Research

Sabariah Nordin · Afiruddin Tapa · Hamdan Al-Jaifi ·International Journal of Supply Chain Management ·2018

This study intends to identify the long run relationships between oil price, exchange rates, stock market and interest rate in the context of Malaysia. Weekly data from 1 January 2006 until 22 April 2018 were used. Unit root tests of ADF and PP reveal that all variables are non-stationary at level and become integrated and stationary at first differential series, hence ratify that these variables can be used for further long run investigation. An ARDL bound test and Johansen and Juselius cointegration test suggest the existence of actual long-run relationship between oil price, stock price index, exchange rate and interest rate in Malaysia. Results of Granger causality indicates the presence of unidirectional causality between oil prices and Malaysian stock market running from oil prices to the stock price index. Results also suggest that there is a presence of bidirectional causality between interest rate and oil prices which means causality is running from interest rate to oil prices and from oil prices to the interest rate. Lastly, the results also propose that there is an existence of uni-directional causality between exchange rate and oil prices, running from the exchange rate to the oil prices at 10 percent significance level. Even the results of wavelet coherence approach confirm long run relationships between the underlying variables.

Chai-Thing Tan · Azali Mohamed · Muzafar Shah Habibullah · Lee Chin ·South Asian Journal of Macroeconomics and Public Finance ·2020 ·JEL: E52, E58, E62, C01

This article analyses the impact of monetary and fiscal policies on economic growth in Malaysia, Singapore and Thailand from 1980:Q1 to 2017:Q1. Autoregressive distributed lag (ARDL) approach is employed to determine the long-run relationship. Further, a range of econometric models, such as fully modified least squares method (FMOLS), canonical cointegration regression (CCR) and dynamic ordinary least squares method (DOLS), are applied to check the robustness. The results are stable and robust as all the models yield consistency result. The main findings in this study demonstrate that: (a) interest rate had a negative impact on economic growth in three selected countries.