Testing Long-Run Monetary Neutrality in Malaysia: Revisiting Divisia Money

Puah, Chin-Hong and Muzafar Shah, Habibullah and Lau, Evan and Shazali, Abu Mansor (2011) Testing Long-Run Monetary Neutrality in Malaysia: Revisiting Divisia Money. [Working Paper]

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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.

Item Type: Working Paper
Uncontrolled Keywords: UNIMAS, ARIMA Model, Divisia Money, Long-run Neutrality of money, 2012, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, research, Universiti Malaysia Sarawak
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Faculties, Institutes, Centres > Faculty of Economics and Business
Depositing User: Karen Kornalius
Date Deposited: 24 Jun 2014 03:33
Last Modified: 25 Aug 2020 08:15
URI: http://ir.unimas.my/id/eprint/3244

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