ORCID Profile
0000-0002-4123-5004
Current Organisation
University of Tasmania
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Publisher: Wiley
Date: 21-11-2023
DOI: 10.1111/TWEC.13347
Abstract: The complex global value chains underlying the Regional Comprehensive Economic Partnership (RCEP) raise an important question on the macroeconomic (output, inflation, exchange rate, and interest rate) exposure of ASEAN to output shocks in the non‐ASEAN‐RCEP members, within the context of expanded regional architecture. This paper uses quarterly data from 1995 to 2018 to estimate a global vector autoregressive (GVAR) model, specially constructed for the RCEP. The GVAR model disentangles the effects and spillovers from output shocks originating in the non‐ASEAN‐RCEP through various trade channels – direct and indirect, and total exports and foreign value‐added (FVA). The model also quantifies the impact of global (the price of oil and materials) shocks on ASEAN through trade linkages. The output shocks in the non‐ASEAN‐RCEP have persistent effects on output growth in ASEAN when transmitted through the intermediary FVA channel than the export channel. The FVA channel is also important for propagating global shocks in the form of oil and material prices. The findings confirm that output in ASEAN is also highly exposed to output shocks originating in the non‐ASEAN‐RCEP economies. The FVA trade channel is vital for explaining the spillovers from the regional output shocks and global price shocks.
Publisher: Springer Science and Business Media LLC
Date: 11-01-2022
Publisher: IEEE
Date: 11-2010
Publisher: Elsevier BV
Date: 03-2019
Publisher: Emerald
Date: 06-04-2010
DOI: 10.1108/17439131011032040
Abstract: The purpose of this paper is to examine the extent to which the capital control measures implemented by the Malaysian central bank in late 1998 had an influence on segmenting the Malaysian equity market from other major equity markets. The S& P 500, the Nikkei 225 Index, the STI Index and the KLSE Composite Index are considered. The discrete wavelet transform technique – “Haar” is employed to decompose the series into various time scales during the pre‐ and post‐capital control periods in Malaysia. The decomposed series are then used to estimate the interdependence between KLSE Composite Index with the other three markets at various time scales. The empirical findings support three conclusions. First, in the pre‐capital control period, Singapore is the most influential market followed by the US across all time scales in transmitting news into Malaysia. Second, after the imposition of capital controls, the spillover effects from Singapore to Malaysia have declined substantially, suggesting a reduced integration between these two markets. Finally, in the post‐capital control period, all three markets appear to be imparting a similar but moderate level of influence on the Malaysian market. To explore the return and volatility spillovers, the use of return and volatility series at different time scales provided a greater level of insight into the dynamics than the standard approaches which employ only one series in the time domain. The results from this paper will have potential implications for asset allocation, the pricing of domestic securities, the implementation of global hedging and trading strategies and the evaluation of regulatory proposals to restrict international capital flows.
Publisher: Informa UK Limited
Date: 20-12-2014
Publisher: Informa UK Limited
Date: 10-2012
Publisher: Wiley
Date: 11-06-2014
No related grants have been discovered for Mala Raghavan.