Linkages of Economic Activity, Stock Price andMonetary Policy: The Case of Malaysia.
Linkages of Economic Activity, Stock Price andMonetary Policy: The Case of Malaysia.
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经济活动、股票价格和货币政策的联系：马来西亚的案例。
DOI：
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发表时间：
2004
期刊：
影响因子：
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通讯作者：
Chong Chin Sieng
中科院分区：
文献类型：
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作者：
Chong Chin Sieng
一个简单的模型表明，从长期来看，真实的经济活动，股票价格，真实的利率和真实的货币余额是联系在一起的。然后，基于两个子时期的马来西亚的情况下进行实证分析。第一个子时期是当局实施选择性资本管制之前，第二个子时期是自采用这一制度以来。变量之间存在长期协整关系，支持了这一理论。在管制之前，货币供应量和利率都有效地引导了真实的经济活动。在固定汇率制度下，由于货币供应量的内生性，货币供应量不能作为货币工具使用，而利率在这种情况下发挥着积极的作用。然而，它在引导真实的经济活动方面的作用是有限的，这使得自实施资本管制以来货币政策的实施更加困难。因此，对系统中长期关系偏离的调整来源主要来自第二子期间的资产市场。当股票市场普遍表现良好时，真实的经济活动水平似乎并不主导股票价格的变动，股票价格也不滞后于利率的变动。第一个子周期存在自我实现泡沫的成分。然而，当市场普遍看涨时，股票市场被发现是经济活动水平的领先指标。
A simple model is formulated to show that real economic activities, stock prices, real interest rates and real money balances are linked in the long run. An empirical analysis is then conducted for the case of Malaysia based on two sub-periods. The first sub-period is before the implementation of selective capital controls by the authority and the second sub-period is since the adoption of this regime. Long-run cointegration is found among the variables, supporting the theory. Before the controls, both money supply and interest rates are effective in leading the real economic activities. Given its endogeneity, the money supply cannot be used as a monetary tool under a fixed exchange rate regime, and the interest rate has an active rule to play in this case. Its effect in leading the real economic activities, however, is limited rendering the conduct of monetary policy more difficult since the implementation of capital controls. Thus, the source of adjustments to deviations from the long-run relationships in the system mainly stems from the asset market during the second sub-period. When the stock market is performing well generally, the level of real economic activities do not seem to lead stock price movements and the stock prices do not lag behind interest rate changes. Some elements of self fulfilling bubbles exist in the first sub-period. However, the stock market is found to be a leading indicator of the level of economic activities when the market is generally bullish.
影响因子：
6.1
作者：
PERRON, P
通讯作者：
PERRON, P