Some Empirical Evidence on the Quantity Theoretic Proposition of Money in ASEAN-5
AbstractThis study examines the international evidence on long-run neutrality (LRN) of money based on low frequency data from five emerging ASEAN economies, namely, Indonesia, Malaysia, the Philippines, Singapore, and Thailand, using a nonstructural reduced-form bivariate ARIMA model proposed by Fisher and Seater (1993). Empirical evidence shows that the classical proposition cannot be rejected with respect to real export except for Thailand. However, the LRN test results are not robust to changes in money supply in countries under study with respect to real output. The narrow monetary aggregate seems to have greater impact on Indonesia, Malaysia, and Thailand economic activities as compared to the other two countries.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 31768.
Date of creation: 2008
Date of revision:
Publication status: Published in Pakistan Journal of Applied Economics 1 & 2.18(2008): pp. 31-47
Long-run neutrality of money; ARIMA model; ASEAN;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- O53 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - Asia including Middle East
- E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
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