期刊名称:International Research Journal of Finance and Economics
印刷版ISSN:1450-2887
电子版ISSN:1450-2887
出版年度:2018
期号:166
出版社:European Journals Inc.
摘要:The uncertainty may play a prominent role in influencing the process of decision making by the policymakers. Many empirical studies on the central bank’s monetary policy response on economic uncertainty does not focus on the explicit comprehensive measure of economic uncertainty, rather it focuses on individual economic uncertainty measure. To overcome this shortcoming, the objective of the study is to examine the causal relationship between monetary policy and economic uncertainty variables. This study extends the Taylor Rule function by introducing two external variables, namely, exchange rate and terms of trade based on a sample of 10 countries, namely, four developed (i.e., Australia, Canada, Japan and United States), and six developing countries (i.e., Indonesia, Malaysia, Philippines, Singapore, South Korea and Thailand). To test the stationarity of the variables, this paper employs the unit root test (i.e., Augmented Dickey-Fuller (ADF) test and Phillips-Perron (PP) test) to determine whether the variables are in the order of integrated zero, I(0) or in the order of integrated one, I(1) in order to avoid spurious regressions. Using the Granger causality test and Toda-Yamamoto causality test, the expected finding suggests that the policy makers may find a route for the implication of the monetary policy that could help to attain better economic outcomes and improve economic performances.
关键词:Economic uncertainty; Taylor Rule; Unit root tests; Granger causality test; Toda-Yamamoto causality test.