Tang, Chor Foon (2008): Is inflation always a monetary phenomenon in Malaysia?
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The purpose of this study is to empirically re-investigate the money-prices nexus for Malaysia through the cointegration and causality techniques. This study covered the monthly data from 1971:01 to 2008:03. The Johansen cointegration test suggests that the variables are cointegrated. Furthermore, the MWALD test shows a unidirectional causal relationship run from money supply (M2) to aggregate prices, meaning that only the monetarist’s view exist in the Malaysian economy. However, the time-varying causality tests indicate that inflation is not always a monetary phenomenon in Malaysia. Therefore, the contractionary monetary policy may not an effective instrument in managing inflationary behaviour in Malaysia.
|Item Type:||MPRA Paper|
|Original Title:||Is inflation always a monetary phenomenon in Malaysia?|
|English Title:||Is inflation always a monetary phenomenon in Malaysia?|
|Keywords:||Inflation; Money; MWALD test; Recursive regression; Rolling regression|
|Subjects:||E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E31 - Price Level ; Inflation ; Deflation
E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E51 - Money Supply ; Credit ; Money Multipliers
C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
|Depositing User:||Chor Foon Tang|
|Date Deposited:||11. Jan 2010 02:17|
|Last Modified:||13. Feb 2013 07:47|
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