{"id":3908,"date":"2021-06-12T17:48:53","date_gmt":"2021-06-12T09:48:53","guid":{"rendered":"https:\/\/www.ukm.my\/jem\/?post_type=article&#038;p=3908"},"modified":"2021-09-09T12:29:58","modified_gmt":"2021-09-09T04:29:58","slug":"a-bayesian-vector-autoregressive-analysis-of-price-and-industrial-shocks-on-the-malaysian-economy","status":"publish","type":"article","link":"https:\/\/www.ukm.my\/jem\/article\/a-bayesian-vector-autoregressive-analysis-of-price-and-industrial-shocks-on-the-malaysian-economy\/","title":{"rendered":"A Bayesian Vector Autoregressive Analysis of Price and Industrial Shocks on the Malaysian Economy"},"content":{"rendered":"<p><span class=\"fontstyle0\">Aside from identifying the determinants of economic growth, ensuring a stable evolution of output is crucial. This paper therefore, intends to shed light on the effects of consumer prices (<\/span><span class=\"fontstyle0\">CPI<\/span><span class=\"fontstyle0\">) and producer prices (<\/span><span class=\"fontstyle0\">PPI<\/span><span class=\"fontstyle0\">) as well as industrial output (<\/span><span class=\"fontstyle0\">IPI<\/span><span class=\"fontstyle0\">) shocks on real aggregate output. Preliminary examination of data suggests a critical analysis on the nexus between aforementioned variables is warranted. Conforming to precedence in the literature, Bayesian Vector Autoregressive analysis was performed on the detrended series. As expected, a shock in consumer prices induces a negative response in real <\/span><span class=\"fontstyle0\">GDP <\/span><span class=\"fontstyle0\">while a positive response was observed from a shock in producer prices. However, we note that the positive response from <\/span><span class=\"fontstyle0\">PPI <\/span><span class=\"fontstyle0\">is subdued which may be accounted for by the consideration of negative consumer<br \/>\nsentiment in producers\u2019 decision. Additionally, we find positive <\/span><span class=\"fontstyle0\">CPI <\/span><span class=\"fontstyle0\">response on shocks emanating from real <\/span><span class=\"fontstyle0\">GDP <\/span><span class=\"fontstyle0\">and <\/span><span class=\"fontstyle0\">IPI<\/span><span class=\"fontstyle0\">. We note that the weak <\/span><span class=\"fontstyle0\">CPI <\/span><span class=\"fontstyle0\">response from innovation in <\/span><span class=\"fontstyle0\">IPI <\/span><span class=\"fontstyle0\">may be due to the percentage of exported goods in the Malaysian manufacturing sector. Also noteworthy, is that innovations in <\/span><span class=\"fontstyle0\">CPI <\/span><span class=\"fontstyle0\">and real <\/span><span class=\"fontstyle0\">GDP <\/span><span class=\"fontstyle0\">induce positive response in <\/span><span class=\"fontstyle0\">IPI<\/span><span class=\"fontstyle0\">, but followed by mild negative response. We ascribe this observation to inventory overshooting.<\/span><\/p>\n","protected":false},"template":"","tags":[531,186,534,533,532],"jel-code":[],"article-type":[1329],"class_list":["entry","author-jem","post-3908","article","type-article","status-publish","tag-bayesian","tag-economic-growth","tag-industrial-production","tag-price-indices","tag-var-analysis","article-type-normal-article"],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v28.8 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>A Bayesian Vector Autoregressive Analysis of Price and Industrial Shocks on the Malaysian Economy | Jurnal Ekonomi Malaysia<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.ukm.my\/jem\/article\/a-bayesian-vector-autoregressive-analysis-of-price-and-industrial-shocks-on-the-malaysian-economy\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"A Bayesian Vector Autoregressive Analysis of Price and Industrial Shocks on the Malaysian Economy | Jurnal Ekonomi Malaysia\" \/>\n<meta property=\"og:description\" content=\"Aside from identifying the determinants of economic growth, ensuring a stable evolution of output is crucial. This paper therefore, intends to shed light on the effects of consumer prices (CPI) and producer prices (PPI) as well as industrial output (IPI) shocks on real aggregate output. Preliminary examination of data suggestsContinue Reading\" \/>\n<meta property=\"og:url\" content=\"https:\/\/www.ukm.my\/jem\/article\/a-bayesian-vector-autoregressive-analysis-of-price-and-industrial-shocks-on-the-malaysian-economy\/\" \/>\n<meta property=\"og:site_name\" content=\"Jurnal Ekonomi Malaysia\" \/>\n<meta property=\"article:publisher\" content=\"https:\/\/www.facebook.com\/Jurnal-Ekonomi-Malaysia-JEM-104142808087485\" \/>\n<meta property=\"article:modified_time\" content=\"2021-09-09T04:29:58+00:00\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:site\" content=\"@EkonomiJurnal\" \/>\n<meta name=\"twitter:label1\" content=\"Est. reading time\" \/>\n\t<meta name=\"twitter:data1\" content=\"1 minute\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\\\/\\\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/article\\\/a-bayesian-vector-autoregressive-analysis-of-price-and-industrial-shocks-on-the-malaysian-economy\\\/\",\"url\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/article\\\/a-bayesian-vector-autoregressive-analysis-of-price-and-industrial-shocks-on-the-malaysian-economy\\\/\",\"name\":\"A Bayesian Vector Autoregressive Analysis of Price and Industrial Shocks on the Malaysian Economy | Jurnal Ekonomi Malaysia\",\"isPartOf\":{\"@id\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/#website\"},\"datePublished\":\"2021-06-12T09:48:53+00:00\",\"dateModified\":\"2021-09-09T04:29:58+00:00\",\"breadcrumb\":{\"@id\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/article\\\/a-bayesian-vector-autoregressive-analysis-of-price-and-industrial-shocks-on-the-malaysian-economy\\\/#breadcrumb\"},\"inLanguage\":\"en-US\",\"potentialAction\":[{\"@type\":\"ReadAction\",\"target\":[\"https:\\\/\\\/www.ukm.my\\\/jem\\\/article\\\/a-bayesian-vector-autoregressive-analysis-of-price-and-industrial-shocks-on-the-malaysian-economy\\\/\"]}]},{\"@type\":\"BreadcrumbList\",\"@id\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/article\\\/a-bayesian-vector-autoregressive-analysis-of-price-and-industrial-shocks-on-the-malaysian-economy\\\/#breadcrumb\",\"itemListElement\":[{\"@type\":\"ListItem\",\"position\":1,\"name\":\"Home\",\"item\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/\"},{\"@type\":\"ListItem\",\"position\":2,\"name\":\"Articles\",\"item\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/article\\\/\"},{\"@type\":\"ListItem\",\"position\":3,\"name\":\"A Bayesian Vector Autoregressive Analysis of Price and Industrial Shocks on the Malaysian Economy\"}]},{\"@type\":\"WebSite\",\"@id\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/#website\",\"url\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/\",\"name\":\"Jurnal Ekonomi Malaysia\",\"description\":\"Universiti Kebangsaan Malaysia\",\"publisher\":{\"@id\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/#organization\"},\"potentialAction\":[{\"@type\":\"SearchAction\",\"target\":{\"@type\":\"EntryPoint\",\"urlTemplate\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/?s={search_term_string}\"},\"query-input\":{\"@type\":\"PropertyValueSpecification\",\"valueRequired\":true,\"valueName\":\"search_term_string\"}}],\"inLanguage\":\"en-US\"},{\"@type\":\"Organization\",\"@id\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/#organization\",\"name\":\"Jurnal Ekonomi Malaysia\",\"url\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/\",\"logo\":{\"@type\":\"ImageObject\",\"inLanguage\":\"en-US\",\"@id\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/#\\\/schema\\\/logo\\\/image\\\/\",\"url\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/wp-content\\\/uploads\\\/2021\\\/05\\\/cropped-browser-icon-letter-1.png\",\"contentUrl\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/wp-content\\\/uploads\\\/2021\\\/05\\\/cropped-browser-icon-letter-1.png\",\"width\":512,\"height\":308,\"caption\":\"Jurnal Ekonomi Malaysia\"},\"image\":{\"@id\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/#\\\/schema\\\/logo\\\/image\\\/\"},\"sameAs\":[\"https:\\\/\\\/www.facebook.com\\\/Jurnal-Ekonomi-Malaysia-JEM-104142808087485\",\"https:\\\/\\\/x.com\\\/EkonomiJurnal\"]}]}<\/script>\n<!-- \/ Yoast SEO plugin. -->","yoast_head_json":{"title":"A Bayesian Vector Autoregressive Analysis of Price and Industrial Shocks on the Malaysian Economy | Jurnal Ekonomi Malaysia","robots":{"index":"index","follow":"follow","max-snippet":"max-snippet:-1","max-image-preview":"max-image-preview:large","max-video-preview":"max-video-preview:-1"},"canonical":"https:\/\/www.ukm.my\/jem\/article\/a-bayesian-vector-autoregressive-analysis-of-price-and-industrial-shocks-on-the-malaysian-economy\/","og_locale":"en_US","og_type":"article","og_title":"A Bayesian Vector Autoregressive Analysis of Price and Industrial Shocks on the Malaysian Economy | Jurnal Ekonomi Malaysia","og_description":"Aside from identifying the determinants of economic growth, ensuring a stable evolution of output is crucial. 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