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The international transmission of volatility shocks on an emerging economy: the case of Malaysia

This study examines the effects of global economic policy uncertainty (EPU) on Malaysia’s macroeconomic indicators. Three substantive findings emerged from our inquiry based on a multivariate generalized autoregressive conditional heteroscedasticity (GARCH) model: (1) Domestic uncertainty- in nomi...

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Main Authors: Shah, Said Zamin, Baharumshah, Ahmad Zubaidi, Said, Rusmawati, Murdipi, Rafiqa
Format: Article
Language:English
Published: Persatuan Ekonomi Malaysia,Malaysian Economic Association 2019
Online Access:http://psasir.upm.edu.my/id/eprint/82532/1/The%20international%20transmission%20of%20volatility%20shocks%20on%20an%20emerging%20economy%20the%20case%20of%20Malaysia.pdf
http://psasir.upm.edu.my/id/eprint/82532/
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spelling my.upm.eprints.825322020-11-15T23:08:11Z http://psasir.upm.edu.my/id/eprint/82532/ The international transmission of volatility shocks on an emerging economy: the case of Malaysia Shah, Said Zamin Baharumshah, Ahmad Zubaidi Said, Rusmawati Murdipi, Rafiqa This study examines the effects of global economic policy uncertainty (EPU) on Malaysia’s macroeconomic indicators. Three substantive findings emerged from our inquiry based on a multivariate generalized autoregressive conditional heteroscedasticity (GARCH) model: (1) Domestic uncertainty- in nominal and real terms - seems to have no material impact on the macro-economy after controlling for global uncertainty. (2) Fluctuations in the global EPU are more important than domestic uncertainty in predicting a country’s macroeconomic variables, particularly output and CPI-based inflation. The macroeconomic variables carry signs as per theoretical expectation. (3) The model predicts that external shocks exhibit a much larger impact on macroeconomic variables than those shocks originating from domestic markets. The results have deepened our insight on how the real variables correlate with external uncertainties and the fitful recovery in the recent past. Persatuan Ekonomi Malaysia,Malaysian Economic Association 2019 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/82532/1/The%20international%20transmission%20of%20volatility%20shocks%20on%20an%20emerging%20economy%20the%20case%20of%20Malaysia.pdf Shah, Said Zamin and Baharumshah, Ahmad Zubaidi and Said, Rusmawati and Murdipi, Rafiqa (2019) The international transmission of volatility shocks on an emerging economy: the case of Malaysia. Malaysian Journal of Economic Studies, 56 (2). pp. 243-265. ISSN 1511-4554 0.22452/MJES.vol56no2.4
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
description This study examines the effects of global economic policy uncertainty (EPU) on Malaysia’s macroeconomic indicators. Three substantive findings emerged from our inquiry based on a multivariate generalized autoregressive conditional heteroscedasticity (GARCH) model: (1) Domestic uncertainty- in nominal and real terms - seems to have no material impact on the macro-economy after controlling for global uncertainty. (2) Fluctuations in the global EPU are more important than domestic uncertainty in predicting a country’s macroeconomic variables, particularly output and CPI-based inflation. The macroeconomic variables carry signs as per theoretical expectation. (3) The model predicts that external shocks exhibit a much larger impact on macroeconomic variables than those shocks originating from domestic markets. The results have deepened our insight on how the real variables correlate with external uncertainties and the fitful recovery in the recent past.
format Article
author Shah, Said Zamin
Baharumshah, Ahmad Zubaidi
Said, Rusmawati
Murdipi, Rafiqa
spellingShingle Shah, Said Zamin
Baharumshah, Ahmad Zubaidi
Said, Rusmawati
Murdipi, Rafiqa
The international transmission of volatility shocks on an emerging economy: the case of Malaysia
author_facet Shah, Said Zamin
Baharumshah, Ahmad Zubaidi
Said, Rusmawati
Murdipi, Rafiqa
author_sort Shah, Said Zamin
title The international transmission of volatility shocks on an emerging economy: the case of Malaysia
title_short The international transmission of volatility shocks on an emerging economy: the case of Malaysia
title_full The international transmission of volatility shocks on an emerging economy: the case of Malaysia
title_fullStr The international transmission of volatility shocks on an emerging economy: the case of Malaysia
title_full_unstemmed The international transmission of volatility shocks on an emerging economy: the case of Malaysia
title_sort international transmission of volatility shocks on an emerging economy: the case of malaysia
publisher Persatuan Ekonomi Malaysia,Malaysian Economic Association
publishDate 2019
url http://psasir.upm.edu.my/id/eprint/82532/1/The%20international%20transmission%20of%20volatility%20shocks%20on%20an%20emerging%20economy%20the%20case%20of%20Malaysia.pdf
http://psasir.upm.edu.my/id/eprint/82532/
_version_ 1684654759951204352
score 13.211869

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