Halaju wang di Malaysia : bukti empirik

Abdul Karim, Zulkefly and Jusoh, Mansor and Khalid, Norlin (2008): Halaju wang di Malaysia : bukti empirik. Published in: International Journal of Management Studies (IJMS) , Vol. 17, No. 1 (June 2010): 149--170.

Abstract

This paper aims to examine the volatility of money velocity and also to estimate the velocity of money function in Malaysia by using the quarterly time series data. This study employed the recent econometric techniques such as volatility model in ARCH and GARCH framework, Johansen co integration test and Vector Error Correction Model (VECM). The results show that the velocity of money for M1 (V1) and M2 (V2) are volatile and persistence rather than M3 (V3). The Johansen co integration test result indicates that the existence of long run relationship between velocity of money V1, V2 and V3 on the dependent variables, such as bond interest rate, deposit rate and income. Furthermore, the VECM result showed that the changes in dependent variables such as bond interest rate, deposit rate and income are significantly to influence the changes in velocity of money for V2 and V3 in the long run. Conversely, in the short run, a change in the national income has only significantly to cause the changes in the velocity of money V2 and V3, while the interest rate has significant effect to cause the velocity of money V3.

• Item Type: MPRA Paper
• English Title: The velocity of money in Malaysia : empirical evidence
• Language: Malay
• Keywords: Velocity of money, volatility, time series techniques
• 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; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E51 - Money Supply ; Credit ; Money Multipliers; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E40 - General

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