This article examines the asymmetric effects of monetary policy on real output in bull and bear phases of stock market in five ASEAN economies (Malaysia, Singapore, Indonesia, the Philippines and Thailand) using the recently developed pooled mean group (PMG) technique. Stock market cycles are...

This study examines the usefulness of divisia money, relative to simple sum money, for exchange rate modelling in a period of rapid financial deregulation. This comparison is conducted using the monetary model of the exchange rate. In the long-run modelling, the divisia money is significantly...

This study examines the validity of four different variants of the monetary model of exchange rate determination for Malaysia covering both the pre- and post-crisis periods using the vector error-correction models. The findings demonstrate that for both periods, the variables used are...

The existence of long-run relationships among the ASEAN-5 equity markets is empirically investigated. This study utilized weekly data spanning January 1988 to August 1999. The results of Granger noncausality test due to Toda and Yamamoto (Journal of Econometrics,66, 225-50, 1995) reveal that the...

Using the Bernanke's contemporaneous structural VAR, this paper investigates the role of money and credit in the monetary transmission mechanism during the pre- and post-liberalization periods in Malaysia. During the pre-liberalization period where credit and interest rates were regulated, the...

This study examines the validity of the long run structural relations underlying the monetary exchange rate model for Malaysia, Singapore, The Philippines and Thailand. Take into consideration the possibility of structural change, we examined the models using recent developed techniques of...

Utilizing the formal linearity test of Luukkonen, Saikkonen and Terasvirta (Biometrika, 75, 491-499, 1998) as diagnostic tool, the empirical finding suggests that the linear autoregressive (AR) model is inadequate in describing the real exchange rates behaviour of 11 Asian economies. It is noted...

This article re-examines the evidence of return predictability for three major US stock indices using two recently developed data-driven tests, namely the automatic portmanteau Box--Pierce test and the wild bootstrapped automatic variance ratio test. In tracking the time variation of return...