Behaviour of Malaysia and Australia exchange rate in response to the prices of commodities

Wearn Qian Soon; Leng Poh Hong; Ganeshsree Selvachandran

doi:10.1145/3343485.3343497

Behaviour of Malaysia and Australia exchange rate in response to the prices of commodities

Wearn Qian Soon, Leng Poh Hong, Ganeshsree Selvachandran

Research output: Chapter in Book/Report/Conference proceeding › Conference Paper › Other › peer-review

Abstract

A country’s exchange rate and commodity price forms a two-way relationship. However, past researches showed that the exchange rate has weaker effects towards commodity price. Hence, This study focuses on the behaviour of exchange rate in response to commodity price. This work will analyzed the behaviour of Malaysia and Australia in response to commodity price is to forecast future exchange rate. This study will determine if there exists a trend in the historical commodity price and exchange rate of Australia and Malaysia over the period of 2005 to 2015. Other than observing the relationship, the exchange rate for the 2016 was also forecast by using the historical data. Historical data of price of petroleum in Malaysia and price of iron ore in Australia will be used to predict the following year’s price Historical data are fitted into two prediction models which are Purchasing Power Parity (PPP) model and Autoregressive models. The most appropriate and accurate model was evaluated. Result showed that autoregressive models was found to be the best prediction model and is used to predict the future exchange rate. Using the autoregressive model, forecasted the exchange rate in 2016 was 3.417 AUD/MYR.

Original language	English
Title of host publication	ICoMS 2019
Subtitle of host publication	Proceedings of 2019 2nd International Conference on Mathematics and Statistics
Editors	João Tiago Praça Nunes Mexia, Carlos Alberto dos Santos Braumann
Place of Publication	New York NY USA
Publisher	Association for Computing Machinery (ACM)
Pages	62-67
Number of pages	6
Edition	1st
ISBN (Electronic)	9781450371681
DOIs	https://doi.org/10.1145/3343485.3343497
Publication status	Published - 2019
Externally published	Yes
Event	International Conference on Mathematics and Statistics 2019 - Prague, Czechia Duration: 8 Jul 2019 → 10 Jul 2019 Conference number: 2nd https://dx.doi.org/10.1145/3343485 (Proceedings)

Publication series

Name	ACM International Conference Proceeding Series

Conference

Conference	International Conference on Mathematics and Statistics 2019
Abbreviated title	ICoMS 2019
Country/Territory	Czechia
City	Prague
Period	8/07/19 → 10/07/19
Internet address	https://dx.doi.org/10.1145/3343485 (Proceedings)

Keywords

Autoregressive model
Commodity price
Exchange rate
Forecasting
Purchasing power parity

Access to Document

10.1145/3343485.3343497

Cite this

Soon, W. Q., Hong, L. P., & Selvachandran, G. (2019). Behaviour of Malaysia and Australia exchange rate in response to the prices of commodities. In J. T. P. N. Mexia, & C. A. dos Santos Braumann (Eds.), ICoMS 2019: Proceedings of 2019 2nd International Conference on Mathematics and Statistics (1st ed., pp. 62-67). (ACM International Conference Proceeding Series). Association for Computing Machinery (ACM). https://doi.org/10.1145/3343485.3343497

Soon, Wearn Qian ; Hong, Leng Poh ; Selvachandran, Ganeshsree. / Behaviour of Malaysia and Australia exchange rate in response to the prices of commodities. ICoMS 2019: Proceedings of 2019 2nd International Conference on Mathematics and Statistics. editor / João Tiago Praça Nunes Mexia ; Carlos Alberto dos Santos Braumann. 1st. ed. New York NY USA : Association for Computing Machinery (ACM), 2019. pp. 62-67 (ACM International Conference Proceeding Series).

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abstract = "A country{\textquoteright}s exchange rate and commodity price forms a two-way relationship. However, past researches showed that the exchange rate has weaker effects towards commodity price. Hence, This study focuses on the behaviour of exchange rate in response to commodity price. This work will analyzed the behaviour of Malaysia and Australia in response to commodity price is to forecast future exchange rate. This study will determine if there exists a trend in the historical commodity price and exchange rate of Australia and Malaysia over the period of 2005 to 2015. Other than observing the relationship, the exchange rate for the 2016 was also forecast by using the historical data. Historical data of price of petroleum in Malaysia and price of iron ore in Australia will be used to predict the following year{\textquoteright}s price Historical data are fitted into two prediction models which are Purchasing Power Parity (PPP) model and Autoregressive models. The most appropriate and accurate model was evaluated. Result showed that autoregressive models was found to be the best prediction model and is used to predict the future exchange rate. Using the autoregressive model, forecasted the exchange rate in 2016 was 3.417 AUD/MYR.",

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Soon, WQ, Hong, LP & Selvachandran, G 2019, Behaviour of Malaysia and Australia exchange rate in response to the prices of commodities. in JTPN Mexia & CA dos Santos Braumann (eds), ICoMS 2019: Proceedings of 2019 2nd International Conference on Mathematics and Statistics. 1st edn, ACM International Conference Proceeding Series, Association for Computing Machinery (ACM), New York NY USA, pp. 62-67, International Conference on Mathematics and Statistics 2019, Prague, Czechia, 8/07/19. https://doi.org/10.1145/3343485.3343497

Behaviour of Malaysia and Australia exchange rate in response to the prices of commodities. / Soon, Wearn Qian; Hong, Leng Poh; Selvachandran, Ganeshsree.
ICoMS 2019: Proceedings of 2019 2nd International Conference on Mathematics and Statistics. ed. / João Tiago Praça Nunes Mexia; Carlos Alberto dos Santos Braumann. 1st. ed. New York NY USA: Association for Computing Machinery (ACM), 2019. p. 62-67 (ACM International Conference Proceeding Series).

Research output: Chapter in Book/Report/Conference proceeding › Conference Paper › Other › peer-review

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Soon WQ, Hong LP, Selvachandran G. Behaviour of Malaysia and Australia exchange rate in response to the prices of commodities. In Mexia JTPN, dos Santos Braumann CA, editors, ICoMS 2019: Proceedings of 2019 2nd International Conference on Mathematics and Statistics. 1st ed. New York NY USA: Association for Computing Machinery (ACM). 2019. p. 62-67. (ACM International Conference Proceeding Series). doi: 10.1145/3343485.3343497

Behaviour of Malaysia and Australia exchange rate in response to the prices of commodities

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Keywords

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