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Money-price relation in Malaysia : has it disappeared or strengthened?

The paper analyzes empirically the money-price link for the case of Malaysia using quarterly data from 1978 to 2006. Looking at the correlations between cyclical components of monetary aggregates (M1, M2 and M3) and of the price level, we note that the significant correlations documented between mon...

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Main Author: Ibrahim, Mansor H.
Format: Article
Language:English
English
Published: Springer Netherlands 2010
Online Access:http://psasir.upm.edu.my/id/eprint/15721/1/Money.pdf
http://psasir.upm.edu.my/id/eprint/15721/
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spelling my.upm.eprints.157212015-09-23T08:11:24Z http://psasir.upm.edu.my/id/eprint/15721/ Money-price relation in Malaysia : has it disappeared or strengthened? Ibrahim, Mansor H. The paper analyzes empirically the money-price link for the case of Malaysia using quarterly data from 1978 to 2006. Looking at the correlations between cyclical components of monetary aggregates (M1, M2 and M3) and of the price level, we note that the significant correlations documented between money and price during 1978-1987 tend to disappear or become perverse during late 1980s and 1990s. However, for the case of M2 and M3 monetary aggregates, their significant relations with the price level reemerge during 1998-2006. While time series analyses of cointegration and vector autoregressions (VAR) are uncertain in suggesting the pre-1998 relations between broader monetary aggregates (M2 and M3) and the price level, we note the declining role of M1 monetary aggregate in anticipating future variations in the price level for the recent sample. However, the significant causal influences of M2 and M3 are apparent post-1998. Our results further suggest 4-6-quarter lagged effect of monetary aggregates on the price level. We tend to conclude that the broad monetary aggregates especially M3 is useful for the conduct of monetary policy. © 2010 Springer Science+Business Media, LLC. Springer Netherlands 2010-11 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/15721/1/Money.pdf Ibrahim, Mansor H. (2010) Money-price relation in Malaysia : has it disappeared or strengthened? Economic Change and Restructuring, 43 (4). pp. 303-322. ISSN 1573-9414 10.1007/s10644-010-9097-1 English
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
English
description The paper analyzes empirically the money-price link for the case of Malaysia using quarterly data from 1978 to 2006. Looking at the correlations between cyclical components of monetary aggregates (M1, M2 and M3) and of the price level, we note that the significant correlations documented between money and price during 1978-1987 tend to disappear or become perverse during late 1980s and 1990s. However, for the case of M2 and M3 monetary aggregates, their significant relations with the price level reemerge during 1998-2006. While time series analyses of cointegration and vector autoregressions (VAR) are uncertain in suggesting the pre-1998 relations between broader monetary aggregates (M2 and M3) and the price level, we note the declining role of M1 monetary aggregate in anticipating future variations in the price level for the recent sample. However, the significant causal influences of M2 and M3 are apparent post-1998. Our results further suggest 4-6-quarter lagged effect of monetary aggregates on the price level. We tend to conclude that the broad monetary aggregates especially M3 is useful for the conduct of monetary policy. © 2010 Springer Science+Business Media, LLC.
format Article
author Ibrahim, Mansor H.
spellingShingle Ibrahim, Mansor H.
Money-price relation in Malaysia : has it disappeared or strengthened?
author_facet Ibrahim, Mansor H.
author_sort Ibrahim, Mansor H.
title Money-price relation in Malaysia : has it disappeared or strengthened?
title_short Money-price relation in Malaysia : has it disappeared or strengthened?
title_full Money-price relation in Malaysia : has it disappeared or strengthened?
title_fullStr Money-price relation in Malaysia : has it disappeared or strengthened?
title_full_unstemmed Money-price relation in Malaysia : has it disappeared or strengthened?
title_sort money-price relation in malaysia : has it disappeared or strengthened?
publisher Springer Netherlands
publishDate 2010
url http://psasir.upm.edu.my/id/eprint/15721/1/Money.pdf
http://psasir.upm.edu.my/id/eprint/15721/
_version_ 1643826010452393984
score 13.211869

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