Monetary transmission mechanism of Asean-5 countries against external shocks

This thesis investigates the monetary transmission mechanism against external shocks. Many literatures suggest that the external shocks primarily world oil price and the conditions of US economy had played an important role in creating the economic crisis of 2007-2009. Therefore, this study intend...

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Main Author:	Razmi, Fatemeh
Format:	Thesis
Language:	English
Published:	2015
Subjects:	Monetary policy - Asean countries Finance - Asean countries
Online Access:	http://psasir.upm.edu.my/id/eprint/58513/1/FEP%202015%2010%20D.pdf
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id	my-upm-ir.58513
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spelling	my-upm-ir.585132022-01-12T01:42:52Z Monetary transmission mechanism of Asean-5 countries against external shocks 2015-10 Razmi, Fatemeh This thesis investigates the monetary transmission mechanism against external shocks. Many literatures suggest that the external shocks primarily world oil price and the conditions of US economy had played an important role in creating the economic crisis of 2007-2009. Therefore, this study intends to empirically investigate the effects of external shocks, in particular world oil price and the US output, whether directly or indirectly were transmitted through the channels of the monetary transmission mechanism such as interest rate, exchange rate, domestic credit, and stock price on output and domestic prices. This study employs the augmented structural VAR of Kim and Roubini (2000) and the estimation period covers the monthly data spanning from 2002 to 2013 for five original members of Association of South East Asian Nations (ASEAN-5) namely Indonesia,Malaysia, Singapore, the Philippines and Thailand. The results of the study show that before the crisis, there is a significant direct effect of external shocks to all ASEAN-5 countries. However, the indirect impacts of external shocks are insignificant for all countries except for Malaysia. In Malaysia, the effects of US output shock indirectly transmitted to the domestic economy through the channels of transmission mechanism. After the crisis period, the estimation results indicate that world oil price indirectly affect the ASEAN-5 economies except for Indonesia. For the direct effect, world oil price has significant effects on the economies of all countries while the effect of US output is only significant for Indonesia and Malaysia. The monetary authorities of ASEAN-5 countries can achieve their economic objectives in facing external shocks by influencing domestic credit and stock price. These channels are most effective channels on economies of ASEAN-5. Monetary policy - Asean countries Finance - Asean countries 2015-10 Thesis http://psasir.upm.edu.my/id/eprint/58513/ http://psasir.upm.edu.my/id/eprint/58513/1/FEP%202015%2010%20D.pdf text en public doctoral Universiti Putra Malaysia Monetary policy - Asean countries Finance - Asean countries Mohamed, Azali
institution	Universiti Putra Malaysia
collection	PSAS Institutional Repository
language	English
advisor	Mohamed, Azali
topic	Monetary policy - Asean countries Finance - Asean countries
spellingShingle	Monetary policy - Asean countries Finance - Asean countries Razmi, Fatemeh Monetary transmission mechanism of Asean-5 countries against external shocks
description	This thesis investigates the monetary transmission mechanism against external shocks. Many literatures suggest that the external shocks primarily world oil price and the conditions of US economy had played an important role in creating the economic crisis of 2007-2009. Therefore, this study intends to empirically investigate the effects of external shocks, in particular world oil price and the US output, whether directly or indirectly were transmitted through the channels of the monetary transmission mechanism such as interest rate, exchange rate, domestic credit, and stock price on output and domestic prices. This study employs the augmented structural VAR of Kim and Roubini (2000) and the estimation period covers the monthly data spanning from 2002 to 2013 for five original members of Association of South East Asian Nations (ASEAN-5) namely Indonesia,Malaysia, Singapore, the Philippines and Thailand. The results of the study show that before the crisis, there is a significant direct effect of external shocks to all ASEAN-5 countries. However, the indirect impacts of external shocks are insignificant for all countries except for Malaysia. In Malaysia, the effects of US output shock indirectly transmitted to the domestic economy through the channels of transmission mechanism. After the crisis period, the estimation results indicate that world oil price indirectly affect the ASEAN-5 economies except for Indonesia. For the direct effect, world oil price has significant effects on the economies of all countries while the effect of US output is only significant for Indonesia and Malaysia. The monetary authorities of ASEAN-5 countries can achieve their economic objectives in facing external shocks by influencing domestic credit and stock price. These channels are most effective channels on economies of ASEAN-5.
format	Thesis
qualification_level	Doctorate
author	Razmi, Fatemeh
author_facet	Razmi, Fatemeh
author_sort	Razmi, Fatemeh
title	Monetary transmission mechanism of Asean-5 countries against external shocks
title_short	Monetary transmission mechanism of Asean-5 countries against external shocks
title_full	Monetary transmission mechanism of Asean-5 countries against external shocks
title_fullStr	Monetary transmission mechanism of Asean-5 countries against external shocks
title_full_unstemmed	Monetary transmission mechanism of Asean-5 countries against external shocks
title_sort	monetary transmission mechanism of asean-5 countries against external shocks
granting_institution	Universiti Putra Malaysia
publishDate	2015
url	http://psasir.upm.edu.my/id/eprint/58513/1/FEP%202015%2010%20D.pdf
_version_	1747812215759568896

Monetary transmission mechanism of Asean-5 countries against external shocks

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