The Relationship Between Klci and Monetary Policy After the 1997 Financial Crisis (original) (raw)

2008

Abstract

Using Autoregressive Distributed Lag (ARDL) and Johansen cointegration with structural break, the long run and short run interactions between stock market (KLCI) and monetary policy (M1, M2 and Interest Rate) are examined in Malaysia with monthly data after 2000 to date. Our results indicate that; a) There is significant long run and short run relationship in the sample period, b) Johansen test with structural break gives more robust result.

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