Simple-sum versus Divisia monetary aggregates for Malaysia: cointegration, error-correction model and exogeneity
In this study we attempt to investigate the long run relationship between money and income in Malaysia. We constructed Divisia monetary aggregates for Malaysia and compared its performance with the Simple-sum monetary aggregates for the period 1980:1 to 1994:4. The long run relationship between the...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Universiti Putra Malaysia Press
2000
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| Online Access: | http://psasir.upm.edu.my/id/eprint/3299/ http://psasir.upm.edu.my/id/eprint/3299/1/Simple-sum_Versus_Divisia_Monetary_Aggregates_for_Malaysia.pdf |
| _version_ | 1848839491261825024 |
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| author | Habibullah, Muzafar Shah Mohamed, Azali Baharumshah, Ahmad Zubaidi |
| author_facet | Habibullah, Muzafar Shah Mohamed, Azali Baharumshah, Ahmad Zubaidi |
| author_sort | Habibullah, Muzafar Shah |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | In this study we attempt to investigate the long run relationship between money and income in Malaysia. We constructed Divisia monetary aggregates for Malaysia and compared its performance with the Simple-sum monetary aggregates for the period 1980:1 to 1994:4. The long run
relationship between the monetary aggregates and income were evaluated using the Engle-Granger's two-step procedure (testing for cointegration) and the error-correction for weak exogeneity-and superexogeneity. Our result suggest that the use of monetary aggregates as policy indicators are not subject to the Lucas critique and that there is potential role for Divisia monetary aggregates as a useful guide for monetary policy purpose in Malaysia. |
| first_indexed | 2025-11-15T07:12:17Z |
| format | Article |
| id | upm-3299 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T07:12:17Z |
| publishDate | 2000 |
| publisher | Universiti Putra Malaysia Press |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-32992015-09-10T09:55:19Z http://psasir.upm.edu.my/id/eprint/3299/ Simple-sum versus Divisia monetary aggregates for Malaysia: cointegration, error-correction model and exogeneity Habibullah, Muzafar Shah Mohamed, Azali Baharumshah, Ahmad Zubaidi In this study we attempt to investigate the long run relationship between money and income in Malaysia. We constructed Divisia monetary aggregates for Malaysia and compared its performance with the Simple-sum monetary aggregates for the period 1980:1 to 1994:4. The long run relationship between the monetary aggregates and income were evaluated using the Engle-Granger's two-step procedure (testing for cointegration) and the error-correction for weak exogeneity-and superexogeneity. Our result suggest that the use of monetary aggregates as policy indicators are not subject to the Lucas critique and that there is potential role for Divisia monetary aggregates as a useful guide for monetary policy purpose in Malaysia. Universiti Putra Malaysia Press 2000-09 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/3299/1/Simple-sum_Versus_Divisia_Monetary_Aggregates_for_Malaysia.pdf Habibullah, Muzafar Shah and Mohamed, Azali and Baharumshah, Ahmad Zubaidi (2000) Simple-sum versus Divisia monetary aggregates for Malaysia: cointegration, error-correction model and exogeneity. Pertanika Journal of Social Sciences & Humanities, 8 (2). pp. 59-69. ISSN 0128-7702; ESSN: 2231-8534 http://www.pertanika.upm.edu.my/view_archives.php?journal=JSSH-8-2-9 |
| spellingShingle | Habibullah, Muzafar Shah Mohamed, Azali Baharumshah, Ahmad Zubaidi Simple-sum versus Divisia monetary aggregates for Malaysia: cointegration, error-correction model and exogeneity |
| title | Simple-sum versus Divisia monetary aggregates for Malaysia: cointegration, error-correction model and exogeneity |
| title_full | Simple-sum versus Divisia monetary aggregates for Malaysia: cointegration, error-correction model and exogeneity |
| title_fullStr | Simple-sum versus Divisia monetary aggregates for Malaysia: cointegration, error-correction model and exogeneity |
| title_full_unstemmed | Simple-sum versus Divisia monetary aggregates for Malaysia: cointegration, error-correction model and exogeneity |
| title_short | Simple-sum versus Divisia monetary aggregates for Malaysia: cointegration, error-correction model and exogeneity |
| title_sort | simple-sum versus divisia monetary aggregates for malaysia: cointegration, error-correction model and exogeneity |
| url | http://psasir.upm.edu.my/id/eprint/3299/ http://psasir.upm.edu.my/id/eprint/3299/ http://psasir.upm.edu.my/id/eprint/3299/1/Simple-sum_Versus_Divisia_Monetary_Aggregates_for_Malaysia.pdf |