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The asymmetric effects of monetary policy with respect to stock market conditions in ASEAN-5


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).


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.

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Additional Metadata

Item Type: Conference or Workshop Item (Paper)
Divisions: Faculty of Economics and Management
Publisher: Faculty of Economics and Management, Universiti Putra Malaysia
Keywords: Monetary policy; Stock market; Bull; Bear; Asymmetry; Pooled mean group
Depositing User: Nabilah Mustapa
Date Deposited: 03 Apr 2017 07:46
Last Modified: 03 Apr 2017 07:46
URI: http://psasir.upm.edu.my/id/eprint/51282
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