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

44 Pages Posted: 15 Feb 2006

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.

JEL Classification: E52

Suggested Citation

Hamann, A. Javier, Financial Liberalization and the Information Content of Money in Indonesia, Korea, and the Philippines (November 1993). IMF Working Paper, Vol. , pp. 1-44, 1993. Available at SSRN: https://ssrn.com/abstract=883821

A. Javier Hamann (Contact Author)

affiliation not provided to SSRN

No Address Available

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