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Keywords: Generalized impulse response
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Journal Articles
Granger-causes of the Ringgit-US dollar exchange rate after 2005
Available to Purchase
Journal:
Journal of Financial Economic Policy
Journal of Financial Economic Policy (2020) 12 (1): 77–96.
Published: 12 June 2019
... uses lag-augmented vector autoregression (LA-VAR) developed by Toda and Yamamoto (1995) to test for Granger-causality. To visualize short-run dynamics in the Malaysian Ringgit (RM)-USD exchange rate to shocks in predictor variables, generalized impulse-response functions ( Pesaran and Shin, 1998...
