IDEAS home Printed from https://ideas.repec.org/a/eaa/ijaeqs/v1y2004i1_1.html
   My bibliography  Save this article

A VAR Analysis of US and Japanese Effects on Malaysian Aggregate and Sectoral Output

Author

Listed:
  • Ibrahim, M.H

Abstract

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.

Suggested Citation

  • Ibrahim, M.H, 2004. "A VAR Analysis of US and Japanese Effects on Malaysian Aggregate and Sectoral Output," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 1(1), pages 5-28.
  • Handle: RePEc:eaa:ijaeqs:v:1:y2004:i:1_1
    as

    Download full text from publisher

    File URL: http://www.usc.es/economet/reviews/ijaeqs111.pdf
    Download Restriction: No

    References listed on IDEAS

    as
    1. 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.
    2. 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.
    3. 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.
    4. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    5. 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.
    6. 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.
    7. Yin-Wong Cheung, 2000. "Hong Kong Output Dynamics: An Empirical Analysis," Working Papers 112000, Hong Kong Institute for Monetary Research.
    8. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    9. 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.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    International Business Cycle Transmissions; Malaysia; Sectoral Output; VAR Analysis;

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • O53 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Asia including Middle East
    • O56 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Oceania

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. 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). General contact details of provider: http://www.usc.es/economet/eaa.htm .

    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 CitEc recognized a reference but did not link an item in RePEc 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.