scholarly journals Market Premium and Macroeconomic Factors as Determinants of Industry Premium: Evidence from Emerging Economies

Complexity ◽  
2021 ◽  
Vol 2021 ◽  
pp. 1-11
Author(s):  
Muhammad Imran ◽  
Mengyun Wu ◽  
Linrong Zhang ◽  
Yun Zhao ◽  
Noor Jehan ◽  
...  
Keyword(s):  
Money Supply ◽  
Pharmaceutical Products ◽  
Least Square ◽  
Macroeconomic Factors ◽  
Multifactor Model ◽  
Macroeconomic Variables ◽  
Interesting Insight ◽  
Seasonal Goods ◽  
The Interest Rate ◽  
Market Premium

In this study, we examine the equity (industry) premium of seventeen nonfinancial sectors covering sample 306 firms using monthly data from January 2002 to December 2018. Two-stage least square (2SLS) method is applied to estimate the macro-based multifactor model. It is found that the market premium and the interest rate factors are significantly affecting the industry equity premium of all the nonfinancial sectors. However, there exists a positive effect of other macroeconomic variables such as money supply, foreign direct investment, and industrial production which is different for the different sectors based on its nature of product and services they offered. The industries based on their product development which are linked to particular macroeconomic variables have more effect than others such as increase in money supply which cannot increase the sale of pharmaceutical products until needed. Similarly, an interesting insight reveals that industries producing seasonal goods, e.g., food producing, are not very much affected by macroeconomic variables but the change in seasons and similar results also revealed for tobacco industry.

scholarly journals The Impact of Macroeconomic Variables on Sectoral Indices in Indonesia

ETIKONOMI ◽  
2017 ◽  
Vol 16 (1) ◽  
pp. 71-80 ◽  
Author(s):  
Bambang Sutrisno
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Inflation Rate ◽  
Emerging Market ◽  
Estimation Method ◽  
Least Square ◽  
Series Data ◽  
Macroeconomic Variables ◽  
The Interest Rate ◽  
The Impact

This study aims to examine the effect of macroeconomic variables on sectoral indices in the Indonesian Stock Exchange. The difference in sensitiveness among sectors is an interesting issue to investigate this relationship in an emerging market, such as Indonesia. This study employs ordinary least square (OLS) as an estimation method with monthly time-series data from January 2005 to December 2014. The results document that the interest rate, inflation rate, and exchange rate simultaneously have a significant effect on sectoral indices in Indonesia. The interest rate partially shows a significant negative influence on all sectors except basic industry and chemical, finance, infrastructure, utilities, and transportation, and miscellaneous industry sectors. The inflation rate partially has no significant effect on all sectors. The exchange rate partially has a significant negative impact on all industries.DOI: 10.15408/etk.v16i1.4323

scholarly journals Determinan Jumlah Uang Beredar, Tingkat Bunga, dan Inflasi Terhadap Pertumbuhan Ekonomi Indonesia

Al-Buhuts ◽  
2019 ◽  
Vol 15 (2) ◽  
pp. 45-64
Author(s):  
Adya Utami
Keyword(s):  
Economic Growth ◽  
Interest Rate ◽  
Money Supply ◽  
Negative Relationship ◽  
Secondary Data ◽  
Least Square Method ◽  
Least Square ◽  
Coefficient Of Determination ◽  
Independent Variable ◽  
The Interest Rate

This study aims to determine the determinants of the money supply, the interest rate, and inflation on Indonesia's economic growth in the 2009-2018 period. This research uses descriptive method and is strengthened by the OLS (ordinary least square) method with secondary data. The data used is sourced from the Central Statistics Agency and Bank Indonesia. The results of this study indicate that the money supply and the interest rate have a negative effect but inflation has a positive effect on Indonesia's economic growth. The JUB variable is not significant with a probability value of 0.1326. The JUB regression coefficient value has a negative relationship to the economic growth variable with a coefficient of 0.9288. The interest rate variable entered in the above equation turns out to be negative and significant with a probability value of 0.0571. The value of the coefficient of the exchange rate is (0.4843). The independent variable inflation gives a negative and not significant result with a probability value of 0.1134. Inflation coefficient value is 0.1724. In the equation model that uses economic growth as the dependent variable above, the magnitude of the coefficient of determination (R Squared) is 0.573429. This shows that the ability of the independent variable in explaining the diversity of the independent variables is 57.34% while the remaining 42.66% is influenced by other variables not included in the model.

scholarly journals Selected Macroeconomic Variables and Agricultural Sector in Nigeria

2021 ◽  
Vol 7 (06) ◽  
Author(s):  
James Ese Ighoroje ◽  
Catherine, Ogheneovo Orife
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Gross Domestic Product ◽  
Money Supply ◽  
Agricultural Sector ◽  
Least Square ◽  
Domestic Product ◽  
Agricultural Output ◽  
Macroeconomic Variables ◽  
Ex Post

The study investigated effect of selected macroeconomic variables on agricultural sector output in Nigeria from 1987 - 2019. Annual Agricultural Output (AAO) represented the dependent variable for the study while gross domestic product, interest rate, money supply, and exchange rate represented the explanatory variables. Ex-post factor research design was employed for the study. Augmented Dickey Fuller Unit Roots test and Ordinary Least Square (OLS) Regression techniques were used to analyze data collected. The empirical investigation showed that gross domestic product as well as money supply has a positive and significant effect on agricultural output, while interest rate and exchange rate exerted a negative and insignificant effect on agricultural output. From the study, selected macroeconomic variables have positive effect on agricultural output in Nigeria and this has tremendously contributed to the country's growth and development. The study recommends amongst other; that government should accelerate the rate of economic growth by investing heavily on the agricultural sector so as to boost domestic production and enhance exportation in order to stabilize exchange rate while curbing inflation; give incentives to banks extending agricultural loans by lowering the lending rate on agricultural loans to ease access to funds for agricultural investment.

scholarly journals Determinants of Stock Market Performance

NCC Journal ◽  
2018 ◽  
Vol 3 (1) ◽  
pp. 134-142
Author(s):  
Ramjee Rakhal
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Literature Review ◽  
Stock Market ◽  
Money Supply ◽  
Market Performance ◽  
Major Objective ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Stock Market Performance

This paper investigates the effect of selected macroeconomic factors viz. remittances, money supply, exchange rate, and interest rate on stock market performance based on literatures available in international and Nepalese context. The major objective of this paper is to find out the new area of research in Nepalese perspective with the help of literature review. The study demonstrates that remittance and money supplypositively affect the stock market whereas interest rate and exchange rate negatively affect the stock market performance. However, there is lack of consensus on the effect of each macroeconomic variables on stock market performance as it has number of literatures available which are similar as well as opposite to these findings. Thus, similar study can be extended employing different methodology with this combination of variables in Nepalese context that may better describe and analyze the performance of Nepalese stock market and helps to reduce the confusion among the literatures.NCC JournalVol. 3, No. 1, 2018, page: 134-142

scholarly journals Macroeconomic Variables and Nigerian Agricultural Sector Development

2021 ◽  
Vol 4 (4) ◽  
pp. 9-20
Author(s):  
Okafor O. ◽  
Isibor A.
Keyword(s):  
Exchange Rate ◽  
Agricultural Sector ◽  
Secondary Data ◽  
Least Square ◽  
Agricultural Industry ◽  
Macroeconomic Variables ◽  
Ordinary Least Square ◽  
Annual Time Series ◽  
The Interest Rate ◽  
The Impact

The study investigated the impact of some macroeconomic variables like exchange rate and inflation on the development of the Nigerian agricultural industry. Annual time series secondary data covering a period of 33 years (1986- 2020) was utilized in the study while the Ordinary Least Square (OLS) was the estimation technique used to analyze the data. Findings revealed that the exchange rate was positively significant in impacting the dependent variable while the inflation rate was negatively significant. The interest rate was insignificant in impacting the agricultural sector. From the findings, one recommendation arrived at was that the monetary authorities should make policies that would reduce inflation, for example, reduction of the money supply. Reduced inflation would positively impact the development of the agricultural sector as it would boost and increase the consumption of agricultural products.

scholarly journals Faktor Makro Ekonomi Segi Moneter Terhadap Kinerja Indeks Saham Di Jakarta Islamic Index (JII) (Periode Januari 2010-Agustus 2015)

2017 ◽  
Vol 3 (4) ◽  
pp. 266
Author(s):  
Dian Ayu Wulansari ◽  
Leo Herlambang
Keyword(s):  
Exchange Rate ◽  
Money Supply ◽  
Price Index ◽  
Secondary Data ◽  
Stock Index ◽  
Average Price ◽  
Macroeconomic Factors ◽  
Monthly Data ◽  
Macroeconomic Variables ◽  
Observation Period

Jakarta Islamic Index (JII) is one of Indonesia’s stock index in calculating the average price index of stocks for the type of stocks that meet the criteria of Shariah. One of the factors that influence is macroeconomic factors. This study aims to determine the effect of macroeconomic variables which consist of Inflation, Exchange Rate and M2 on the Jakarta Islamic Index (JII) with the observation period January 2010-August 2015. The data used is secondary data time series in the form of monthly data during the observation period January 2010-August 2015. The results showed that Exchange Rate and Money Supply (M2) have positively significant effect on the Jakarta Islamic Index (JII), whereas other variables such as Inflation is not significantly effect on the Jakarta Islamic Index (JII). While simultaneously the Inflation, Exchange Rate and Money Supply significant effect on the Jakarta Islamic Index (JII).

scholarly journals Pendekatan Model Nonparametrik untuk Memodelkan Hubungan Antara Jumlah Uang Beredar dan Indeks Harga Konsumen di Indonesia Tahun 1969-2017

2020 ◽  
Vol 3 (1) ◽  
pp. 24
Author(s):  
Pardomuan Robinson Sihombing
Keyword(s):  
Money Supply ◽  
Parametric Method ◽  
Consumer Price Index ◽  
Likelihood Estimation ◽  
Optimization Method ◽  
Least Square ◽  
Macroeconomic Variables ◽  
The Government ◽  
The Relationship ◽  
Non Parametric

<p class="Abstract-Title">Inflation is one of the macroeconomic variables of concern to the government in addition to economic growth, unemployment and poverty. Inflation is measured by the Consumer Price Index (CPI). According to the quantity theory of the classics, argues that the price level is determined by the amount of money in circulation, prices will rise if there is an increase in the money supply, assuming the amount of goods offered is fixed, while the amount of money is doubled, sooner or later the price will doubled. Often the relationship between macroeconomic variables is not always linear, it can be exponential, logarithmic, or highly fluctuating patterns. This nonlinear relationship cannot be forced using parametric regression which generally uses the Ordinary Least Square (OLS) or Maximum Likelihood Estimation (MLE) which often implies the existence of certain distributions and linear data patterns. In some literatures, researches using a linear model with OLS, for describing the relationship between CPI and money supply. This research uses several non parametric approaches, namely kernel and <em>spline</em> functions. The results obtained are a strong positive relationship between money supply and CPI, where money supply has a significantly positive effect on CPI. The most suitable non parametric method to describe the relationship pattern between CPI and money supply is the smoothing <em>spline</em> method with Generalized Cross Validation (GCV) parameter optimization method with the smallest RMSE and MAPE criteria and functions that can follow data patterns smoothly.</p><p class="Abstract-Title"><strong>Keywords</strong>: CPI, money supply, non parametric, kernel, <em>spline</em>.</p>

scholarly journals A Study on the Relationship between Money Supply and Macroeconomic Variables in China

2017 ◽  
Vol 8 (6) ◽  
pp. 99-107 ◽  
Author(s):  
Yugang He
Keyword(s):  
Interest Rate ◽  
Money Supply ◽  
Inflation Rate ◽  
Series Data ◽  
Macroeconomic Variables ◽  
The Real ◽  
Real Gdp ◽  
The Interest Rate ◽  
The Impact ◽  
The Relationship

AbstractMany scholars have examined the importance of the money supply to the macroeconomics in developed countries. However, few studies have explored this proposition in developing countries. So, in this paper, annual series data from 2000 to 2016 is applied to analyze the relationship between the money supply (M2) and the macroeconomic variables (the real GDP, the inflation rate & the interest rate) under the vector auto regression (VAR) model in China. The purpose of this paper is to verify the impact of these variables on the money supply in China. After performing an empirical analysis, conclusions can be obtained that an increase in the real GDP can result in an increase in the money supply; Also, an increase in the inflation rate can lead to an increase in the money supply; Conversely, an increase in the interest rate can cause a decrease in the money supply. Therefore, via adjusting the change of real GDP, inflation rate and interest rate, a better control of the money supply can be performed for the policy-makers in China.

The Role of Different Channels in Transmitting Monetary Policy into Output and Price in Vietnam

2015 ◽  
pp. 20-40
Author(s):  
Vinh Nguyen Thi Thuy
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Money Supply ◽  
Monetary Transmission ◽  
Impulse Response Functions ◽  
Short Run ◽  
The Exchange Rate ◽  
The Interest Rate ◽  
Interest Rate Channel

The paper investigates the mechanism of monetary transmission in Vietnam through different channels - namely the interest rate channel, the exchange rate channel, the asset channel and the credit channel for the period January 1995 - October 2009. This study applies VAR analysis to evaluate the monetary transmission mechanisms to output and price level. To compare the relative importance of different channels for transmitting monetary policy, the paper estimates the impulse response functions and variance decompositions of variables. The empirical results show that the changes in money supply have a significant impact on output rather than price in the short run. The impacts of money supply on price and output are stronger through the exchange rate and credit channels, but however, are weaker through the interest rate channel. The impacts of monetary policy on output and inflation may be erroneous through the equity price channel because of the lack of an established and well-functioning stock market.

DETERMINAN INFLASI DI INDONESIA PERIODE 1980-2015

2016 ◽  
Vol 21 (1) ◽  
pp. 1-7
Author(s):  
Risna Risna
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Money Supply ◽  
Government Spending ◽  
Positive Impact ◽  
Secondary Data ◽  
Quantitative Approach ◽  
State Spending ◽  
Factors Affecting ◽  
The Interest Rate

This study aims to determine the effect of government spending, the money supply, the interest rate of Bank Indonesia against inflation.This study uses secondary data. Secondary data were obtained directly from the Central Bureau of Statistics and Bank Indonesia. It can be said that there are factors affecting inflationas government spending, money supply, and interest rates BI. The reseach uses a quantitative approach to methods of e-views in the data. The results of analysis of three variables show that state spending significantand positive impact on inflationin Indonesia, the money supply significantand negative to inflationin Indonesia, BI rate a significantand positive impact on inflation in Indonesia

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