Some Empirical Evidence on the Quantity Theoretic Proposition of Money in ASEAN-5

Puah, Chin-Hong and Muzafar Shah, Habibullah and Shazali, Abu Mansor (2008) Some Empirical Evidence on the Quantity Theoretic Proposition of Money in ASEAN-5. Working Paper. Universiti Malaysia Sarawak, (UNIMAS).

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Abstract

This study examines the international evidence on long-run neutrality (LRN) of money based on low frequency data from five emerging ASEAN economies, namely, Indonesia, Malaysia, the Philippines, Singapore, and Thailand, using a nonstructural reduced-form bivariate ARIMA model proposed by Fisher and Seater (1993). Empirical evidence shows that the This study examines the international evidence on long-run neutrality (LRN) of money based on low frequency data from five emerging ASEAN economies, namely, Indonesia, Malaysia, the Philippines, Singapore, and Thailand, using a nonstructural reduced-form bivariate ARIMA model proposed by Fisher and Seater (1993). Empirical evidence shows that the classical proposition cannot be rejected with respect to real export except for Thailand. However, the LRN test results are not robust to changes in money supply in countries under study with respect to real output. The narrow monetary aggregate seems to have greater impact on Indonesia, Malaysia, and Thailand economic activities as compared to the other two countries.classical proposition cannot be rejected with respect to real export except for Thailand. However, the LRN test results are not robust to changes in money supply in countries under study with respect to real output. The narrow monetary aggregate seems to have greater impact on Indonesia, Malaysia, and Thailand economic activities as compared to the other two countries.

Item Type: Monograph (Working Paper)
Uncontrolled Keywords: UNIMAS, 2008, Long-run neutrality of money, ARIMA model, ASEAN, research, Universiti Malaysia Sarawak, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education,
Subjects: H Social Sciences > HF Commerce
H Social Sciences > HG Finance
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Karen Kornalius
Date Deposited: 16 Jun 2014 04:23
Last Modified: 12 Apr 2016 02:23
URI: http://ir.unimas.my/id/eprint/3237

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