Impact of Singapore, US and Japanese macroeconomic shocks on Malaysian economy: a sign-restricted SVAR analysis

This paper examines the relative importance of Singapore, US and Japanese macroeconomic shocks on Malaysian economy. Employing structural vector auto regression (SVAR) model with a sign restriction approach, the study estimates four models. Each model consists of four domestic macroeconomic variab...

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Main Authors:	Mohd Azlan Shah Zaidi, Zulkefly Abdul Karim
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2014
Online Access:	http://journalarticle.ukm.my/8374/ http://journalarticle.ukm.my/8374/ http://journalarticle.ukm.my/8374/1/7771-20206-1-SM.pdf

id	ukm-8374
recordtype	eprints
spelling	ukm-83742016-12-14T06:47:04Z http://journalarticle.ukm.my/8374/ Impact of Singapore, US and Japanese macroeconomic shocks on Malaysian economy: a sign-restricted SVAR analysis Mohd Azlan Shah Zaidi, Zulkefly Abdul Karim, This paper examines the relative importance of Singapore, US and Japanese macroeconomic shocks on Malaysian economy. Employing structural vector auto regression (SVAR) model with a sign restriction approach, the study estimates four models. Each model consists of four domestic macroeconomic variables (output, inflation, interest rate and exchange rate) and three foreign variables (output, inflation and interest rate) of US, Japan, Singapore and the all countries trade-weighted variables, respectively. The results of the study reveal that, relative to domestic shocks, foreign shocks appear to play more prominent role in influencing domestic macroeconomic variables. Among the three foreign countries being investigated, the effect of shock of Singapore is the most dominant. The US effect comes second and the Japanese effect comes last. When Singapore’s variables are the only foreign factors in the system, their shocks bring about significant variation to Malaysian variables especially the output. Consequently, in modeling the effect of foreign factors on Malaysian economy, Singapore effect should be taken into account. This is important as Singapore is not only one of Malaysia’s long-term major trading partners, but it is also one of the Malaysia’s closest neighbors by geographical distance. Penerbit Universiti Kebangsaan Malaysia 2014 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/8374/1/7771-20206-1-SM.pdf Mohd Azlan Shah Zaidi, and Zulkefly Abdul Karim, (2014) Impact of Singapore, US and Japanese macroeconomic shocks on Malaysian economy: a sign-restricted SVAR analysis. Jurnal Pengurusan, 41 . pp. 113-122. ISSN 0127-2713 http://ejournal.ukm.my/pengurusan/index
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	This paper examines the relative importance of Singapore, US and Japanese macroeconomic shocks on Malaysian economy. Employing structural vector auto regression (SVAR) model with a sign restriction approach, the study estimates four models. Each model consists of four domestic macroeconomic variables (output, inflation, interest rate and exchange rate) and three foreign variables (output, inflation and interest rate) of US, Japan, Singapore and the all countries trade-weighted variables, respectively. The results of the study reveal that, relative to domestic shocks, foreign shocks appear to play more prominent role in influencing domestic macroeconomic variables. Among the three foreign countries being investigated, the effect of shock of Singapore is the most dominant. The US effect comes second and the Japanese effect comes last. When Singapore’s variables are the only foreign factors in the system, their shocks bring about significant variation to Malaysian variables especially the output. Consequently, in modeling the effect of foreign factors on Malaysian economy, Singapore effect should be taken into account. This is important as Singapore is not only one of Malaysia’s long-term major trading partners, but it is also one of the Malaysia’s closest neighbors by geographical distance.
format	Article
author	Mohd Azlan Shah Zaidi, Zulkefly Abdul Karim,
spellingShingle	Mohd Azlan Shah Zaidi, Zulkefly Abdul Karim, Impact of Singapore, US and Japanese macroeconomic shocks on Malaysian economy: a sign-restricted SVAR analysis
author_facet	Mohd Azlan Shah Zaidi, Zulkefly Abdul Karim,
author_sort	Mohd Azlan Shah Zaidi,
title	Impact of Singapore, US and Japanese macroeconomic shocks on Malaysian economy: a sign-restricted SVAR analysis
title_short	Impact of Singapore, US and Japanese macroeconomic shocks on Malaysian economy: a sign-restricted SVAR analysis
title_full	Impact of Singapore, US and Japanese macroeconomic shocks on Malaysian economy: a sign-restricted SVAR analysis
title_fullStr	Impact of Singapore, US and Japanese macroeconomic shocks on Malaysian economy: a sign-restricted SVAR analysis
title_full_unstemmed	Impact of Singapore, US and Japanese macroeconomic shocks on Malaysian economy: a sign-restricted SVAR analysis
title_sort	impact of singapore, us and japanese macroeconomic shocks on malaysian economy: a sign-restricted svar analysis
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	2014
url	http://journalarticle.ukm.my/8374/ http://journalarticle.ukm.my/8374/ http://journalarticle.ukm.my/8374/1/7771-20206-1-SM.pdf
first_indexed	2023-09-18T19:52:14Z
last_indexed	2023-09-18T19:52:14Z
_version_	1777406296421564416

Impact of Singapore, US and Japanese macroeconomic shocks on Malaysian economy: a sign-restricted SVAR analysis

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