilst there are negative relationships between oil price volatility and real interest rate. Furthermore, Granger causality test shows that only stock price and real interest rates have an impact on Malaysia’s gross domestic product (GDP) in the short run. Finally, sound policy recommendations are suggested, in particular, to address oil price volatility in a forward-looking manner as well as monetary-friendly measures to further support Malaysia’s economic growth.

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Author information

Authors and Affiliations

  1. Kulliyyah of Economics and Management Sciences, International Islamic University of Malaysia, 53100, Gombak, Malaysia

    Farah Rahim & Zarinah Hamid

Authors
  1. Farah Rahim
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  2. Zarinah Hamid
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Correspondence to Farah Rahim or Zarinah Hamid .

Editor information

Editors and Affiliations

  1. Department of Economics, University of Western Macedonia, Kastoria, Greece

    Nicholas Tsounis

  2. Department of Economics, University of Western Macedonia, Kastoria, Greece

    Aspasia Vlachvei

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Rahim, F., Hamid, Z. (2020). The Effects of Crude Oil Price Volatility, Stock Price, Exchange Rate and Interest Rate on Malaysia’s Economic Growth. In: Tsounis, N., Vlachvei, A. (eds) Advances in Cross-Section Data Methods in Applied Economic Research. ICOAE 2019. Springer Proceedings in Business and Economics. Springer, Cham. https://doi.org/10.1007/978-3-030-38253-7_48

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