Testing long-run monetary neutrality in Malaysia: Revisiting divisia money
AbstractThis study re-examines the long-run neutrality (LRN) of money on real output in Malaysia using quarterly Divisia money data from 1981:1 to 2004:4 based on Fisher and Seater’s (1993) nonstructural reduced form bivariate ARIMA model. Special attention has been given in identifying the number of unit root and cointegrating vector, as a meaningful LRN test is critically depends on such properties. Empirical results indicate that LRN is deviated from Malaysian economy when Divisia money is used. In particular, Divisia monetary expansion seems to have long-run positive effect on real output in Malaysia.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 31750.
Date of creation: Apr 2006
Date of revision:
Publication status: Published in Journal of International Business and Economics 1.VI(2006): pp. 110-115
ARIMA Model; Divisia Money; Long-run Neutrality of Money;
Find related papers by JEL classification:
- C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
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