Structural VAR models for Malaysian monetary policy analysis during the pre- and post-1997 Asian crisis periods

Raghavan, Mala; Silvapulle, Paramsothy; Athanasopoulos, George

doi:10.1080/00036846.2011.581360

Cited by 34 publications

(42 citation statements)

References 13 publications

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“…9 It is common in the monetary literature of small open economies to use the RUS as a proxy of foreign monetary policy (see for example Kim and Roubini, 2000;Dungey and Pagan, 2009;Raghavan et al, 2012).…”

Section: Choice Of Variablesmentioning

confidence: 99%

“…9 Since December 2008, the Federal funds rate has been close to zero and to quantify the stance of the US unconventional monetary policy in the "zero lower bound" environment, it is more appropriate to use the shadow rate as the US monetary policy variable (see Wu and Xia, 2016;Krippner, 2013, for details.). 8 Though Malaysia is an oil producing economy, it is highly trade intensive and energy intensive in its production, making it vulnerable to world commodity price changes (Downes, 2007;Raghavan et al, 2012).…”

Section: Choice Of Variablesmentioning

confidence: 99%

“…10 See for example Domac (1999); Ibrahim (2005); Umezaki (2006); Raghavan et al (2012) business cycle models (see for example Kim and Roubini, 2000). Hence the vector of variables is represented as…”

Section: Choice Of Variablesmentioning

confidence: 99%

“…To identify the contemporaneous structure of the model, we employ identification restrictions similar to Raghavan et al (2012). These are broadly consistent with the preferred theory and stylized facts.…”

Section: Introductionmentioning

confidence: 99%

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Analysis of shock transmissions to a small open emerging economy using a SVARMA model

Raghavan

Athanasopoulos

2019

Economic Modelling

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Section: Choice Of Variablesmentioning

confidence: 99%

Section: Choice Of Variablesmentioning

confidence: 99%

Section: Choice Of Variablesmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Analysis of shock transmissions to a small open emerging economy using a SVARMA model

Raghavan

Athanasopoulos

2019

Economic Modelling

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“…In addition, the SVAR uses economic theory to impose the contemporaneous relationships among the variables. This study follows Kim and Roubini (2000) and Raghavan, Silvapulle, and Athanasopoulos (2012) In the SVAR system, the author includes such variables that are important for the foreign sector, the domestic goods market and the domestic money market. Of the seven variables, the first two variables represent international conditions namely oil price index (OPI) and US Federal Fund Rate (USFFR).…”

Section: Svar Specificationmentioning

confidence: 99%

Structural Vector Autoregressive Analysis of Monetary Policy in Thailand

Arwatchanakarn¹

2017

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This paper highlights the importance of monetary policy transmission mechanism in Thailand since the 1997 financial crisis and then undertakes an empirical investigation of Thailand monetary policy. This study makes effort to address both two aspects of monetary transmission mechanism, namely channels of monetary policy and the effect of monetary policy shocks on key macroeconomic variables. To address these issues, the paper specifies structural vector autoregressive (SVAR) models and estimates them using quarterly data from 1997q3 to 2014q4. The identification schemes used in this paper follow Kim and Roubini and Raghavan, Silvapulle, and Athanasopoulos with some modifications. The overall result is that the identifying restrictions used in the SVAR seem to appropriately identify a monetary policy shock even though the exchange rate puzzle is found. The results show that interest rate and monetary aggregate have played the dominant channels of monetary transmission mechanism in Thailand, while an exchange rate channel is decreasingly significant. In addition, Thailand economy is somewhat exposed to the foreign sector especially for the world price of oil and the U.

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Monetary policy impact on the informal economy and response to shocks in the formal economy

Edeme

Nkalu

Edeh

2020

Journal of Public Affairs

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In developing countries, there has been a surge in the size of the informal economy in recent years. However, the effect of monetary policy on the informal economy and informal economy responses to shocks from the formal economy is yet to receive empirical attention. Our study aims to explore monetary policy effect on the informal economy and response to shocks in the formal economy in Nigeria for 48 years (1970–2018). Using Autoregressive Distributed Lag and Impulse Response Function, we examined empirically how various monetary policy instruments affect the informal economy and responses to shocks in the formal economy. Our result indicates that credit to the private sector along with the exchange rate had a positive and significant effect on the informal economy both in the long run and short run. The estimate further indicates bank lending rate had a positive and insignificant effect on the informal economy. Our research reveals that in the short run, the informal economy responds positively to shocks in the formal economy while the reserve is the case in the long run. These results underscore the importance of factoring the informal economy in monetary policy decisions.

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Structural VAR models for Malaysian monetary policy analysis during the pre- and post-1997 Asian crisis periods

Cited by 34 publications

References 13 publications

Analysis of shock transmissions to a small open emerging economy using a SVARMA model

Analysis of shock transmissions to a small open emerging economy using a SVARMA model

Structural Vector Autoregressive Analysis of Monetary Policy in Thailand

Monetary policy impact on the informal economy and response to shocks in the formal economy

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