Financial Liberalization and the Information Content of Money in Indonesia, Korea and the Philippines

IMF Working Papers No. 93-88

44 Pages Posted: 5 Jan 2005

See all articles by A. Javier Hamann

A. Javier Hamann

International Monetary Fund (IMF) - Independent Evaluation Office

Date Written: November 1993

Abstract

Using a VAR approach, this paper studies the relationship between money, output and prices in a group of Pacific Basin countries that underwent financial sector reform during the 1980s: Indonesia, Korea and the Philippines. Special attention is paid to assessing the information content of money. Money was found to contain valuable advance information on output and prices in Korea, on prices only in the Philippines, and did not contain any advance information in Indonesia. The introduction of financial sector reform was not found to lead to a structural break in the price and output equations; however, the information content of money was affected. Further tests show that exchange and interest rates - variables that gained flexibility with the reforms - contain valuable information about future developments in prices in Korea and the Philippines.

Keywords: financial liberalization, information content of money

JEL Classification: E52

Suggested Citation

Hamann, Alfonso Javier, Financial Liberalization and the Information Content of Money in Indonesia, Korea and the Philippines (November 1993). IMF Working Papers No. 93-88. Available at SSRN: https://ssrn.com/abstract=642788 or http://dx.doi.org/10.2139/ssrn.642788

Alfonso Javier Hamann (Contact Author)

International Monetary Fund (IMF) - Independent Evaluation Office ( email )

700 19th St. NW
Washington, DC 20431
United States

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