IDEAS home Printed from https://ideas.repec.org/a/mjr/journl/v56y2019i2p243-265.html
   My bibliography  Save this article

The International Transmission of Volatility Shocks on an Emerging Economy: The Case of Malaysia

Author

Listed:
  • Said Zamin Shah

    (Department of Economics, Islamia College University)

  • Ahmad Zubaidi Baharumshah

    (INCEIF)

  • Rusmawati Said

    (Department of Economics, Faculty of Economics and Management, Universiti Putra Malaysia)

  • Rafiqa Murdipi

    (Department of Economics, Faculty of Economics and Management, Universiti Putra Malaysia)

Abstract

This study examines the effects of global economic policy uncertainty (EPU) on Malaysia’s macroeconomic indicators. Three substantive findings emerged from our inquiry based on a multivariate generalized autoregressive conditional heteroscedasticity (GARCH) model: (1) Domestic uncertainty – in nominal and real terms – seems to have no material impact on the macro-economy after controlling for global uncertainty. (2) Fluctuations in the global EPU are more important than domestic uncertainty in predicting a country’s macroeconomic variables, particularly output and CPI-based inflation. The macroeconomic variables carry signs as per theoretical expectation. (3) The model predicts that external shocks exhibit a much larger impact on macroeconomic variables than those shocks originating from domestic markets. The results have deepened our insight on how the real variables correlate with external uncertainties and the fitful recovery in the recent past.

Suggested Citation

  • Said Zamin Shah & Ahmad Zubaidi Baharumshah & Rusmawati Said & Rafiqa Murdipi, 2019. "The International Transmission of Volatility Shocks on an Emerging Economy: The Case of Malaysia," Malaysian Journal of Economic Studies, Faculty of Business and Economics, University of Malaya & Malaysian Economic Association, vol. 56(2), pages 243-265, December.
    • Handle: RePEc:mjr:journl:v:56:y:2019:i:2:p:243-265
    DOI: 10.22452/MJES.vol56no2.4
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Keywords

    Economic policy uncertainty; output growth; inflation; multivariate GARCH;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

    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:mjr:journl:v:56:y:2019:i:2:p:243-265. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Malaysian Economic Association (email available below). General contact details of provider: https://edirc.repec.org/data/pemmmea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.