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

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)197-214
Number of pages18
JournalJurnal Ekonomi Malaysia
Volume50
Issue number2
DOIs
Publication statusPublished - 2016

Fingerprint

Rate of return
Economic crisis
Structural parameters
Malaysia
Loans
Financial crisis
Price level
Structural VAR
DSGE models
Employment rate
Fluctuations
Private sector
Monetary policy shocks
New Keynesian model

Keywords

  • Global financial crisis
  • Structural parameters

ASJC Scopus subject areas

  • Business, Management and Accounting (miscellaneous)

Cite this

Are structural parameters stable in Malaysia? Pre- and post-crisis analysis. / Said, Fathin Faizah; Abdul Karim, Zulkefly.

In: Jurnal Ekonomi Malaysia, Vol. 50, No. 2, 2016, p. 197-214.

Research output: Contribution to journalArticle

@article{7c83fa8caaac4dabb47261e78df16ea3,
title = "Are structural parameters stable in Malaysia? Pre- and post-crisis analysis",
abstract = "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.",
keywords = "Global financial crisis, Structural parameters",
author = "Said, {Fathin Faizah} and {Abdul Karim}, Zulkefly",
year = "2016",
doi = "10.17576/JEM-2016-5001-16",
language = "English",
volume = "50",
pages = "197--214",
journal = "Jurnal Ekonomi Malaysia",
issn = "0126-1962",
publisher = "Penerbit Universiti Kebangsaan Malaysia",
number = "2",

}

TY - JOUR

T1 - Are structural parameters stable in Malaysia? Pre- and post-crisis analysis

AU - Said, Fathin Faizah

AU - Abdul Karim, Zulkefly

PY - 2016

Y1 - 2016

N2 - 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.

AB - 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.

KW - Global financial crisis

KW - Structural parameters

UR - http://www.scopus.com/inward/record.url?scp=85010950703&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85010950703&partnerID=8YFLogxK

U2 - 10.17576/JEM-2016-5001-16

DO - 10.17576/JEM-2016-5001-16

M3 - Article

VL - 50

SP - 197

EP - 214

JO - Jurnal Ekonomi Malaysia

JF - Jurnal Ekonomi Malaysia

SN - 0126-1962

IS - 2

ER -