Are structural parameters stable in Malaysia? Pre- and post-crisis analysis

This research examines whether structural parameters of new keynesian models are stable in Malaysia. We imposed the structural restrictions as in DSGE models suggested by Smets and Wouters (2003) and Wickens (2011). We then estimated whether the 2007 financial crisis changes structural parameters...

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Main Authors:	Fathin Faizah Said, Zulkefly Abdul Karim
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2016
Online Access:	http://journalarticle.ukm.my/10790/ http://journalarticle.ukm.my/10790/ http://journalarticle.ukm.my/10790/1/jeko_50%282%29-16.pdf

id	ukm-10790
recordtype	eprints
spelling	ukm-107902017-10-10T09:24:18Z http://journalarticle.ukm.my/10790/ Are structural parameters stable in Malaysia? Pre- and post-crisis analysis Fathin Faizah Said, Zulkefly Abdul Karim, This research examines whether structural parameters of new keynesian models are stable in Malaysia. We imposed the structural restrictions as in DSGE models suggested by Smets and Wouters (2003) and Wickens (2011). We then estimated whether the 2007 financial crisis changes structural parameters by using structural VAR estimation. Our parameters estimates are significant and correctly signed. This empirical finding has found that the structural parameters are not stable after the 2007 financial crisis, for employment, rate of return on loans and policy rate. However, the effects are little on the real variables such as output, investment, consumption and price level. In addition, unexpected change of demand in the non-bank private sector has puzzled the rate of return on loans after the economic crisis compared with before the economic crisis. The monetary policy shocks have given a fluctuation effect on the rate of return on loans and employment after the economic crisis. Penerbit Universiti Kebangsaan Malaysia 2016 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/10790/1/jeko_50%282%29-16.pdf Fathin Faizah Said, and Zulkefly Abdul Karim, (2016) Are structural parameters stable in Malaysia? Pre- and post-crisis analysis. Jurnal Ekonomi Malaysia, 50 (2). pp. 197-214. ISSN 0127-1962 http://www.ukm.my/fep/jem/content/2016-2.html
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	This research examines whether structural parameters of new keynesian models are stable in Malaysia. We imposed the structural restrictions as in DSGE models suggested by Smets and Wouters (2003) and Wickens (2011). We then estimated whether the 2007 financial crisis changes structural parameters by using structural VAR estimation. Our parameters estimates are significant and correctly signed. This empirical finding has found that the structural parameters are not stable after the 2007 financial crisis, for employment, rate of return on loans and policy rate. However, the effects are little on the real variables such as output, investment, consumption and price level. In addition, unexpected change of demand in the non-bank private sector has puzzled the rate of return on loans after the economic crisis compared with before the economic crisis. The monetary policy shocks have given a fluctuation effect on the rate of return on loans and employment after the economic crisis.
format	Article
author	Fathin Faizah Said, Zulkefly Abdul Karim,
spellingShingle	Fathin Faizah Said, Zulkefly Abdul Karim, Are structural parameters stable in Malaysia? Pre- and post-crisis analysis
author_facet	Fathin Faizah Said, Zulkefly Abdul Karim,
author_sort	Fathin Faizah Said,
title	Are structural parameters stable in Malaysia? Pre- and post-crisis analysis
title_short	Are structural parameters stable in Malaysia? Pre- and post-crisis analysis
title_full	Are structural parameters stable in Malaysia? Pre- and post-crisis analysis
title_fullStr	Are structural parameters stable in Malaysia? Pre- and post-crisis analysis
title_full_unstemmed	Are structural parameters stable in Malaysia? Pre- and post-crisis analysis
title_sort	are structural parameters stable in malaysia? pre- and post-crisis analysis
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	2016
url	http://journalarticle.ukm.my/10790/ http://journalarticle.ukm.my/10790/ http://journalarticle.ukm.my/10790/1/jeko_50%282%29-16.pdf
first_indexed	2023-09-18T19:58:26Z
last_indexed	2023-09-18T19:58:26Z
_version_	1777406686789632000

Are structural parameters stable in Malaysia? Pre- and post-crisis analysis

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