In this study, empirical analyses are performed to study the effects of oil price changes on inflation in two groups of countries, namely the high versus low oil dependency groups. In addition, we also compare the relative effect of oil price with other types of shocks such as real exchange rate, domestic output and exporters’ production cost. We model the pass-through equation in an autoregressive distributed lag (ARDL) format and the model is estimated using pooled mean group method. Our results reveal that oil price change has its direct effect on domestic inflation in low oil dependency group but its impact is indirect on affecting the domestic inflation in the high oil dependency group through changes on the exporter's production cost. The main determinants of domestic inflation are real exchange rate and exporter's production cost (high oil dependency group) and domestic output and exporter's production cost (low oil dependency group). We suggest the policymaker to stabilize the effects of these shocks through monetary policy accommodate

We conduct empirical analyses to model the volatility of stock market in Malaysia. The GARCH type models (symmetric and asymmetric GARCH) are used to model the volatility of stock market in Malaysia. Their performances are compared based on three statistical error measures tools, i.e. mean squared error, root means squared error and mean absolute percentage error for in sample and out sample analyses. Apart from that, we also determine the factors contribute to the stock market movements. The data is ranging from January 1990 to December 2010. The data is divided into three time frames, i.e. pre-crisis 1997, during crisis and post-crisis 1997. Our results reveal that symmetric and asymmetric GARCH models have different performances in different time frames. In general, for the normal period (pre and post-crisis), symmetric GARCH model perform better than the asymmetric GARCH but for fluctuation period (crisis period), asymmetric GARCH model is preferred. Our results also show that exchange rate and crude oil price have significant impacts on the Malaysia stock market volatility in the pre-crisis and post-crisis periods and but the impact is not significant in the crisis period

This study seeks to examine the effectiveness of interest rates transmission mechanism from money market rate into retail banking rate in several Asian countries. In particular, we intend to investigate the differences in the degree of pass-through from monetary policy rate into deposit and lending rates across countries and between the pre- and post-crisis of 1997. The study is carried out by running the Seemingly Unrelated Regression (SUR) equations. The results suggest that the transmission rate from money market rate into deposit and lending rates is slow and sluggish across economies. There is no much difference between the pass-through rate into deposit and lending rates but the pass-through into deposit rate is slightly higher than that in lending rate. Most of the countries have slower adjustment rates after the crisis 1997, indicating low effectiveness of monetary policy, imperfect financial market and lower degree of financial integration if these economies. However, there is an exception for Malaysia.