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Relative price effects of monetary policy shock in Malaysia: a SVAR study


Citation

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

Abstract

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.


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Additional Metadata

Item Type: Article
Divisions: Faculty of Economics and Management
Publisher: Faculty of Economics and Business, Universiti Malaysia Sarawak
Keywords: Monetary policy; SVAR; Inflation; Relative price
Depositing User: Nurul Ainie Mokhtar
Date Deposited: 16 Jan 2018 06:41
Last Modified: 16 Jan 2018 06:41
URI: http://psasir.upm.edu.my/id/eprint/53765
Statistic Details: View Download Statistic

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