Relative price effects of monetary policy shock in Malaysia: a SVAR study
Studies on Malaysia monetary policy mostly examine the effect of monetary policy change on output and inflation in aggregate terms. While sectoral output effects of monetary policy have also been investigated, there is however a lack in the study on the effect of policy change on disaggregated infla...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Faculty of Economics and Business, Universiti Malaysia Sarawak
2016
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| Online Access: | http://psasir.upm.edu.my/id/eprint/53765/ http://psasir.upm.edu.my/id/eprint/53765/1/Relative%20price%20effects%20of%20monetary%20policy%20shock%20in%20Malaysia.pdf |
| _version_ | 1848852370285395968 |
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| author | Zaidi, Mohd. Azlan Shah Abdul Karim, Zulkefly Wan Ngah, Wan Azman Saini |
| author_facet | Zaidi, Mohd. Azlan Shah Abdul Karim, Zulkefly Wan Ngah, Wan Azman Saini |
| author_sort | Zaidi, Mohd. Azlan Shah |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | Studies on Malaysia monetary policy mostly examine the effect of monetary policy change on output and inflation in aggregate terms. While sectoral output effects of monetary policy have also been investigated, there is however a lack in the study on the effect of policy change on disaggregated inflation. This paper attempts to examine the later issue by employing structural vector autoregressive (SVAR) model. By estimating the model separately for each sub-group of Malaysian consumer price index, we find that a modest monetary policy shock results in varying degree of responses in disaggregated inflation. In other words, some sub-group inflation react instantly while others respond sluggishly to a monetary policy shock. In contrast to aggregate inflation response, there is also evidence of price puzzle. The results give some insight to monetary authority on how to control inflation in aggregate as well as in disaggregate terms and in turn manage the cost of living issues in Malaysia. |
| first_indexed | 2025-11-15T10:37:00Z |
| format | Article |
| id | upm-53765 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T10:37:00Z |
| publishDate | 2016 |
| publisher | Faculty of Economics and Business, Universiti Malaysia Sarawak |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-537652018-01-16T06:41:35Z http://psasir.upm.edu.my/id/eprint/53765/ Relative price effects of monetary policy shock in Malaysia: a SVAR study Zaidi, Mohd. Azlan Shah Abdul Karim, Zulkefly Wan Ngah, Wan Azman Saini Studies on Malaysia monetary policy mostly examine the effect of monetary policy change on output and inflation in aggregate terms. While sectoral output effects of monetary policy have also been investigated, there is however a lack in the study on the effect of policy change on disaggregated inflation. This paper attempts to examine the later issue by employing structural vector autoregressive (SVAR) model. By estimating the model separately for each sub-group of Malaysian consumer price index, we find that a modest monetary policy shock results in varying degree of responses in disaggregated inflation. In other words, some sub-group inflation react instantly while others respond sluggishly to a monetary policy shock. In contrast to aggregate inflation response, there is also evidence of price puzzle. The results give some insight to monetary authority on how to control inflation in aggregate as well as in disaggregate terms and in turn manage the cost of living issues in Malaysia. Faculty of Economics and Business, Universiti Malaysia Sarawak 2016 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/53765/1/Relative%20price%20effects%20of%20monetary%20policy%20shock%20in%20Malaysia.pdf Zaidi, Mohd. Azlan Shah and Abdul Karim, Zulkefly and Wan Ngah, Wan Azman Saini (2016) Relative price effects of monetary policy shock in Malaysia: a SVAR study. International Journal of Business and Society, 17 (1). pp. 47-62. ISSN 1511-6670 http://www.ijbs.unimas.my/index.php/content-abstract/all-issues/45-vol-17-no-1-2016/273-relative-price-effects-of-monetary-policy-shock-in-malaysia-a-svar-study |
| spellingShingle | Zaidi, Mohd. Azlan Shah Abdul Karim, Zulkefly Wan Ngah, Wan Azman Saini Relative price effects of monetary policy shock in Malaysia: a SVAR study |
| title | Relative price effects of monetary policy shock in Malaysia: a SVAR study |
| title_full | Relative price effects of monetary policy shock in Malaysia: a SVAR study |
| title_fullStr | Relative price effects of monetary policy shock in Malaysia: a SVAR study |
| title_full_unstemmed | Relative price effects of monetary policy shock in Malaysia: a SVAR study |
| title_short | Relative price effects of monetary policy shock in Malaysia: a SVAR study |
| title_sort | relative price effects of monetary policy shock in malaysia: a svar study |
| url | http://psasir.upm.edu.my/id/eprint/53765/ http://psasir.upm.edu.my/id/eprint/53765/ http://psasir.upm.edu.my/id/eprint/53765/1/Relative%20price%20effects%20of%20monetary%20policy%20shock%20in%20Malaysia.pdf |