Monetary policy effectiveness and stock market cycles in ASEAN-5
This article examines the asymmetric effects of monetary policy on real output in bull and bear phases of stock market in five ASEAN economies (Malaysia, Singapore, Indonesia, the Philippines and Thailand) using the recently developed pooled mean group (PMG) technique. Stock market cycles are identi...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Routledge
2014
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| Online Access: | http://psasir.upm.edu.my/id/eprint/34592/ http://psasir.upm.edu.my/id/eprint/34592/1/Monetary%20policy%20effectiveness%20and%20stock%20market%20cycles%20in%20ASEAN-5.pdf |
| _version_ | 1848847816898641920 |
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| author | Zare, Roohollah Mohamed, Azali Habibullah, Muzafar Shah Wan Ngah, Wan Azman Saini |
| author_facet | Zare, Roohollah Mohamed, Azali Habibullah, Muzafar Shah Wan Ngah, Wan Azman Saini |
| author_sort | Zare, Roohollah |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | This article examines the asymmetric effects of monetary policy on real output in bull and bear phases of stock market in five ASEAN economies (Malaysia, Singapore, Indonesia, the Philippines and Thailand) using the recently developed pooled mean group (PMG) technique. Stock market cycles are identified by employing Markov switching models and the rule-based nonparametric approach. Estimating the models using monthly data from 1991:1 to 2011:12, the results show that monetary policy (measured by short-term interest rate) has a negative and statistically significant long-run effect on real output in bull and bear market periods while the effects are stronger in bear periods than bulls. In the short run, there is no statistically significant relationship between monetary policy and real output. These results are consistent with finance constraints (capital market imperfection) models that predict that monetary policy is more effective during bear periods than bulls. |
| first_indexed | 2025-11-15T09:24:37Z |
| format | Article |
| id | upm-34592 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T09:24:37Z |
| publishDate | 2014 |
| publisher | Routledge |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-345922016-10-06T01:58:20Z http://psasir.upm.edu.my/id/eprint/34592/ Monetary policy effectiveness and stock market cycles in ASEAN-5 Zare, Roohollah Mohamed, Azali Habibullah, Muzafar Shah Wan Ngah, Wan Azman Saini This article examines the asymmetric effects of monetary policy on real output in bull and bear phases of stock market in five ASEAN economies (Malaysia, Singapore, Indonesia, the Philippines and Thailand) using the recently developed pooled mean group (PMG) technique. Stock market cycles are identified by employing Markov switching models and the rule-based nonparametric approach. Estimating the models using monthly data from 1991:1 to 2011:12, the results show that monetary policy (measured by short-term interest rate) has a negative and statistically significant long-run effect on real output in bull and bear market periods while the effects are stronger in bear periods than bulls. In the short run, there is no statistically significant relationship between monetary policy and real output. These results are consistent with finance constraints (capital market imperfection) models that predict that monetary policy is more effective during bear periods than bulls. Routledge 2014 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/34592/1/Monetary%20policy%20effectiveness%20and%20stock%20market%20cycles%20in%20ASEAN-5.pdf Zare, Roohollah and Mohamed, Azali and Habibullah, Muzafar Shah and Wan Ngah, Wan Azman Saini (2014) Monetary policy effectiveness and stock market cycles in ASEAN-5. Applied Economics, 46 (20). pp. 2362-2374. ISSN 0003-6846; ESSN: 1466-4283 http://www.tandfonline.com/doi/abs/10.1080/00036846.2014.899673 10.1080/00036846.2014.899673 |
| spellingShingle | Zare, Roohollah Mohamed, Azali Habibullah, Muzafar Shah Wan Ngah, Wan Azman Saini Monetary policy effectiveness and stock market cycles in ASEAN-5 |
| title | Monetary policy effectiveness and stock market cycles in ASEAN-5 |
| title_full | Monetary policy effectiveness and stock market cycles in ASEAN-5 |
| title_fullStr | Monetary policy effectiveness and stock market cycles in ASEAN-5 |
| title_full_unstemmed | Monetary policy effectiveness and stock market cycles in ASEAN-5 |
| title_short | Monetary policy effectiveness and stock market cycles in ASEAN-5 |
| title_sort | monetary policy effectiveness and stock market cycles in asean-5 |
| url | http://psasir.upm.edu.my/id/eprint/34592/ http://psasir.upm.edu.my/id/eprint/34592/ http://psasir.upm.edu.my/id/eprint/34592/ http://psasir.upm.edu.my/id/eprint/34592/1/Monetary%20policy%20effectiveness%20and%20stock%20market%20cycles%20in%20ASEAN-5.pdf |