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Monetary transmission mechanism of Asean-5 countries against external shocks


Razmi, Fatemeh (2015) Monetary transmission mechanism of Asean-5 countries against external shocks. Doctoral thesis, Universiti Putra Malaysia.


This thesis investigates the monetary transmission mechanism against external shocks. Many literatures suggest that the external shocks primarily world oil price and the conditions of US economy had played an important role in creating the economic crisis of 2007-2009. Therefore, this study intends to empirically investigate the effects of external shocks, in particular world oil price and the US output, whether directly or indirectly were transmitted through the channels of the monetary transmission mechanism such as interest rate, exchange rate, domestic credit, and stock price on output and domestic prices. This study employs the augmented structural VAR of Kim and Roubini (2000) and the estimation period covers the monthly data spanning from 2002 to 2013 for five original members of Association of South East Asian Nations (ASEAN-5) namely Indonesia,Malaysia, Singapore, the Philippines and Thailand. The results of the study show that before the crisis, there is a significant direct effect of external shocks to all ASEAN-5 countries. However, the indirect impacts of external shocks are insignificant for all countries except for Malaysia. In Malaysia, the effects of US output shock indirectly transmitted to the domestic economy through the channels of transmission mechanism. After the crisis period, the estimation results indicate that world oil price indirectly affect the ASEAN-5 economies except for Indonesia. For the direct effect, world oil price has significant effects on the economies of all countries while the effect of US output is only significant for Indonesia and Malaysia. The monetary authorities of ASEAN-5 countries can achieve their economic objectives in facing external shocks by influencing domestic credit and stock price. These channels are most effective channels on economies of ASEAN-5.

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Additional Metadata

Item Type: Thesis (Doctoral)
Subject: Monetary policy - Asean countries
Subject: Finance - Asean countries
Call Number: FEP 2015 10
Chairman Supervisor: Professor Azali Mohamed, PhD
Divisions: Faculty of Economics and Management
Depositing User: Haridan Mohd Jais
Date Deposited: 24 May 2018 08:09
Last Modified: 12 Jan 2022 01:42
URI: http://psasir.upm.edu.my/id/eprint/58513
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