Halaju Wang di Malaysia: Bukti Empirik

Authors

  • Zulkefly Abdul Karim Fakulti Ekonomi dan Perniagaan Universiti Kebangsaan Malaysia, Malaysia
  • Mansor Jusoh Fakulti Ekonomi dan Perniagaan Universiti Kebangsaan Malaysia, Malaysia
  • Norlin Khalid Fakulti Ekonomi dan Perniagaan Universiti Kebangsaan Malaysia, Malaysia

DOI:

https://doi.org/10.32890/ijms2010.17.1.9

Keywords:

Halaju wang, kemeruapan, ekonometrik siri masa

Abstract

Kajian ini bertujuan untuk menguji kemeruapan (volatility) halaju wang disamping menganggar fungsi halaju wang di Malaysia dengan menggunakan kaedah ekonometrik siri masa iaitu model ARCH dan GARCH, ujian kointegrasi Johansen dan ujian model vektor pembetulan ralat (VECM). Dapatan kajian menunjukkan bahawa halaju wang M1 (V1) dan halaju wang M2 (V2) mempunyai kemeruapan yang berkelangsungan (persistence) berbanding dengan kemeruapan halaju wang M3 (V3). Keputusan ujian kointegrasi Johansen pula menunjukkan kewujudan hubungan jangka panjang antara halaju wang V1, V2 dan V3 dengan pemboleh ubah bebas yang terdiri daripada kadar bunga bon, kadar bunga deposit dan pendapatan negara. Selain itu, ujian VECM menunjukkan bahawa perubahan pemboleh ubah bebas iaitu kadar bunga bon, kadar bunga deposit dan pendapatan negara signifi kan menjadi penyebab kepada perubahan halaju wang V2 dan V3 dalam jangka panjang. Sebaliknya, dalam jangka pendek didapati perubahan pendapatan negara hanya signifi kan menjadi penyebab kepada perubahan halaju wang V2 dan V3 sahaja. Pengaruh kadar bunga hanya signifi kan menjadi penyebab jangka pendek kepada halaju wang V3 sahaja. Kajian ini memberikan beberapa implikasi penting kepada dasar kewangan negara.

 

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Published

30-06-2010

Issue

Vol. 17 No. 1 (2010): International Journal of Management Studies (IJMS) Vol. 17, No.1 June 2010

Section

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Harvested 2026-09-07
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Identifiers DOI 10.32890/ijms2010.17.1.9

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