IDEAS home Printed from https://ideas.repec.org/a/taf/intecj/v13y1999i1p103-120.html
   My bibliography  Save this article

Dynamic Causal Chain of Money, Output, Interest Rate and Prices in Malaysia: Evidence Based On Vector Error- Correction Modelling Analysis

Author

Listed:
  • Tan Hui Boon
  • Baharumshah Ahmad Zubaidi

Abstract

The dynamic causal chain among money, real output, interest rate, and inflation is Reexamined in the context of a small fast-growing economy using the recently developed techniques of Johansen's multivariate conitegration analysis followed by vector error-correction modelling, Granger causality, variance decompositions, and impulse response functions. The results of the multivariate cointegration tests suggested a stable long-run equilibrium relationship exists among these macroeconomic variables. The short-run results based on vector error-correction modeling, on the other hand, support the New Keynesians' view that money is non- neutral, at least in the short-run. It also indicates that monetary policy can contribute to the stability of domestic prices. M1, among the various definitions of money stock, has been identified as the most effective intermediate monetary target to curb inflation. M3, in turn, has been suggested as the most appropriate intermediate target to promote sustainable economic growth with contained inflation. For this economy, the deviation of the macroeconomic activity from its long-run equilibrium is adjusted through changes in the money stock and prices [E44]

Suggested Citation

  • Tan Hui Boon & Baharumshah Ahmad Zubaidi, 1999. "Dynamic Causal Chain of Money, Output, Interest Rate and Prices in Malaysia: Evidence Based On Vector Error- Correction Modelling Analysis," International Economic Journal, Taylor & Francis Journals, vol. 13(1), pages 103-120.
  • Handle: RePEc:taf:intecj:v:13:y:1999:i:1:p:103-120
    DOI: 10.1080/10168739900000032
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/10168739900000032
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Venus Khim-Sen Liew, 2004. "Which Lag Length Selection Criteria Should We Employ?," Economics Bulletin, AccessEcon, vol. 3(33), pages 1-9.
    2. Tang, Maggie May-Jean, 2016. "A Review of the Literature on Monetary Neutrality," MPRA Paper 70113, University Library of Munich, Germany.
    3. Tang, Maggie May-Jean & Puah, Chin-Hong & Awang Marikan, Dayang-Affizzah, 2013. "Empirical Evidence on the Long-Run Neutrality Hypothesis Using Divisia Money," MPRA Paper 50020, University Library of Munich, Germany.
    4. Cai, Yifei, 2016. "货币供给数量、结构与经济增长—来自adl门限协整检验与时变格兰杰因果关系检验的证据
      [Quantity and Structure of Money Supply and Economic Growth— Evidence from ADL Test for Threshold Cointegration and Time-varying Granger Causality Relation
      ," MPRA Paper 73750, University Library of Munich, Germany.
    5. Venus Khim-Sen Liew, 2004. "On Autoregressive Order Selection Criteria," Computational Economics 0404001, EconWPA.
    6. Masih, Mansur & AbdulKarim, Fatima, 2014. "Dynamic causal chain of money, output, interest rate, exchange rate and prices: Nigeria as a case study," MPRA Paper 58240, University Library of Munich, Germany.
    7. Rasika Perera & Masaru Ichihashi, 2016. "Financial Development and Economic Growth in Sri Lanka," IDEC DP2 Series 6-6, Hiroshima University, Graduate School for International Development and Cooperation (IDEC).
    8. Tang, Chor Foon, 2008. "Is inflation always a monetary phenomenon in Malaysia?," MPRA Paper 19778, University Library of Munich, Germany.
    9. repec:eco:journ1:2017-03-59 is not listed on IDEAS

    More about this item

    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:taf:intecj:v:13:y:1999:i:1:p:103-120. 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: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/RIEJ20 .

    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 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.

    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.