Testing long-run monetary neutrality in Malaysia: Revisiting divisia money
This study re-examines the long-run neutrality (LRN) of money on real output in Malaysia using quarterly Divisia money data from 1981:1 to 2004:4 based on Fisher and Seater’s (1993) nonstructural reduced form bivariate ARIMA model. Special attention has been given in identifying the number of unit root and cointegrating vector, as a meaningful LRN test is critically depends on such properties. Empirical results indicate that LRN is deviated from Malaysian economy when Divisia money is used. In particular, Divisia monetary expansion seems to have long-run positive effect on real output in Malaysia.
|Date of creation:||Apr 2006|
|Publication status:||Published in Journal of International Business and Economics 1.VI(2006): pp. 110-115|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
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- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992.
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- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
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- Fisher, Mark E & Seater, John J, 1993. "Long-Run Neutrality and Superneutrality in an ARIMA Framework," American Economic Review, American Economic Association, vol. 83(3), pages 402-415, June.
- Diewert, W. E., 1976. "Exact and superlative index numbers," Journal of Econometrics, Elsevier, vol. 4(2), pages 115-145, May. Full references (including those not matched with items on IDEAS)
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