Monetary policy – Jurnal Pengurusan

Adakah Saluran Pinjaman Bank Dasar Monetari Relevan? Kajian Data Panel dari Indonesia

Nazira Adnan — Wed, 12 Oct 2022 06:10:03 +0000

This paper aims to investigate the relevance of bank lending channel in Indonesia by using bank level data set for a period from 1990 to 2010. A static panel data method namely fixed effects and random effects model are used in estimating the banks’ loan supply function. Besides monetary policy variable, several macroeconomic variables (real GDP and inflation), and bank characteristic variables (bank size, liquidity and bank capital) are also considered in estimating the banks’ loan supply function. The findings support the existence of bank lending channel in Indonesia, in which the banks’ loan supply is negatively and significantly influenced by monetary policy. The banks’ specific variables such as bank liquidity and bank capital ratio are statistically significant and negatively correlated, while asset size is significant and positively correlated with the banks’ loan supply.

Impact of Singapore, US and Japanese Macroeconomic Shocks on Malaysian Economy: A Sign-Restricted SVAR Analysis

Nazira Adnan — Sun, 09 Oct 2022 05:43:09 +0000

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.

The Dynamic Causality between Money and Macroeconomic Activity: Empirical Evidence from Nigeria (1960-2011)

syazahzwni — Sat, 08 Oct 2022 21:18:03 +0000

This paper examines the dynamic causality between money and macroeconomic activities (output, interest rate, exchange rate and prices) in Nigeria between 1960 and 2011. The methodologies applied include the multivariate cointegration test developed by Johansen (1988) and Johansen and Juselius (1990), the Granger causality test in vector error correction model (VECM), impulse response function (IRF) and variance decomposition (VDC) method. The cointegration test indicates that a long run relationship exists among the macroeconomic variables. The VECM results show that, in the short-run, real GDP and money supply stand out econometrically exogenous, whereas the presence of causal relationships among the variables shows that money supply is not neutral in the short-run. There are unidirectional short-run relationships running from (1) broad money to price, (2) money supply to interest rate and (3) narrow money to exchange rate. The IRF indicates that a positive money shock would increase output and prices, while decreasing interest rates. The exchange rate, however, will remain relatively unchanged and stable for the first two years before decreasing. Considering the definitions of money stocks, broad money (M2) appears to have a stronger causal effect on real output than narrow money (M1). The VDCs show that money supply contains better information about the source of shocks that is affecting the economy when compared to others variables. This implies that money supply could be very useful for predicting the current and future growth rate in output and prices in the Nigerian economy. The Granger causal chain implies that the findings are consistent with the quantity theory of money as opposed to other economic paradigms. However, it also suggests that monetary policy alone is insufficient to achieve sustainable economic growth and price stability.

Monetary Policy Shocks, Financial Constraints and Firm-Level Equity Return: Panel Evidence

SITI HASLINA TON ZAINAL ABIDIN — Sat, 08 Oct 2022 20:13:13 +0000

The present paper investigates the effect of monetary policy shocks upon the equity returns of financially constrained and less-constrained firms in Malaysia for the 1990-2008 period using firm-level data. Monetary policy shocks are generated via a recursive structural VAR (SVAR) identification scheme that allows the monetary authority to set the overnight interbank rate after observing the current value of world oil price, foreign income, foreign monetary policy, domestic output and inflation. The Malaysian firms examined are divided into two categories based upon the cash flow to income ratio, namely financially constrained and financially less-constrained. After augmenting the Fama and French (1992, 1996) multifactor model using a dynamic panel data approach, the results reveal that equity returns of financially constrained firms are more affected by domestic monetary policy than the returns of less constrained firms. Meanwhile, international monetary policy shocks significantly influence the equity returns of financially less-constrained firms, but not those of financially constrained firms.