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Structural VAR models for Malaysian monetary policy analysis during the pre- and post- 1997 Asian crisis periods
Citation
Raghavan, M and Silvapulle, P and Athanasopoulos, G, Structural VAR models for Malaysian monetary policy analysis during the pre- and post- 1997 Asian crisis periods, Applied Economics, 44, (29) pp. 3841-3856. ISSN 0003-6846 (2012) [Refereed Article]
Copyright Statement
Copyright 2012 Taylor & Francis
DOI: doi:10.1080/00036846.2011.581360
Abstract
This article conducts an in-depth investigation into building a Structural
Vector Autoregression (SVAR) model and analysing the Malaysian
monetary policy. Considerable attention is paid to: (i) the selection of
foreign, policy and target variables; (ii) establish identifying restrictions
and improve the estimates of impulse response functions; (iii) assess the
importance of intermediate channels in transmitting monetary policy
mechanism; and (iv) the way in which the 1997 Asian financial crisis
affected the working of monetary policy. Malaysia is an interesting small
open economy to study because, following this crisis, the government
imposed capital and exchange rate control measures. The overall results
suggest that the crisis and the subsequent major shift in the exchange rate
regime have significantly affected the Malaysian ‘Black Box’. In the precrisis
period, domestic variables appear to be more vulnerable to foreign
monetary shocks. Further, the exchange rate played a significant role in
transmitting the interest rate shocks, whereas credit and asset prices helped
to propagate the money shock. In the post-crisis period however, asset
prices play a more domineering role in intensifying the effects of both
interest rate and money shocks on output, and the economy was insulated
from foreign shocks.
Item Details
Item Type: | Refereed Article |
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Keywords: | identification, impulse responses, open economy, monetary policy, SVAR models, intermediate channels |
Research Division: | Economics |
Research Group: | Applied economics |
Research Field: | Macroeconomics (incl. monetary and fiscal theory) |
Objective Division: | Economic Framework |
Objective Group: | Macroeconomics |
Objective Field: | Monetary policy |
UTAS Author: | Raghavan, M (Dr Mala Raghavan) |
ID Code: | 80644 |
Year Published: | 2012 |
Web of Science® Times Cited: | 16 |
Deposited By: | Economics and Finance |
Deposited On: | 2012-11-06 |
Last Modified: | 2017-11-22 |
Downloads: | 0 |
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