The international transmission of volatility shocks on an emerging economy: the case of Malaysia

• Main Authors: Murdipi, Rafiqa, Shah, Said Zamin, Baharumshah, Ahmad Zubaidi, Said, Rusmawati
• Format: Article
• Language: English; English
• Published: Malaysian Economic Association 2019
• Subjects: HB3711 Business cycles. Economic fluctuations
• Online Access: http://irep.iium.edu.my/87403/1/The%20International%20Transmission%20of%20Volatility%20Shocks%20on%20an%20Emerging%20Economy%2C%20The%20Case%20of%20Malaysia.pdf; http://irep.iium.edu.my/87403/7/87403_The%20international%20transmission%20of%20volatility%20shocks_SCOPUS.pdf; http://irep.iium.edu.my/87403/; https://mjes.um.edu.my/article/view/20878; https://doi.org/10.22452/MJES.vol56no2.4
• Institution: Universiti Islam Antarabangsa Malaysia

This study examines the effects of global economic policy uncertainty (EPU) on Malaysia’s macroeconomic indicators. Three substantive findings emerged from our inquiry based on a multivariate generalized autoregressive conditional heteroscedasticity (GARCH) model: (1) Domestic uncertainty – in nomi...