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Tests of the different variants of the monetary model in a developing economy : Malaysian experience in the pre-and post-crisis periods.


Citation

Lee, Chin and Azali, Mohamed and M. Masih, Abul Mansur (2009) Tests of the different variants of the monetary model in a developing economy : Malaysian experience in the pre-and post-crisis periods. Applied Economics, 41 (15). pp. 1893-1902. ISSN 0003-6846

Abstract / Synopsis

This study examines the validity of four different variants of the monetary model of exchange rate determination for Malaysia covering both the pre- and post-crisis periods using the vector error-correction models. The findings demonstrate that for both periods, the variables used are cointegrated. Tests tend to suggest that of the four variants of monetary model, the sticky-price model holds in both periods and the flexible-price model holds only in the post-crisis period. The proportionality between the exchange rate and relative money does not hold in any period. The plotted actual and fitted exchange rates for both sub-samples show that the models are able to track the actual exchange rate trend quiet well.


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Additional Metadata

Item Type: Article
Divisions: Faculty of Economics and Management
DOI Number: https://doi.org/10.1080/00036840601131797
Publisher: Routledge
Keywords: Monetary Model; Cointegration analysis; Currency market; Error correction; Exchange rate; Financial crisis; Monetary policy.
Depositing User: Emelda Mohd Hamid
Date Deposited: 18 Oct 2013 16:23
Last Modified: 05 Oct 2015 15:31
Altmetrics: http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.1080/00036840601131797
URI: http://psasir.upm.edu.my/id/eprint/17000
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