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Relation between macro economic variables and government securities: Malaysian case

Author

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  • Othman, Nooramylia
  • Masih, Mansur

Abstract

The focus of this paper is to study the relationship between macroeconomic variables i.e. interbank money market (IBR), Consumer Price Index (CPI), Industrial Price Index (IPI), money supply(M2) and the performance of Malaysian Government Securities (MGS) with a view to finding out which variables are the leaders and which ones are the followers. The standard time series techniques are employed for the analysis. Malaysia is taken as a case study. The findings tend to indicate that the yield of Malaysian Government Securities (MGS) is mostly driven by the inflation rate (CPI) and money supply (M2) rather than Industrial production index (IPI) or Interbank money rate (IBR).These findings are plausible and contain strong policy implications for emerging economies like Malaysia.

Suggested Citation

  • Othman, Nooramylia & Masih, Mansur, 2018. "Relation between macro economic variables and government securities: Malaysian case," MPRA Paper 110256, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:110256
    as

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    File URL: https://mpra.ub.uni-muenchen.de/110256/1/MPRA_paper_110256.pdf
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    References listed on IDEAS

    as
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    6. Piljak, Vanja, 2013. "Bond markets co-movement dynamics and macroeconomic factors: Evidence from emerging and frontier markets," Emerging Markets Review, Elsevier, vol. 17(C), pages 29-43.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Government securities ; macroeconomic variables; VECM; VDC; Malaysia;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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