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Stock prices and long-run demand for money: Evidence from Malaysia
Baharumshah, Ahmad Zubaidi 한국국제경제학회 2004 International Economic Journal Vol.18 No.3
This paper investigates the money demand function for Malaysia in the 1971-1996 period using the multivariate cointegration and error correction model methodology. The results suggest that a stable long-run relationship exist between real M2, the interest rate differential, income and stock prices. Stock prices have a significant negative substitute effect on long run as well as short-run broad-money demand (M2) and its omission can lead to serious misspecification in the money demand function. The analysis from the vector error correction model (VECM) and the Toda and Yamamoto (1995) causality tests find that money is endogenous and that there is at least a unidirectional relationship between stock prices and real M2. Stock prices Granger cause real M2 indirectly through income between interest rates and stock prices and stock prices and money stock. This paper comes to the conclusion that due to the endogeneity of money, M2 cannot be completely controlled by Malaysia's central bank. Therefore, in formulating future monetary policy, the response of money demand to stock prices should be considered.
East Asian Real Exchange Rates and PPP: New Evidence from Panel-data Tests
AHMAD ZUBAIDI BAHARUMSHAH,RAJ AGGARWAL,CHAN TZE HAW 연세대학교 동서문제연구원 2007 Global economic review Vol.36 No.2
This paper empirically tests purchasing power parity (PPP) using panel unit root designed for heterogeneous panels. Monthly data of six East Asian countries (South Korea, Thailand, Indonesia, Malaysia, Singapore and the Philippines) were used to test the long-run PPP relationship. This study documents the fact that unlike the pre-crises period, mean reversion in real Asian exchange rates is a feature of the post-crises period in all six countries considered in this study. It turns out that the results found in this study based on an array of panel unit root tests appears to be invariant to the choice of the numeraire currency, namely the US and Japanese yen.
Non-linearities in Real Interest Rate Parity: Evidence from OECD and Asian Developing Economies
AHMAD ZUBAIDI BAHARUMSHAH,VENUS KHIM-SEN LIEW,RON MITTELHAMMER 연세대학교 동서문제연구원 2010 Global economic review Vol.39 No.4
This paper investigates the validity real interest rate parity (RIP) for a sample of 19 OECD and Asian developing economies. The distinction of this paper is that we exploit both linearity and non-linear unit root tests as advocated by Dufre´not et al. (Applied Economics, 38, pp. 203-229, 2006) to validate the parity. The major finding are: (i) the alignments from real interest rate differentials (RIDs) are corrected in a non-linear fashion and that the adjustments is asymmetric in both size and speed; (ii) that RIP holds for the developed and developing countries; and (iii) the empirical results are invariant with respect to the US, Japan or Germany as the centre country.
Current Account Deficit Sustainability: a Panel Approach
( Ahmad Zubaidi Baharumshah ),( Evan Lau ),( Stilianos Fountas ) 세종대학교 경제통합연구소 (구 세종대학교 국제경제연구소) 2005 Journal of Economic Integration Vol.20 No.3
In this paper we attempt to examine the issue of sustainability of current account imbalances in eight East Asia countries using the latest developments in nonstationary panel data analysis. The methods of nonstationary time series panels provide a much more promising explanation than would an analysis based on pure time series or cross section data. The empirical results clearly indicate that the current account imbalances were not on the long-run steady state in the pre-crisis era (1970-1997). This leads to the conclusion that the current accounts of Asia-8 during this period were unstable and did not move towards external account equilibrium. However, strong comovements between exports and imports are found in the extended sample period that includes the post-crisis period (1970-2000). This result implies that large currency depreciations and the economic recovery have brought the Asia-8 economies back on a sustainable path. Thus, current account imbalances may be used as an indicator (or warning signal) in predicting future crises.
Monetary Model of Exchange Rate for Thailand: Long-run Relationship and Monetary Restrictions
VENUS KHIM-SEN LIEW,AHMAD ZUBAIDI BAHARUMSHAH,CHIN-HONG PUAH 연세대학교 동서문제연구원 2009 Global economic review Vol.38 No.4
This paper examines the long-run relationship between exchange rate and its determinants based on the flexible-price monetary model. The multivariate cointegration approach is adopted to attain our objective of this study. The empirical results provide evidence favoring the monetary approach to exchange rate for a small and open emerging economy, namely Thailand. In addition, the validity of the underlying assumptions of the monetary approach to the determination of exchange rate is established. The findings suggest that exchange rate players may effectively monitor and forecast the exchange rate movement via the money supplies, incomes, and interest rates variables of both Thailand and Japan. Besides, one has to follow the economic development of Thailand’s major trading partner, Japan, to understanding the movement of exchange rate for Thailand. Moreover, our findings add new insights to accompany previous studies that documented the important influence of the US in the emerging Asian economies.
Siew-Voon Soon,Ahmad Zubaidi Baharumshah,Sung K. Ahn 연세대학교 동서문제연구원 2015 Global economic review Vol.44 No.2
We show that the strong version of the purchasing power parity (PPP) hypothesis holds in most of the US dollar real exchange rates using cointegration method that accounts for breaks in the models. The break dates in seven of the Asian currencies coincide with the two rounds of currency depreciation recorded during the 1997–1998 financial crises. We obtain a mean half-life estimate of about 10 months for PPP to converge to its long-run equilibrium level. Our confidence intervals based on persistence profile approach for the half-lives is much narrower than previous evidence might indicate. Taken together, these results show that mean reversion is stronger than commonly thought.