The asymmetric effects of monetary policy with respect to stock market conditions in ASEAN-5
This paper 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. Estimating the models using mont...
| Main Authors: | , , , |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
Faculty of Economics and Management, Universiti Putra Malaysia
2012
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| Online Access: | http://psasir.upm.edu.my/id/eprint/51282/ http://psasir.upm.edu.my/id/eprint/51282/1/12-25.pdf |
| _version_ | 1848851790228881408 |
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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 paper 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. Estimating the models using monthly data from 1991:1 to 2010:1, 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. These results are consistent with finance constraints (capital market imperfection) models which predict that monetary policy is more effective during bear periods than bulls. In the short-run, there is not any statistically significant relationship between monetary policy and real output. |
| first_indexed | 2025-11-15T10:27:47Z |
| format | Conference or Workshop Item |
| id | upm-51282 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T10:27:47Z |
| publishDate | 2012 |
| publisher | Faculty of Economics and Management, Universiti Putra Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-512822017-04-03T07:46:52Z http://psasir.upm.edu.my/id/eprint/51282/ The asymmetric effects of monetary policy with respect to stock market conditions in ASEAN-5 Zare, Roohollah Mohamed, Azali Habibullah, Muzafar Shah Wan Ngah, Wan Azman Saini This paper 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. Estimating the models using monthly data from 1991:1 to 2010:1, 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. These results are consistent with finance constraints (capital market imperfection) models which predict that monetary policy is more effective during bear periods than bulls. In the short-run, there is not any statistically significant relationship between monetary policy and real output. Faculty of Economics and Management, Universiti Putra Malaysia 2012 Conference or Workshop Item PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/51282/1/12-25.pdf Zare, Roohollah and Mohamed, Azali and Habibullah, Muzafar Shah and Wan Ngah, Wan Azman Saini (2012) The asymmetric effects of monetary policy with respect to stock market conditions in ASEAN-5. In: National Research & Innovation Conference for Graduate Students in Social Sciences (GS-NRIC 2012), 7-9 Dec. 2012, Mahkota Hotel, Melaka. (pp. 459-469). |
| spellingShingle | Zare, Roohollah Mohamed, Azali Habibullah, Muzafar Shah Wan Ngah, Wan Azman Saini The asymmetric effects of monetary policy with respect to stock market conditions in ASEAN-5 |
| title | The asymmetric effects of monetary policy with respect to stock market conditions in ASEAN-5 |
| title_full | The asymmetric effects of monetary policy with respect to stock market conditions in ASEAN-5 |
| title_fullStr | The asymmetric effects of monetary policy with respect to stock market conditions in ASEAN-5 |
| title_full_unstemmed | The asymmetric effects of monetary policy with respect to stock market conditions in ASEAN-5 |
| title_short | The asymmetric effects of monetary policy with respect to stock market conditions in ASEAN-5 |
| title_sort | asymmetric effects of monetary policy with respect to stock market conditions in asean-5 |
| url | http://psasir.upm.edu.my/id/eprint/51282/ http://psasir.upm.edu.my/id/eprint/51282/1/12-25.pdf |