Empirical tests to discern the dynamic causal chain in macroeconomic activity: new evidence from Thailand and Malaysia based on a multivariate cointegration/vector …
AMM Masih, R Masih - Journal of Policy Modeling, 1996 - Elsevier
The primary aim of this paper is to make an initial attempt to conduct empirical tests in order
to discern the dynamic causal chain—in the Granger (temporal) sense rather than in the
structural sense—among real output, money, interest rate, inflation, and the exchange rate in
the context of two small Southeast Asian developing economies, such as Thailand and
Malaysia. The methodology employed uses various unit root tests and Johansen's
cointegration test followed by vector error-correction modeling, variance decompositions …
to discern the dynamic causal chain—in the Granger (temporal) sense rather than in the
structural sense—among real output, money, interest rate, inflation, and the exchange rate in
the context of two small Southeast Asian developing economies, such as Thailand and
Malaysia. The methodology employed uses various unit root tests and Johansen's
cointegration test followed by vector error-correction modeling, variance decompositions …