Halaju wang di Malaysia : bukti empirik

Abstract

This paper aims to examine the volatility of money velocity and also to estimate the velocity of money function in Malaysia by using the quarterly time series data. This study employed the recent econometric techniques such as volatility model in ARCH and GARCH framework, Johansen co integration test and Vector Error Correction Model (VECM). The results show that the velocity of money for M1 (V1) and M2 (V2) are volatile and persistence rather than M3 (V3). The Johansen co integration test result indicates that the existence of long run relationship between velocity of money V1, V2 and V3 on the dependent variables, such as bond interest rate, deposit rate and income. Furthermore, the VECM result showed that the changes in dependent variables such as bond interest rate, deposit rate and income are significantly to influence the changes in velocity of money for V2 and V3 in the long run. Conversely, in the short run, a change in the national income has only significantly to cause the changes in the velocity of money V2 and V3, while the interest rate has significant effect to cause the velocity of money V3