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

Puah, Chin-Hong and Habibullah, Muzafar Shah and Abu Mansor, Shazali (2008): Some Empirical Evidence on the Quantity Theoretic Proposition of Money in ASEAN-5. Published in: Pakistan Journal of Applied Economics , Vol. 18, No. 1 & 2 (2008): pp. 31-47.

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 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: MPRA Paper
• Language: English
• Keywords: Long-run neutrality of money; ARIMA model; ASEAN
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; O - Economic Development, Innovation, Technological Change, and Growth > O5 - Economywide Country Studies > O53 - Asia including Middle East; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E50 - General

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