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- 저자 : MANSOR H. IBRAHIM (검색결과 3 건)
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Sectoral Effects of Ringgit Depreciation Shocks
Mansor H.Ibrahim 중앙대학교 경제연구소 2007 Journal of Economic Development Vol.32 No.2
The paper seeks to address two important questions-namely, is exchange rate depreciation expansionary or contractionary and are there distributional consequences of exchange rate shocks for the case of Malaysia? In the paper, we consider the relations between aggregate output as well as eight sectoral outputs and real effective exchange rate in multivariate setting. Applying multivariate cointegration test, we find evidence for cointegration among the variables for all sectors. More importantly, both real output (aggregate output as well as all sectoral output) and real exchange rate contribute significantly to the cointegration space, affirming the presence of long run relations between the two focused variables. In most cases, the estimated cointegrating vectors suggest expansionary currency depreciation. Our simulated dynamics using generalized impulse responses further substantiate this finding especially over longer horizons. Over shorter horizons, however, exchange rate depreciation can be contractionary for certain sectors particularly for the construction sector. Lastly, we also find evidence indicative of the differential effects of the currency shocks. Comparatively, the manufacturing sector, transport, storage and communication sector, and finance, insurance, real estates and business services sector seem to be affected more by exchange rate fluctuations.
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Level and Volatility of Stock Prices and Aggregate Investment: The Case of Thailand
MANSOR H. IBRAHIM 연세대학교 동서문제연구원 2011 Global economic review Vol.40 No.4
The present paper analyzes the aggregate investment behaviour for Thailand and its relations to real stock prices and stock market volatility. In the analysis, we focus on their long run relations as well as their dynamic causal interactions by means of time series techniques of cointegration and vector autoregression (VAR). Our basic framework consists of real aggregate investment, real output, lending rate, real stock prices and stock market volatility. We obtain evidence for their long run relation and that, in the long run, real aggregate investment is positively related to real stock prices and negatively related to the stock market volatility.The generalized impulse-response functions (IRF) generated from the VAR also paint similar picture in that the real aggregate investment reacts positively to shocks in real stock prices and negatively to innovations in stock market volatility. These results tend to be robust when we extend the framework to include alternatively real credits, real effective exchange rate and real government spending.
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