Puah, Chin-Hong and Habibullah, Muzafar Shah and Lau, Evan and Abu Mansor, Shazali (2006): Testing long-run monetary neutrality in Malaysia: Revisiting divisia money. Published in: Journal of International Business and Economics , Vol. VI, No. 1 (October 2006): pp. 110-115.
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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:||MPRA Paper|
|Original Title:||Testing long-run monetary neutrality in Malaysia: Revisiting divisia money|
|Keywords:||ARIMA Model; Divisia Money; Long-run Neutrality of Money|
|Subjects:||C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C43 - Index Numbers and Aggregation
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General
E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E50 - General
|Depositing User:||Chin-Hong Puah|
|Date Deposited:||21. Jun 2011 15:48|
|Last Modified:||30. Dec 2015 20:22|
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