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Penganggaran Fungsi Permintaan Wang di Malaysia Menggunakan Pendekatan Simetri dan Asimetri: Perbandingan Indeks Penjumlahan Mudah dan Divisia

Author

Listed:
  • Kamaruddin, Amirul Afiq

    (Fakulti Ekonomi dan Pengurusan Universiti Kebangsaan Malaysia 43600 UKM Bangi, Malaysia)

  • Khalid, Norlin

    (Fakulti Ekonomi dan Pengurusan Universiti Kebangsaan Malaysia 43600 UKM Bangi, Malaysia)

Abstract

This study aims to estimate the money demand function by using simple sum monetary aggregates M1 and M2 monetary aggregate with weighted monetary aggregate Divisia DM1 and DM2. Both Divisia monetary aggregate for narrow money DM1 and Divisia for broad money DM2 are built using following discrete time estimation by Tornquist (1936) and Theil (1967). Divisia index is said to be better than the simple summation index as differences in liquidity levels and the cost of each asset in the monetary aggregates are taking into account by putting a different weight according to the liquidity level. Unlike previous studies, this study estimates the money demand function in asymmetric term by using the Non-Linear Autoregressive Distributed Lag (NARDL). The results proved the existence of a long-term relationship between money demand for both types of monetary aggregates with income levels, interest rates, and the inflation rates. This study also supports the existence of the effect of asymmetry in money demand for Malaysia. The implications of the study show that it is important for policy makers to take into account the effect of the asymmetry in income levels in determining the demand for money and its determinants in Malaysia.

Suggested Citation

  • Kamaruddin, Amirul Afiq & Khalid, Norlin, 2016. "Penganggaran Fungsi Permintaan Wang di Malaysia Menggunakan Pendekatan Simetri dan Asimetri: Perbandingan Indeks Penjumlahan Mudah dan Divisia," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 50(2), pages 181-195.
    • Handle: RePEc:ukm:jlekon:v:50:y:2016:i:2:p:181-195
    DOI: http://dx.doi.org/10.17576/JEM-2016-5002-15
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