ABSTRACT
We estimate the long-run reactions of private consumption in Malaysia to crises, economic leadership, information and communications technology (ICT), and other key determinants using time series econometrics. This study covers the quarterly sample from 1990:Q1 to 2020:Q4. We find that Malaysia's private consumption and its key determinants are cointegrated, demonstrating that a reliable long-run private consumption function can be estimated. We find that both economic and health crises, namely the Asian financial crisis in 1997/98, SARS and COVID-19 pandemic are likely to reduce private consumption in Malaysia. However, the long-run estimation results show that ICT and economic leadership are positively related to consumption. Therefore, policymakers should set the goal of encouraging the development of ICT infrastructure and good economic leadership in order to promote private consumption, which eventually sustains long-term economic growth and development.
ABSTRACT
We examine market integration across and clean and green investments, crude oil, and conventional stock indices covering technology stocks, and United States and European stocks. Using daily data covering the period December 1, 2008-October 8, 2020, we first apply the dynamic equicorrelation (DECO) model and make inferences regarding the time-varying level of market integration. Then, we use several regression models and uncover the driving factors of market integration under lower and upper quantiles of the distribution of the equicorrelation. The results show that return equicorrelation varies with time and is shaped by the COVID19 outbreak. Various uncertainty measures are the main drivers of market integration, especially at high levels of market integration. During the COVID-19 outbreak period, the United States Dollar index, the term spread, and the Chinese stock market index have significantly increased market integration.