This paper presents the empirical evidence on the long-run neutrality (LRN) of money in the stock market in Malaysia using seasonal adjusted monthly data from 1978:1 to 1999:12 based on the bivariate ARIMA framework developed by Fisher and Seater (1993). Besides the main stock index, the...

This paper empirically estimates the money demand function in Cambodia. We adopt the money demand model that includes exchange rate. For the analysis, Autoregressive Distributed Lag (ARDL) approach to cointegration is employed. Our results indicate that there is cointegration among variables in...

This paper examines the long run dynamics of Mexico’s money demand using Johansen’s cointegration approach with different specifications. The empirical evidence indicates that real balances, real income and the interest rate are cointegrated in all subperiods. The findings suggest that...

There is an ongoing debate on how to identify monetary policy shocks in SVAR models. Graphical modelling exploits statistical properties of data for identification and offers a data based tool to shed light on the issue. The information set of the monetary authorities, which is essential for the...

The reform of exchange rate system in 2005 has settled down the floating exchange rate system with management in China. Until August this year, RMB/USD has appreciated about 16.65%. This paper measures the exchange market pressure (EMP) on RMB/USD, and use VAR model to analyze the relationship...

This paper tests the long run neutrality (LRN) and long run superneutrality (LRSN) propositions using annual observation from 10 member countries of the South East Asian Central Banks (SEACEN) Research and Training Centre. The Fisher and Seater (1993) methodology is applied to do the task....

This study examines the international evidence on long-run neutrality (LRN) of money based on low frequency data from five emerging ASEAN economies, namely, Indonesia, Malaysia, the Philippines, Singapore, and Thailand, using a nonstructural reduced-form bivariate ARIMA model proposed by Fisher...

This paper revisits the empirical existence of the Phillips curve in the Indian context. To estimate the Phillips curve we need two variables – inflation and the output gap. In the case of India, incorrect measurement of both variables causes much difficulty in estimating the Phillipscurve. We...

Applying nonstationary panel data econometric methods, this paper analyzes the major sources and transmission of inflation in the Gulf Cooperation Council (GCC) countries over the 1980-2008 period. We argue that, in GCC countries, money is essentially demand determined, so that the high...

In this article we analyse the industrial impact of monetary shocks since inflation targeting has been introduced in Australia (1990). These impacts are quantified by constructing a structural vector autoregressive (SVAR) model for a small open economy. Our results show that construction and...