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Jurnal Ekonomi Malaysia

50 (2) 2016 197 – 214

Are Structural Parameters Stable in Malaysia? Pre- and Post-Crisis Analysis
Adakah Struktur Parameter Stabil di Malaysia? Analisis Sebelum dan Selepas Krisis

Pusat Pengajian Ekonomi
Fakulti Ekonomi dan Pengurusan
Universiti Kebangsaan Malaysia
43600 UKM Bangi Selangor
MALAYSIA

fatin@ukm.edu.my

Pusat Pengajian Ekonomi
Fakulti Ekonomi dan Pengurusan
Universiti Kebangsaan Malaysia
43600 UKM Bangi Selangor
MALAYSIA

zak1972@ukm.edu.my

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’s Acknowledgement

Gratefully acknowledge the Ministry of Higher Education Malaysia and National University of Malaysia for funding this research under the Young Research Grant Scheme (GGPM). Grant number: GGPM- 2012-080.

http://dx.doi.org/10.17576/JEM-2016-5002-16
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Said, , & Abdul Karim, (2016). Are Structural Parameters Stable in Malaysia? Pre- and Post-Crisis Analysis. Jurnal Ekonomi Malaysia, 50(2), 197–214. http://dx.doi.org/10.17576/JEM-2016-5002-16

@article{said2016structural,
  title={Are Structural Parameters Stable in Malaysia? Pre- and Post-Crisis Analysis},
  author={Said, Fathin Faizah and Abdul Karim, Zulkefly},
  journal={Jurnal Ekonomi Malaysia},
  volume={50},
  number={2},
  pages={197—214},
 

year={2016},
}

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