A VAR Analysis of US and Japanese Effects on Malaysian Aggregate and Sectoral Output
The paper analyzes the relative influences of US, Japanese and domestic disturbances on domestic fluctuations for the case of Malaysia. Utilizing VAR framework and quarterly data from 1978 to 1999, we focus on their influences on aggregate fluctuations as well as on sectoral cycles. Our results suggest that aggregate and sectoral output fluctuations originate principally from domestic sources. However, the importance of the US and Japanese business cycles can not be ignored as they exert quite substantial influences on domestic output variability. Comparatively, the Japanese influences seem to be larger. However, from sectoral perspectives, there are disparities in the responses of sectoral output to US and Japanese disturbances. While some sectors are affected more by disturbances in Japan, other sectors seem to be more vulnerable to the US shocks. From a policy point of view, policy designs that ensure predictable domestic macroeconomic environment are most important and they need to be aligned more to those of Japan for curbing output variability. Which sectors should be given focus, however, depends crucially on the sources of disturbances.
Volume (Year): 1 (2004)
Issue (Month): 1 ()
|Contact details of provider:|| Web page: http://www.usc.es/economet/eaa.htm|
|Order Information:|| Web: http://www.usc.es/economet/info.htm Email: |
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Sheng, Hsiao-Ching & Tu, Anthony H., 2000. "A study of cointegration and variance decomposition among national equity indices before and during the period of the Asian financial crisis," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 345-365, December.
- Nicholas de Roos & Bill Russell, 2000.
"An Empirical Note on the Influence of the US Stock Market on Australian Economic Activity,"
Dundee Discussion Papers in Economics
109, Economic Studies, University of Dundee.
- de Roos, Nicolas & Russell, Bill, 2000. "An Empirical Note on the Influence of the US Stock Market on Australian Economic Activity," Australian Economic Papers, Wiley Blackwell, vol. 39(3), pages 291-300, September.
- Yin-Wong Cheung, 2001.
"Hong Kong Output Dynamics: An Empirical Analysis,"
CESifo Working Paper Series
482, CESifo Group Munich.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Selover, David D., 1999. "International Interdependence and Business Cycle Transmission in ASEAN," Journal of the Japanese and International Economies, Elsevier, vol. 13(3), pages 230-253, September.
- Phylaktis, Kate, 1997.
"Capital market integration in the Pacific-Basin region: An analysis of real interest rate linkages,"
Pacific-Basin Finance Journal,
Elsevier, vol. 5(2), pages 195-213, June.
- Kate Phylaktis, 1995. "Capital Market Integration in the Pacific Basin Region; An Analysis of Real Interest Rate Linkages," IMF Working Papers 95/133, International Monetary Fund.
- Cha, Baekin & Oh, Sekyung, 2000. "The relationship between developed equity markets and the Pacific Basin's emerging equity markets," International Review of Economics & Finance, Elsevier, vol. 9(4), pages 299-322, October.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
When requesting a correction, please mention this item's handle: RePEc:eaa:ijaeqs:v:1:y2004:i:1_1. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (M. Carmen Guisan)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.