Structural break and consumer prices: the case of Malaysia

This paper studies the dynamic behaviour of both linear and non-linearity of consumer prices in Peninsular Malaysia and Sabah from 2004 to 2015. For linear tests, monthly prices data of consumer price index (CPI) for nine groups of goods and services were analysed using the unit root tests and coint...

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Autores principales:	Siti Marsila Mhd Ruslan, Kasypi Mokhtar
Formato:	article
Lenguaje:	EN
Publicado:	Taylor & Francis Group 2020
Materias:	cpi structural break economic policy Business HF5001-6182 Management. Industrial management HD28-70
Acceso en línea:	https://doaj.org/article/8aeaf8f6874648919f90489130c8caf7
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spelling	oai:doaj.org-article:8aeaf8f6874648919f90489130c8caf72021-12-02T15:59:46ZStructural break and consumer prices: the case of Malaysia2331-197510.1080/23311975.2020.1767328https://doaj.org/article/8aeaf8f6874648919f90489130c8caf72020-01-01T00:00:00Zhttp://dx.doi.org/10.1080/23311975.2020.1767328https://doaj.org/toc/2331-1975This paper studies the dynamic behaviour of both linear and non-linearity of consumer prices in Peninsular Malaysia and Sabah from 2004 to 2015. For linear tests, monthly prices data of consumer price index (CPI) for nine groups of goods and services were analysed using the unit root tests and cointegration tests with structural breaks; while for non-linear test, NARDL test is incorporated. The findings indicated that (i) both Zivot and Andrews unit root test and Perron unit root test provided fairly similar results; most of the breakpoints occurred in 2008, followed by 2012 and 2013, (ii) the variables did not cointegrate in the Johansen cointegration test which indicates that no stable long-run relationship was reflected in the CPI for all groups, except for “transport”, and (iii) the Gregory and Hansen test demonstrated some form of cointegration with a structural break(s) existed, with a most recorded break in 2008 (iv) the NARDL test shows a fair impact of asymmetrical interaction for all groups except for Housing, Water, Electricity, Gas, and Other Fuels; Health and Recreation Services and Culture. Overall, this study intends to match the structural break points and the groups affected with the corresponding critical economic incidents.Siti Marsila Mhd RuslanKasypi MokhtarTaylor & Francis Grouparticlecpistructural breakeconomic policyBusinessHF5001-6182Management. Industrial managementHD28-70ENCogent Business & Management, Vol 7, Iss 1 (2020)
institution	DOAJ
collection	DOAJ
language	EN
topic	cpi structural break economic policy Business HF5001-6182 Management. Industrial management HD28-70
spellingShingle	cpi structural break economic policy Business HF5001-6182 Management. Industrial management HD28-70 Siti Marsila Mhd Ruslan Kasypi Mokhtar Structural break and consumer prices: the case of Malaysia
description	This paper studies the dynamic behaviour of both linear and non-linearity of consumer prices in Peninsular Malaysia and Sabah from 2004 to 2015. For linear tests, monthly prices data of consumer price index (CPI) for nine groups of goods and services were analysed using the unit root tests and cointegration tests with structural breaks; while for non-linear test, NARDL test is incorporated. The findings indicated that (i) both Zivot and Andrews unit root test and Perron unit root test provided fairly similar results; most of the breakpoints occurred in 2008, followed by 2012 and 2013, (ii) the variables did not cointegrate in the Johansen cointegration test which indicates that no stable long-run relationship was reflected in the CPI for all groups, except for “transport”, and (iii) the Gregory and Hansen test demonstrated some form of cointegration with a structural break(s) existed, with a most recorded break in 2008 (iv) the NARDL test shows a fair impact of asymmetrical interaction for all groups except for Housing, Water, Electricity, Gas, and Other Fuels; Health and Recreation Services and Culture. Overall, this study intends to match the structural break points and the groups affected with the corresponding critical economic incidents.
format	article
author	Siti Marsila Mhd Ruslan Kasypi Mokhtar
author_facet	Siti Marsila Mhd Ruslan Kasypi Mokhtar
author_sort	Siti Marsila Mhd Ruslan
title	Structural break and consumer prices: the case of Malaysia
title_short	Structural break and consumer prices: the case of Malaysia
title_full	Structural break and consumer prices: the case of Malaysia
title_fullStr	Structural break and consumer prices: the case of Malaysia
title_full_unstemmed	Structural break and consumer prices: the case of Malaysia
title_sort	structural break and consumer prices: the case of malaysia
publisher	Taylor & Francis Group
publishDate	2020
url	https://doaj.org/article/8aeaf8f6874648919f90489130c8caf7
work_keys_str_mv	AT sitimarsilamhdruslan structuralbreakandconsumerpricesthecaseofmalaysia AT kasypimokhtar structuralbreakandconsumerpricesthecaseofmalaysia
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Structural break and consumer prices: the case of Malaysia

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