Exchange market pressure : empirical investigation on East Asian nation
This study seeks to examine three issues of external debt, specifically (1) external debt determination; (2) external debt and economic growth nexus; and (3) external debt sustainability in three ASEAN countries, namely Malaysia, the Philippines and Thailand. Due to certain data availability, the...
| Main Author: | |
|---|---|
| Format: | Thesis |
| Language: | English |
| Published: |
Universiti Malaysia Sarawak, (UNIMAS)
2015
|
| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/10874/ http://ir.unimas.my/id/eprint/10874/3/Empirical%20Issues%20of%20External%20Debt%20in%20Selected%20ASEAN%20Countries.pdf |
| _version_ | 1848836880243621888 |
|---|---|
| author | Yong, Jenny Lijoo |
| author_facet | Yong, Jenny Lijoo |
| author_sort | Yong, Jenny Lijoo |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | This study seeks to examine three issues of external debt, specifically (1) external
debt determination; (2) external debt and economic growth nexus; and (3) external
debt sustainability in three ASEAN countries, namely Malaysia, the Philippines and
Thailand. Due to certain data availability, the time frames for all the countries are
different for each issue. Malaysia, Thailand and the Philippines utilize times series
data spanning from 1970-2012, 1977-2012 and 1976-2012, respectively for issue one.
As for second and third issues, the time frames are 1970-2012 for Malaysia; 1980-
2012 for Thailand and 1985-2012 for the Philippines. In this study, several statistical
tests are employed. Firstly, Augmented Dickey-Fuller (ADF) and Kwiatkowski,
Phillips, Schmidt and Shin (KPSS) unit root tests are implemented to test the
stationarity of the variables. Secondly, Johansen and Juselius (1990) multivariate
cointegration analysis is adopted to examine the long run cointegration relationship
among the variables. Next, Granger causality in vector error correction model
(VECM) is conducted to examine the causality relationship among the variables.
Lastly, the dynamic analysis including variance decompositions (VDCs) and impulse
response functions (IRFs) are utilized to gauge the relative strength of the variables.
The empirical results obtained indicate an existence of unidirectional causation from
inflation rate to external debt for both Malaysia and the Philippines. Apart from that,
the results of dynamic analysis show that inflation rate is the most endogenous
variables for all the countries, while real interest rate, nominal GDP and external
debt are the most exogenous variable for Malaysia, Thailand and the Philippines
respectively. The second aim is to examine the relationship between external debt
and economic growth. The empirical results show that the speed of short run adjustment appears to have fallen mostly on economic growth, where economic
growth is the cause for external debt, exports and budget balances for the three
ASEAN countries. In order to test the fiscal reaction function, methodology
developed by Bohn (1998) is adopted. This leads to a finding that Thailand has
persistent positive fiscal reaction coefficient while Malaysia and the Philippines have
negative fiscal reaction coefficient which indicate that the external debt was
unsustainable during the sample period in this study. |
| first_indexed | 2025-11-15T06:30:47Z |
| format | Thesis |
| id | unimas-10874 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T06:30:47Z |
| publishDate | 2015 |
| publisher | Universiti Malaysia Sarawak, (UNIMAS) |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-108742023-05-25T09:24:42Z http://ir.unimas.my/id/eprint/10874/ Exchange market pressure : empirical investigation on East Asian nation Yong, Jenny Lijoo H Social Sciences (General) HC Economic History and Conditions This study seeks to examine three issues of external debt, specifically (1) external debt determination; (2) external debt and economic growth nexus; and (3) external debt sustainability in three ASEAN countries, namely Malaysia, the Philippines and Thailand. Due to certain data availability, the time frames for all the countries are different for each issue. Malaysia, Thailand and the Philippines utilize times series data spanning from 1970-2012, 1977-2012 and 1976-2012, respectively for issue one. As for second and third issues, the time frames are 1970-2012 for Malaysia; 1980- 2012 for Thailand and 1985-2012 for the Philippines. In this study, several statistical tests are employed. Firstly, Augmented Dickey-Fuller (ADF) and Kwiatkowski, Phillips, Schmidt and Shin (KPSS) unit root tests are implemented to test the stationarity of the variables. Secondly, Johansen and Juselius (1990) multivariate cointegration analysis is adopted to examine the long run cointegration relationship among the variables. Next, Granger causality in vector error correction model (VECM) is conducted to examine the causality relationship among the variables. Lastly, the dynamic analysis including variance decompositions (VDCs) and impulse response functions (IRFs) are utilized to gauge the relative strength of the variables. The empirical results obtained indicate an existence of unidirectional causation from inflation rate to external debt for both Malaysia and the Philippines. Apart from that, the results of dynamic analysis show that inflation rate is the most endogenous variables for all the countries, while real interest rate, nominal GDP and external debt are the most exogenous variable for Malaysia, Thailand and the Philippines respectively. The second aim is to examine the relationship between external debt and economic growth. The empirical results show that the speed of short run adjustment appears to have fallen mostly on economic growth, where economic growth is the cause for external debt, exports and budget balances for the three ASEAN countries. In order to test the fiscal reaction function, methodology developed by Bohn (1998) is adopted. This leads to a finding that Thailand has persistent positive fiscal reaction coefficient while Malaysia and the Philippines have negative fiscal reaction coefficient which indicate that the external debt was unsustainable during the sample period in this study. Universiti Malaysia Sarawak, (UNIMAS) 2015 Thesis NonPeerReviewed text en http://ir.unimas.my/id/eprint/10874/3/Empirical%20Issues%20of%20External%20Debt%20in%20Selected%20ASEAN%20Countries.pdf Yong, Jenny Lijoo (2015) Exchange market pressure : empirical investigation on East Asian nation. Masters thesis, Universiti Malaysia Sarawak, (UNIMAS). |
| spellingShingle | H Social Sciences (General) HC Economic History and Conditions Yong, Jenny Lijoo Exchange market pressure : empirical investigation on East Asian nation |
| title | Exchange market pressure : empirical investigation on East Asian nation |
| title_full | Exchange market pressure : empirical investigation on East Asian nation |
| title_fullStr | Exchange market pressure : empirical investigation on East Asian nation |
| title_full_unstemmed | Exchange market pressure : empirical investigation on East Asian nation |
| title_short | Exchange market pressure : empirical investigation on East Asian nation |
| title_sort | exchange market pressure : empirical investigation on east asian nation |
| topic | H Social Sciences (General) HC Economic History and Conditions |
| url | http://ir.unimas.my/id/eprint/10874/ http://ir.unimas.my/id/eprint/10874/3/Empirical%20Issues%20of%20External%20Debt%20in%20Selected%20ASEAN%20Countries.pdf |