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https://ptsldigital.ukm.my/jspui/handle/123456789/485852Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | Abu Hassan Shaari Md Nor, Prof. Dr. | |
| dc.contributor.author | Shafighi Najla (P55467) | |
| dc.date.accessioned | 2023-10-10T09:06:33Z | - |
| dc.date.available | 2023-10-10T09:06:33Z | - |
| dc.date.issued | 2015-09 | |
| dc.identifier.other | ukmvital:83981 | |
| dc.identifier.uri | https://ptsldigital.ukm.my/jspui/handle/123456789/485852 | - |
| dc.description | This study aims to identify the possibility of forming a common currency area in ASEAN-5 members (Indonesia, Malaysia, Philippines, Singapore, and Thailand) together with some East Asian countries, including China, Japan, Korea, Hong Kong, and Taiwan. This objective is tested via financial integration and monetary integration among these countries. Financial integration is examined through the integration of the major macroeconomic variables which are exchange rate, level of prices, and real output via Pedroni (2004) and Maddala-Wu (1999) panel cointegration approaches. Therefore this research intends to identify any long-term relationship among these variables by utilizing the data in the most efficient manner via panel unit root and panel cointegration approaches. The study likewise uses a panel-based vector error correction (panel-vec) model for short-run relationship analysis. The long-run relationship is estimated using dynamic ordinary least square (DOLS), fully modified ordinary least square (FMOLS), and panel multilayer perceptron (panel-MLP) artificial neural network techniques. Monetary integration is evaluated through external and internal shocks. More specifically, monetary integration empirically investigates the symmetry of underlying shocks and tests the correlation in shocks. A five-variable structural vector autoregressive model is applied and hence various types of shocks in ten East Asian economies are identified. Variance decomposition of shocks and impulse response function are used to identify the size of disturbances and the speed of adjustment to shocks. The empirical results from monetary integration perspective indicate that, (i) correlation exists among external supply shocks, external monetary shocks, domestic supply, domestic monetary, and domestic demand shocks. (ii) The size of disturbances is identified to be small and speed of adjustment is obtained to be high. (iii) The result of impulse response function indicate that pattern of the response of exchange rate to shocks is similar only in Indonesia, Japan, Hong Kong, Korea, Malaysia, and Philippines. The empirical results from financial integration perspective indicate that, for the ten countries under consideration, the long-run equilibrium relationship among real output, exchange rate, and level of prices is identified and that the cointegration relationship implies unidirectional causality from exchange rate to real output. This result is favorable to a model that contains real output as a dependent variable and exchange rate, and level of prices as explanatory variables. Furthermore, panel vector error correction (panel-vec) results indicate no evidence of short-run causality from exchange rate, and inflation rate to real output. The result of panel-MLP neural network for long-run equation estimation indicate that, only inflation rate is significant towards real output. The result of performance criteria for higher accuracy between FMOLS, DOLS, and Panel-MPL shows the superiority of neural networks over the econometric models. Finally, based on the financial and monetary integration perspective results, it can be concluded that Indonesia, Japan, Hong Kong, Korea, Malaysia, and Philippines are the potential members to form a currency union in the region. The policy implication is summarised as; (i) long-run equilibrium obtained from panel cointegration indicates that policy makers should focus on the long-run polices such as exchange rate stability or price stabilization. (ii) Further to this, the remaining four countries of Singapore, Thailand, Taiwan, and China need to adjust their exchange rate regimes as similar to the six countries above.,Ph.D. | |
| dc.language.iso | eng | |
| dc.publisher | UKM, Bangi | |
| dc.relation | Faculty of Economy and Management / Fakulti Ekonomi dan Pengurusan | |
| dc.rights | UKM | |
| dc.subject | Shock symmetry | |
| dc.subject | Financial convergence | |
| dc.subject | Monetary policy | |
| dc.subject | Universiti Kebangsaan Malaysia -- Dissertations | |
| dc.subject | Dissertations, Academic -- Malaysia | |
| dc.title | Shock symmetry and financial convergence in ASEAN+5 | |
| dc.type | Theses | |
| dc.format.pages | 225 | |
| dc.identifier.callno | HG1240.8.S533 2015 tesis | |
| Appears in Collections: | Faculty of Economy and Management / Fakulti Ekonomi dan Pengurusan | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| ukmvital_83981+SOURCE1+SOURCE1.0.PDF Restricted Access | 2.46 MB | Adobe PDF |  View/Open |
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