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MONEY DEMAND AND THE R O L E OF FOREIGN FINANCIAL VARIABLES: EVIDENCE FROM ENGLE-GRANGER AND

ARDL APPROACH

MUHAMMAD AZMIN BIN SHAHARI 2009603998

BACHELOR OF BUSINESS ADMINISTRATION WITH HONOURS (BUSINESS ECONOMICS)

FACULTY OF BUSINESS MANAGEMENT UNIVERSITI TEKNOLOGI MARA

KOTA KINABALU, SABAH

JUNE 2012

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ABSTRACT

This paper focused on studies about the role of foreign financial variable to the money demand in Malaysia. The major research question of the research is that whether the money demand (M2) will be influenced by the financial variables such as the Foreign (US) Interest Rate (LIBOR) and the nominal exchange rate.

Every single variable in this study were being tested by using unit root test, such as the Philip-Peron (PP). A co-integration test approach being done by using Engle-Granger (the residual approach of cointegration) and Autoregressive Distributive Lagged (ARDL) to finds a single cointegration relation among the variables, are conducted on quarterly data over 1998:Q1 to 2011:Q4. The result will exactly justify answering the previous research.

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ACKNOWLEDGEMENT

I would like to thanks to Allah S.W.T in giving me strength to completing this thesis on time without many barriers of health and many more. My family that always pray and wishes for the best to me, and also supporting me in financial and advices. To my supervisor Dr.lmbarine Bujang that hopefully can accept my precious work with a better mark, and thank you for all the help. To all my friends that always give different opinion on finishing this thesis, and lastly to the future researcher that choose this thesis as one of their references.

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TABLE OF CONTENT

USE OF THE THESIS PREFACE

ABSTRACT DECLARATION

ACKNOWLEDGEMENT LIST OF TABLES LIST OF FIGURES

CHAPTER

1 INTRODUCTION

1.0 Background of The Study

1.0.1 The Financial Crisis in Malaysia 1.0.2 Demand for Money Revisited 1.1 Problem Statement

1.2 Research Objective

1.3 Scope and Limitation of Study 1.4 Significance of the problem 1.5 Chapter Outlines

2 LITERATURE REVIEW AND THEORY 2.0 Overview of the Literature Review 2.1 Theories associated with this study 2.2 Literature Review

2.3 Conceptual Framework 2.4 Theory Specification

2.5 Summary of Literature Review 3 DATA AND METHODOLOGY

3.0 Introduction 3.1 Data

3.2 Measurement of Variables 3.3 Research Design

3.3.1 Unit Root

3.3.2 Engle-Granger Test 3.3.3 ARDL Test 3.4 Estimation Procedure 3.5 Hypothesis Development

3.6 Statistical Software use (E-Views6) 3.7 Conclusion of Chapter

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4 RESULTS AND FINDING

4.0 Introduction 23 4.1 Descriptive Statistics 23

4.2 Findings

4.2.1 Unit Root 24 4.2.2 Bounds Test 24 4.3 Engle-Granger Causality Test 25

4.4 ARDL Cointegration Test 26 4.5 Conclusion of Chapter 29 5 CONCLUSION AND RECOMMENDATION

5.0 Introduction 30 5.1 Conclusions 30 5.2 Recommendations 31

REFERENCES 32 APPENDICES 36

x

Referensi

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