Hubungan Dinamik Antara Inflasi, Kemeruapan Inflasi dan Pertumbuhan Output: Bukti Empirikal di Malaysia

Authors

  • Abu Hassan Shaari Mohd Nor Fakulti Ekonomi dan Perniagaan Universiti Kebangsaan Malaysia, Malaysia
  • Tan Yan Ling Fakulti Pengurusan Perniagaan Universiti Teknologi MARA Johor, Malaysia

DOI:

https://doi.org/10.32890/ijms2009.16.2.2

Keywords:

EGARCH, inflation, inflation uncertainty, vector autoregressive

Abstract

Tujuan utama makalah ini adalah untuk mengkaji hubungan dinamik antara inflasi, kemeruapan inflasi dan pertumbuhan output bagi tempoh Januari 1980 hingga Disember 2004. Kemeruapan inflasi dianggarkan dengan menggunakan model varians bersyarat ‘exponential generalized autoregressive conditional heteroskedasticity’ (EGARCH) dan perubahan indek pengeluaran perindustrian (IPP) digunakan sebagai proksi kepada  pertumbuhan output. Teknik autoregresi vector (VAR) digunakan untuk menguji kewujudan hubungan lead-lagged antara ketiga-tiga pemboleh ubah yang dikaji. Keputusan empirikal menunjukkan wujud hubungan penyebab antara kadar inflasi dan kemeruapan inflasi. Secara amnya, kadar inflasi yang tinggi akan meningkatkan kemeruapan inflasi, selaras dengan hipotesis pertama Friedman. Seterusnya kemeruapan inflasi yang tinggi akan mengurangkan kadar inflasi seperti yang dibahaskan oleh Holland. Tambahan pula, inflasi memberi kesan negatif terhadap pertumbuhan output Malaysia. Walau bagaimanapun tiada hubungan yang wujud antara kemeruapan inflasi dan pertumbuhan output. Keputusan daripada analisis luar sampel menggunakan teknik fungsi tindak balas teritlak (GIRF) dan penghuraian varians (VDC) adalah konsisten dengan keputusan daripada analisis VAR.

 

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Published

28-12-2009

Issue

Vol. 16 No. 2 (2009): International Journal of Management Studies (IJMS) Vol. 16, No. 2 December 2009

Section

Articles

Research impact

Harvested 2026-09-08
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Identifiers DOI 10.32890/ijms2009.16.2.2

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