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...

French Abstract: Analyse de la politique monétaire du Canada à l'aide d'un modèle structurel VARMA. Ce texte construit un modèle structurel VARMA (SVARMA) pour étudier la politique monétaire du Canada. Utilisant la méthodologie de composante scalaire proposée par Athanasopoulos et Vahid...

This paper establishes vector autoregressive moving average (VARMA) models for Malaysian monetary policy analysis by efficiently identifying and simultaneously estimating the model parameters using full information maximum likelihood. The monetary literature is largely dominated by vector...

This paper builds a structural VARMA (SVARMA) model for investigating Canadian monetary policy. Despite the support for a VARMA model for monetary policy analysis, the traditional VAR and SVAR models have predominantly been used in the literature mainly due to difficulties associated with the...