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

• Main Authors: Shah, Said Zamin, Baharumshah, Ahmad Zubaidi, Said, Rusmawati, Murdipi, Rafiqa
• Format: Article
• Language: English
• Published: Persatuan Ekonomi Malaysia,Malaysian Economic Association 2019
• Online Access: http://psasir.upm.edu.my/id/eprint/82532/1/The%20international%20transmission%20of%20volatility%20shocks%20on%20an%20emerging%20economy%20the%20case%20of%20Malaysia.pdf; http://psasir.upm.edu.my/id/eprint/82532/

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...