The Effect of Monetary Policy and Macroeconomic Variables on Foreign Portfolio Investment in Indonesia

2018 ◽  
pp. 317-323
Author(s):  
N.F. Anne ◽  
R. Purwono
Keyword(s):  
Monetary Policy ◽  
Portfolio Investment ◽  
Foreign Portfolio Investment ◽  
Macroeconomic Variables ◽  
Effect Of Monetary Policy

scholarly journals Foreign Portfolio Investment Response to Monetary Policy Decisions in Nigeria: A Toda-Yamamoto Approach

2020 ◽  
Vol 13 (3) ◽  
pp. 166
Author(s):  
Gylych Jelilov ◽  
Bilal Celik ◽  
Yusuf Adamu
Keyword(s):  
Monetary Policy ◽  
Impulse Response Function ◽  
Portfolio Investment ◽  
Policy Decisions ◽  
Foreign Portfolio Investment ◽  
Policy Tool ◽  
Causality Model ◽  
Investment Response ◽  
Reserve Ratio ◽  
Future Path

This paper examined the response of foreign portfolio investment to Monetary Policy decisions of the Central Bank of Nigeria using monthly data spanning January 2007 to December 2018. The study adopted the Toda-Yamamoto Causality model and Generalized Impulse Response Function for analysis. The results showed that changes in monetary policy stance could only impact the behavior of foreign portfolio investment with 6-month lag and with marginal impact. This implies that monetary policy could still be effective even if the CBN decides to lose policy stance without losing significant capital flight. The conclusion from the findings is that monetary policy is just a signaling instrument for portfolio investors in Nigeria because it influences foreign portfolio investment through the Treasury bill rate rather than through MPR and CRR. The marginal response of investment due to changes in policy rate from the GIRF validate the TY results by indicating that monetary policy rate changes on its own may not be what investors are concern about, rather the expectation of the rates future path. The cash reserve ratio as a monetary policy tool does not seem to exert any impact on foreign portfolio investment.

Monetary policy and macroeconomic responses: non-recursive SVAR study of Egypt

2019 ◽  
Vol 11 (3) ◽  
pp. 319-337
Author(s):  
Mohamed Aseel Shokr ◽  
Zulkefly Abdul Karim ◽  
Mohd Azlan Shah Zaidi
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Monetary Policy Shocks ◽  
Content Type ◽  
Macroeconomic Variables ◽  
Svar Model ◽  
Policy Shocks ◽  
Effect Of Monetary Policy ◽  
Foreign Shocks

Purpose This paper aims to examine the effects of monetary policy and foreign shocks on output, inflation and exchange rate in Egypt. Design/methodology/approach This paper studies the effects of monetary policy and foreign shocks on output, inflation and exchange rate by using non-recursive SVAR model and quarterly data. Findings First, the empirical results reveal that monetary policy shocks, through changes in interest rate or money supply, have a significant effect on output, inflation and exchange rate in Egypt. Second, the world oil prices and foreign output have significant impacts on output, inflation and exchange rate in Egypt, while foreign interest rate has a significant effect on domestic output and inflation. Research limitations/implications The limitation of the study is examining one country only. Practical implications The Central Bank of Egypt (CBE) should adjust interest rate to stabilize inflation, output and exchange rate. By stabilizing inflation, output and exchange rate, the CBE would be able to achieve the ultimate targets of monetary policy, namely, price stability and economic growth. Social implications It is important for the CBE because it shows the significant effect of monetary policy on macroeconomic variables in Egypt. Also, it is important for people because it shows the important role for the CBE. Originality/value It is important for the CBE because it examines the effect of monetary policy and foreign shocks on macroeconomic variables.

scholarly journals Does Corruption and Government Regulation Matter to Foreign Portfolio Investment: Evidence from Asian and the European Union Countries

2021 ◽  
Vol 07 (11) ◽  
Author(s):  
Zainuri . ◽  
Keyword(s):  
European Union ◽  
Economic Integration ◽  
Portfolio Investment ◽  
The European Union ◽  
Asian Countries ◽  
Short Term ◽  
Foreign Portfolio Investment ◽  
Macroeconomic Variables ◽  
Portfolio Investments

Economic integration in various countries impacts fluctuations in and out of capital and multiple economic cooperation between countries. The investment that is one form of implementation of economic integration positively influences a country's capital reserves. The study analyzed the influence of macroeconomic variables and proxied institutions with corruption variables and government regulations on foreign portfolio investment fluctuations in the twenty Asian and EU countries with the largest funds flows. The data used in this study is a data panel with a period from 2002-2019. The analysis method used in this study uses two methods at once, namely the Generalized Method of Moment (GMM) and the Panel Vector Error Correction Model (PVECM), to analyze the cost of the analysis results. The study found that macroeconomic instruments projected with GDP variables had a positive and significant influence on foreign portfolio investments, while exchange rate variables negatively affected foreign portfolio investments. Important findings in this study that corruption consistently negatively and significantly affects foreign portfolio investments are based on both GMM test results and PVECM tests in the long term. In contrast, the results of PVECM tests in the short term do not have any macroeconomic variables or institutions that significantly affect foreign portfolio investment. This means that investors' consideration in investing in Asian countries and Europe is based on a long-term perspective than on short-term economic dynamics. In addition, regulatory variables have a positive and significant effect on foreign investment portfolios in twenty Asian countries and the European Union with the largest portfolio investment fund flow.

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