Relative Price Effects of Monetary Policy Shock in Malaysia: A Svar Study

Zaidi, Mohd Azlan Shah; Karim, Zulkefly Abdul; Azman-Saini, W.N.W.

doi:10.33736/ijbs.512.2016

Cited by 6 publications

(11 citation statements)

References 32 publications

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“…For domestic block, several restrictions are drawn from existing studies that are related to the Malaysian economy and policy analysis (Karim & Karim, 2016;Raghavan, 2015;Raghavan, Silvapulle, & Athanasopoulos, 2012;Razmi et al, 2015Razmi et al, , 2016Shariq et al, 2016;Zaidi et al, 2013Zaidi et al, , 2016Zaidi & Fisher, 2010). As Malaysia is an oil exporting and emerging economy, shocks in global oil factors have impacts on the real sectors and stock market.…”

Section: Model Identificationmentioning

confidence: 99%

Oil price shocks, global economic policy uncertainty, geopolitical risk, and stock price in Malaysia: Factor augmented VAR approach

Hoque

Wah

Zaidi

2019

Economic Research-Ekonomska Istraživanja

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This article examines the impacts of the geopolitical risk, global economic policy uncertainty, and oil price shocks on stock prices in Malaysia using factor augmented SVAR approach. The findings show that while geopolitical risk has no significant direct impacts on the overall stock market, its indirect impacts are significant and transmitted through the global economic policy uncertainty and oil shocks channels. Global economic policy uncertainty exerts negative effects on the overall stock market and its impacts are magnified by geopolitical risk. Oil related shocks exhibit asymmetric effects on both the aggregated and sectoral stock price. The impacts of oil demand shock on stock price are amplified by global economic uncertainty factor whereas oil supply shocks impacts are amplified by the geopolitical risk factor. At sectoral level, the impacts of all the global shocks vary across different sectors and time. The overall findings imply that global economic policy uncertainty and oil demand shock factors are systematic risk factors that can be employed to forecast stock market returns. The findings also provide implications for policymakers to regulate markets in maintaining financial stability and investors to react to future shocks in these global economic factors with regard to the risks and opportunities.

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Section: Model Identificationmentioning

confidence: 99%

Oil price shocks, global economic policy uncertainty, geopolitical risk, and stock price in Malaysia: Factor augmented VAR approach

Hoque

Wah

Zaidi

2019

Economic Research-Ekonomska Istraživanja

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“…Their results showed that, given the exposure of domestic monetary policy to foreign shocks, both money supply and interest rate are significant in stabilizing output and inflation in Malaysia. Subsequently, Zaidi and Karim (2014) and Zaidi et al (2016) extended the study on monetary policy shock in Malaysia into different direction. Zaidi and Karim (2014) further assessed the impact of several foreign shocks from Singapore, Japan, and the US on Malaysian economy.…”

Section: Literature Reviewmentioning

confidence: 99%

“…By using a sign-restricted SVAR model, their results show that the foreign shock from Singapore appears to be the most dominant relatively to the shocks from the US and Japan. On the other hand, Zaidi et al (2016) examined the effect of monetary policy shock on disaggregated inflation. They found that a modest monetary policy shock would trigger different degree of responses in disaggregated inflation, in which the varying levels of price stickiness are observed in different sectors.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Monetary policy shock is also allowed to affect consumption spending within a quarter, this practice is customary in existing literature (Bagliano & Favero 1998). Coming to the asset prices, the equation assumes that only the changes in stock price will induce a response in household consumption expenditure within a quarter, while the effect of house price shocks come with a lag, due to the different liquidity, stickiness and measurement accuracy of these two asset classes (Zaidi et al, 2016).…”

Section: T = (Ce T Y T M T Hp T Sp T )'mentioning

confidence: 99%

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Roles of Housing Wealth and Financial Wealth in Monetary Transmission Mechanism in Malaysia

Cheah¹,

Law²

2017

JEM

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This study analyses the wealth channel of the monetary policy transmission mechanism in Malaysia. Given the underdevelopment and non-inclusion of housing wealth in previous literature regarding the wealth channel in Malaysia, this research aims to find out (1) whether monetary policy shocks significantly affect asset prices, (2) whether asset prices fluctuations have significant influences on household consumption, and (3) whether house prices and stock prices have significant and equivalent roles in the operation of the wealth channel. In order to fulfill the research objectives, this study employs a methodological framework of structural vector autoregression (SVAR). By constructing a SVAR model with 5 endogenous variables and 68 quarterly observations in Malaysia from 1999Q1 to 2015Q4, the findings support the positive impacts from monetary expansion to the asset price level, and later from asset price fluctuation on aggregate consumption spending in Malaysia. The effect of monetary policy is mainly transmitted through financial wealth, in particular, the stock market, whereas the contribution of housing wealth is virtually nil in the wealth channel.

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“…Jepun dalam mempengaruhi ekonomi di sesebuah negara adalah Zaidi et al (2016) yang mengkaji kesan kejutan dasar kewangan terhadap harga relatif di Malaysia.…”

Section: Antara Kajian Lain Yang Menggunakan Negara Amerika Danunclassified

Kesan Dasar Fiskal Terhadap Perbelanjaan Swasta: Analisis SVAR di Malaysia

2017

JEM

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Bermula dengan episod belanjawan defisit yang berpanjangan sejak tahun 1998 di Negara Sedang Membangun (NSM), menunjukkan kutipan hasil cukai kerajaan tidak berupaya untuk menampung perbelanjaan yang menyebabkan kerajaan perlu memikirkan sumber pembiayaan alternatif seperti melalui terbitan bon. Mengikut teori dana boleh pinjam, terbitan bon kerajaan menyebabkan penurunan harga bon dan seterusnya cenderung meningkatkan kadar bunga pasaran. Kenaikan kadar bunga pasaran menyebabkan kos dana meningkat yang menyebabkan firma cenderung mengecilkan saiz pelaburan. Ini menunjukkan peningkatan perbelanjaan kerajaan yang dibiayai melalui terbitan bon tidak dapat memberikan kesan sepenuhnya kepada peningkatan pendapatan negara malahan mewujudkan kesan asakan keluar ke atas pelaburan swasta. Kertas ini bertujuan untuk mengkaji keberkesanan dasar fiskal iaitu kejutan positif perbelanjaan kerajaan dan hasil kerajaan (cukai) terhadap pelaburan swasta di Malaysia. Kajian ini menggunakan model SVAR (Structural Vector Autoregressive) dalam ekonomi terbuka yang bersaiz kecil untuk mengenal pasti tindak balas dinamik kejutan dasar fiskal terhadap pelaburan swasta. Data kajian adalah data siri masa sukuan bagi tempoh 1991:1-2016:3. Analisis fungsi tindak balas impulse dan penguraian varian telah digunakan untuk mengupas kesan dasar fiskal terhadap perbelanjaan swasta. Hasil kajian menunjukkan kesan kejutan perbelanjaan kerajaan mewujudkan kesan asakan keluar terhadap pelaburan swasta, manakala bagi penggunaan swasta mengalami kesan positif. Bagi kesan kejutan hasil cukai kerajaan menunjukkan keputusan yang sama iaitu pelaburan swasta mengalami kesan negatif manakala penggunaan swasta mengalami kesan positif.

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Relative Price Effects of Monetary Policy Shock in Malaysia: A Svar Study

Cited by 6 publications

References 32 publications

Oil price shocks, global economic policy uncertainty, geopolitical risk, and stock price in Malaysia: Factor augmented VAR approach

Oil price shocks, global economic policy uncertainty, geopolitical risk, and stock price in Malaysia: Factor augmented VAR approach

Roles of Housing Wealth and Financial Wealth in Monetary Transmission Mechanism in Malaysia

Kesan Dasar Fiskal Terhadap Perbelanjaan Swasta: Analisis SVAR di Malaysia

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