Can Inflation be Claimed As A Monetary Phenomenon? The Malaysian Experience

Yıl 2017, Cilt: 7 Sayı: 3, 453 - 460, 01.09.2017

Chor Foon Tang Ilhan Ozturk

Öz

The purpose of this study is to empirically re-investigate the money-prices nexus for Malaysia through the cointegration and causality techniques. This study covered the monthly data from 1971:M1 to 2014:M8. The Maki multiple breaks cointegration test suggests that the variables are cointegrated. Furthermore, the MWALD test shows a unidirectional causal relationship run from money supply (M2) to aggregate prices, meaning that only the monetarist’s view exist in the Malaysian economy. However, the time-varying causality tests indicate that inflation is not always a monetary phenomenon in Malaysia. Therefore, the contractionary monetary policy may not an effective instrument in managing inflationary behaviour in Malaysia.

Anahtar Kelimeler

Cointegration, Inflation, Money, Recursive regression, Rolling regression