The international transmission of volatility shocks on an emerging economy: the case of Malaysia
This study examines the effects of global economic policy uncertainty (EPU) on Malaysia’s macroeconomic indicators. Three substantive findings emerged from our inquiry based on a multivariate generalized autoregressive conditional heteroscedasticity (GARCH) model: (1) Domestic uncertainty- in nomi...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Persatuan Ekonomi Malaysia,Malaysian Economic Association
2019
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| Online Access: | http://psasir.upm.edu.my/id/eprint/82532/ http://psasir.upm.edu.my/id/eprint/82532/1/The%20international%20transmission%20of%20volatility%20shocks%20on%20an%20emerging%20economy%20the%20case%20of%20Malaysia.pdf |
| _version_ | 1848859300573741056 |
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| author | Shah, Said Zamin Baharumshah, Ahmad Zubaidi Said, Rusmawati Murdipi, Rafiqa |
| author_facet | Shah, Said Zamin Baharumshah, Ahmad Zubaidi Said, Rusmawati Murdipi, Rafiqa |
| author_sort | Shah, Said Zamin |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | This study examines the effects of global economic policy uncertainty (EPU) on Malaysia’s macroeconomic indicators. Three substantive findings emerged from our inquiry based on a multivariate generalized autoregressive conditional
heteroscedasticity (GARCH) model: (1) Domestic uncertainty- in nominal and real terms - seems to have no material impact on the macro-economy after controlling for global uncertainty. (2) Fluctuations in the global EPU are more important than domestic uncertainty in predicting a country’s macroeconomic variables, particularly output and CPI-based inflation. The macroeconomic variables carry signs as per theoretical expectation. (3) The model predicts that external shocks exhibit a much larger impact on macroeconomic variables than those shocks originating from domestic markets. The results have deepened our insight on how the real variables correlate with external uncertainties and the fitful recovery in the recent past. |
| first_indexed | 2025-11-15T12:27:09Z |
| format | Article |
| id | upm-82532 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T12:27:09Z |
| publishDate | 2019 |
| publisher | Persatuan Ekonomi Malaysia,Malaysian Economic Association |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-825322020-11-15T23:08:11Z http://psasir.upm.edu.my/id/eprint/82532/ The international transmission of volatility shocks on an emerging economy: the case of Malaysia Shah, Said Zamin Baharumshah, Ahmad Zubaidi Said, Rusmawati Murdipi, Rafiqa This study examines the effects of global economic policy uncertainty (EPU) on Malaysia’s macroeconomic indicators. Three substantive findings emerged from our inquiry based on a multivariate generalized autoregressive conditional heteroscedasticity (GARCH) model: (1) Domestic uncertainty- in nominal and real terms - seems to have no material impact on the macro-economy after controlling for global uncertainty. (2) Fluctuations in the global EPU are more important than domestic uncertainty in predicting a country’s macroeconomic variables, particularly output and CPI-based inflation. The macroeconomic variables carry signs as per theoretical expectation. (3) The model predicts that external shocks exhibit a much larger impact on macroeconomic variables than those shocks originating from domestic markets. The results have deepened our insight on how the real variables correlate with external uncertainties and the fitful recovery in the recent past. Persatuan Ekonomi Malaysia,Malaysian Economic Association 2019 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/82532/1/The%20international%20transmission%20of%20volatility%20shocks%20on%20an%20emerging%20economy%20the%20case%20of%20Malaysia.pdf Shah, Said Zamin and Baharumshah, Ahmad Zubaidi and Said, Rusmawati and Murdipi, Rafiqa (2019) The international transmission of volatility shocks on an emerging economy: the case of Malaysia. Malaysian Journal of Economic Studies, 56 (2). pp. 243-265. ISSN 1511-4554 0.22452/MJES.vol56no2.4 |
| spellingShingle | Shah, Said Zamin Baharumshah, Ahmad Zubaidi Said, Rusmawati Murdipi, Rafiqa The international transmission of volatility shocks on an emerging economy: the case of Malaysia |
| title | The international transmission of volatility shocks on an emerging economy: the case of Malaysia |
| title_full | The international transmission of volatility shocks on an emerging economy: the case of Malaysia |
| title_fullStr | The international transmission of volatility shocks on an emerging economy: the case of Malaysia |
| title_full_unstemmed | The international transmission of volatility shocks on an emerging economy: the case of Malaysia |
| title_short | The international transmission of volatility shocks on an emerging economy: the case of Malaysia |
| title_sort | international transmission of volatility shocks on an emerging economy: the case of malaysia |
| url | http://psasir.upm.edu.my/id/eprint/82532/ http://psasir.upm.edu.my/id/eprint/82532/ http://psasir.upm.edu.my/id/eprint/82532/1/The%20international%20transmission%20of%20volatility%20shocks%20on%20an%20emerging%20economy%20the%20case%20of%20Malaysia.pdf |