An Approach of Vector Autoregression Model for Inflation Analysis in Indonesia

A control of the inflation rate caused by the fluctuations in foreign exchange reserves, money supply, and exchange rate is required to create the stability of the country's economy. This study aims to analyze the dynamic impact of disturbance factors contained in the variables of foreign exchange reserves, the money supply, and the exchange rate. This research used monthly data from June 2009 to November 2016. It used a method used of Vector Autoregression. The result shows that a foreign exchange reserve has a negative relationship nut not significant effect on inflation, money supply has positive relationship and significant effect on inflation, and exchange rate of rupiah to US dollar has negative relationship and significant effect on inflation. The responce of inflation from shocking occurs to supply, foreign exchange reserves and exchange rate tend to be convergent and the biggest contribution that influences inflation the most is exchange rate beside inflation itself.

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The Relationship between Exchange Rate, Official Reserves and Money Supply in Kyrgyzstan

International Conference on Eurasian Economies 2017 ◽

10.36880/c08.01836 ◽

2017 ◽

Author(s):

Junus Ganiev ◽

Damira Baigonushova ◽

Nevin Aydın

Keyword(s):

Monetary Policy ◽

Exchange Rate ◽

Exchange Rates ◽

Money Supply ◽

Foreign Exchange ◽

Foreign Exchange Market ◽

Kyrgyz Republic ◽

Monthly Data ◽

The Stability ◽

The Relationship

In recent years, there has been considerable instability in the exchange rates of many countries. This can directly affect macroeconomic stability on one side and monetary policy or rather money supply on the other. Because central banks are making interventions to the foreign exchange market by buying and selling foreign exchange in order to provide stability of exchange rate. As a result, both the official reserves and the money supply are constantly changing. Since Kyrgyzstan is a country dependent on imports in most commodities, the Central Bank of the Kyrgyz Republic sees the exchange rates’ stability as an important instrument of price stabilizing. However, such a policy may deteriorate the stability of the total money supply and adversely affect the economy. Therefore, in this study, it is aimed to examine the relations between exchange rate, money supply and official reserves by using 2002-2016 monthly data and cointegration method. Empirical results have shown that a change in the exchange rate causes opposite changes in both the reserves and the money supply as a result of the central bank’s interventions. However, more concrete recommendations on the effectiveness of monetary policy in Kyrgyzstan are required to make more detailed analysis.

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ANALYSIS OF MACROECONOMIC EFFECTS ON THE YIELD OF CORPORATE BONDS IN INDONESIA

Dinasti International Journal of Management Science ◽

10.31933/dijms.v1i3.110 ◽

2020 ◽

Vol 1 (3) ◽

pp. 300-310

Author(s):

Anastasia Sianturi ◽

Pardomuan Sihombing

Keyword(s):

Exchange Rate ◽

Foreign Exchange ◽

Corporate Bonds ◽

Oil Price ◽

Corporate Bond ◽

Foreign Exchange Reserves ◽

Monthly Data ◽

Factors Affecting ◽

Macroeconomic Effects ◽

Positive Effect

This study aims to examine and obtain empirical evidence of the effects of inflation, BI rate, exchange rate, foreign exchange reserves and the oil price to yield corporate bonds in Indonesia. An increase in the number of issuers and corporate bond issuance value in Indonesia means that many companies are using and seek financing through the issuance of bonds. Several studies have been conducted, inconsistencies results of research on factors affecting yield corporate bonds in Indonesia. This study uses a quantitative approach to the type of associative causal research. Measurement of variables in this study using a time series analysis were processed using Eviews program 10. This research was conducted using monthly data within the period of 2015 to 2018. The results of this research that inflation positively affects yield corporate bonds. BI rate has a positive effect on the yield of corporate bonds. Exchange rate positive effect on the yield of corporate bonds. Foreign exchange reserves negatively affect yield corporate bonds. Oil price positive effect on the yield of corporate bonds.

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Examination of the Exchange Rate and Import Price Pass-through to Inflation: A View from Nigeria

10.21203/rs.3.rs-40156/v1 ◽

2020 ◽

Author(s):

Samuel F Onipede ◽

Nafiu A Bashir ◽

Kodili N Nduka ◽

Nuruddeen Usman

Keyword(s):

Exchange Rate ◽

Vector Autoregression ◽

Import Price ◽

Domestic Currency ◽

Structural Vector Autoregression ◽

Vector Autoregression Model ◽

Autoregression Model ◽

Pass Through ◽

Structural Vector ◽

Domestic Inflation

Abstract We examine the effect of exchange rate and import price pass-through to inflation in Nigeria using headline inflation and import price data, with the aid of a non-recursive Structural Vector Autoregression model. Our results indicate mostly incomplete ERPT and IPPT to inflation. Specifically, we found that (i) the ERPT to the INF is incomplete at all horizons. (ii) IPPT to the INF is incomplete at all horizons. (iii) IPPT to inflation is relatively more rapid than the ERPT to inflation. The findings further suggest that the monetary authority should be wary of using devaluation of the domestic currency as a way of propping up the economy as that would not only aggravate domestic inflation but likely to also increase the ERPT. Similarly, harmonizing the disparate exchange rate windows in the economy might reduce import price pass-through to domestic inflation. Also, the size and speed of both ERPT and IPPT from the study suggest that relevant authorities need to strengthen domestic industries and instill confidence in consumers, to reduce reliance on imports.JEL Classification: C32; E31; F31; 055

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Changes in Macroeconomic conditions and capital Return in Indonesia

MIR (Modernization Innovation Research) ◽

10.18184/2079-4665.2020.11.3.320-328 ◽

2020 ◽

Vol 11 (3) ◽

pp. 320-328

Author(s):

Andesta Selvi ◽

Adam Mohammad ◽

. Suhel

Keyword(s):

Exchange Rate ◽

Interest Rates ◽

Stock Returns ◽

Money Supply ◽

Foreign Exchange ◽

Capital Market ◽

Company Performance ◽

Foreign Exchange Reserves ◽

Exchange Rate Changes ◽

Investment Process

Purpose: this study aims to examine the influence of changes in inflation, changes in the rupiah exchange rate, changes in the money supply, changes in SBIS, changes in foreign exchange reserves and changes in interest rates on the return of Indonesian Islamic stocks.Methods: this study is focused on looking at conditions of macroeconomic changes that have an impact on the activity of the Islamic capital market, particularly on the return of Islamic stocks listed in the Jakarta Islamic Index. This empirical evidence is related to variable macroeconomic changes, namely changes in inflation, rupiah exchange rate, money supply, foreign exchange reserves, Indonesian Syariah Bank Certificates (SBIS) and interest rates on sharia stock returns for the period January 2014 – December 2019 obtained from Financial publications. Service Authority (OJK) and Bank Indonesia. The analysis technique used is quantitative analysis using multiple regression analysis tools.Results: the results of this study are (1) Variable Changes in Inflation, Changes in the Amount of Money Supply, Changes in Foreign Exchange Reserves, Changes in SBIS have a positive and significant effect on Stock Returns listed on the Jakarta Islamic Index, (2) changes in exchange rates have a negative and significant effect on Stock Returns listed in Jakarta Islamic. Index, (3) the Interest Rate variable has no effect on Stock Returns listed on the Jakarta Islamic Index.Conclusions and Relevance: the approach used by each variable starts with the conventional followed by the study of Islamic macroeconomics, in order to provide a philosophy of science and economics that refers to Baqir Sadr in the Iqtishaduna book. In this study, researchers examined macroeconomic variables on sharia stock returns to prioritize people's welfare and pay close attention to every investment process based on sharia principles. Therefore the public, entrepreneurs, investors and company performance must pay attention to information regarding changes in inflation, changes in the rupiah exchange rate, changes in the money supply, changes in Bank Indonesia Sharia Certificates (SBIS), changes foreign exchange reserves, and changes in interest rates in order to minimize risks for both investors and entrepreneurs. This variable can affect the movement of the capital market so that the return on Islamic stocks also has an effect.

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PENGARUH INFLASI, JUB, SBI, SERTA CADANGAN DEVISA TERHADAP NILAI TUKAR RUPIAH TAHUN 2017-2020

DIALEKTIKA : Jurnal Ekonomi dan Ilmu Sosial ◽

10.36636/dialektika.v6i2.831 ◽

2021 ◽

Vol 6 (2) ◽

pp. 60-72

Author(s):

Duwik Tri Utami ◽

Fitrah Sari Islami

Keyword(s):

Exchange Rate ◽

Interest Rate ◽

Money Supply ◽

Foreign Exchange ◽

Open Economy ◽

The United States ◽

Foreign Exchange Reserves ◽

Short Term ◽

The Exchange Rate

Indonesia's economy refers to an open economy. In conducting international trade, countries must compare their currencies with currencies belonging to other countries. Where, the United States currency, namely the dollar, is still the standard of world exchange rates and is used in international transactions. The effect of fluctuations in the exchange rate of the rupiah with the dollar is the occurrence of depreciation or appreciation which will affect Indonesia's economic activities. The purpose of this study is to determine the effect of inflation, the money supply (M2), the SBI interest rate, and foreign exchange reserves on the rupiah exchange rate in the short and long term. The variables that are thought to be able to influence changes in the rupiah exchange rate are the inflation rate, the money supply (M2), the SBI interest rate, and foreign exchange reserves. This research was conducted during January 2017 to December 2020, using the Error Correction Model (ECM). The result is a long-term and short-term relationship. In the short term, foreign exchange reserves and the money supply (M2) significantly affect the exchange rate. Meanwhile, in the long term, the SBI interest rate, money supply (M2), and foreign exchange reserves significantly affect the exchange rate.

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PENGARUH JUMLAH UANG BEREDAR (JUB) DAN EKSPOR TEMBAKAU TERHADAP KURS DI INDONESIA

Jurnal Ekonomi Regional Unimal ◽

10.29103/jeru.v2i1.1711 ◽

2019 ◽

Vol 2 (1) ◽

pp. 15

Author(s):

Siti Aryani ◽

Murtala Murtala

Keyword(s):

Exchange Rate ◽

Money Supply ◽

Time Series Data ◽

Series Data ◽

Analysis Model ◽

Vector Autoregression Model ◽

Var Analysis ◽

Autoregression Model ◽

The Exchange Rate ◽

Analyze Data

This study aims to determine the effect of the money supply and export of tobacco on the exchange rate in Indonesia. This study uses time series data from 1986 to 2016. To analyze data, this uses Multiple linear regression and Vector Autoregression Model (VAR). Based on the results of the study obtained, it can be seen that partially the money supply had a positive and significant effect on the exchange rate and the export of tobacco had a negative and significant effect on the exchange rate. While simultaneously, the money supply and exports of tobacco had a positive and significant effect on the exchange rate in Indonesia. Furthermore, the results of the VAR analysis model showed that the exchange rate why influenced significantly and positively by the movement itself. The money supply had a positive and insignificant effect on the exchange rate while tobacco exports had a positive and significant effect on the exchange rate.

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Changes in Macroeconomic Conditions and Capital Return in Indonesia

Modern Economics ◽

10.31521/modecon.v23(2020)-30 ◽

2020 ◽

Vol 23 (1) ◽

pp. 187-193

Author(s):

Andesta Selvi ◽

◽

Adam Mohamad ◽

Feunsri Suhel ◽

◽

...

Keyword(s):

Exchange Rate ◽

Interest Rates ◽

Stock Returns ◽

Money Supply ◽

Foreign Exchange ◽

Capital Market ◽

Company Performance ◽

Foreign Exchange Reserves ◽

Exchange Rate Changes ◽

Investment Process

Abstract. This study is focused on looking at conditions of macroeconomic changes that have an impact on the activity of the Islamic capital market, particularly on the return of Islamic stocks listed in the Jakarta Islamic Index. This empirical evidence is related to variable macroeconomic changes, namely changes in inflation, rupiah exchange rate, money supply, foreign exchange reserves, Indonesian Syariah Bank Certificates (SBIS) and interest rates on sharia stock returns for the period January 2014-December 2019 obtained from Financial publications. Service Authority (OJK) and Bank Indonesia. The analysis technique used is quantitative analysis using multiple regression analysis tools. Purpose. This study aims to examine the influence of changes in inflation, changes in the rupiah exchange rate, changes in the money supply, changes in SBIS, changes in foreign exchange reserves and changes in interest rates on the return of Indonesian Islamic stocks. Results. The results of this study are (1) Variable Changes in Inflation, Changes in the Amount of Money Supply, Changes in Foreign Exchange Reserves, Changes in SBIS have a positive and significant effect on Stock Returns listed on the Jakarta Islamic Index, (2) changes in exchange rates have a negative and significant effect on Stock Returns listed in Jakarta Islamic. Index, (3) the Interest Rate variable has no effect on Stock Returns listed on the Jakarta Islamic Index. Conclusion. The approach used by each variable starts with the conventional followed by the study of Islamic macroeconomics, in order to provide a philosophy of science and economics that refers to Baqir Sadr in the Iqtishaduna book. In this study, researchers examined macroeconomic variables on sharia stock returns to prioritize people’s welfare and pay close attention to every investment process based on sharia principles. Therefore the public, entrepreneurs, investors and company performance must pay attention to information regarding changes in inflation, changes in the rupiah exchange rate, changes in the money supply, changes in Bank Indonesia Sharia Certificates (SBIS), changes foreign exchange reserves, and changes in interest rates in order to minimize risks for both investors and entrepreneurs. This variable can affect the movement of the capital market so that the return on Islamic stocks also has an effect. Keywords: Stock Return; Inflation Change; Rupiah Exchange Rate; Change in Amount of Money Supply; Change in Bank Indonesia Sharia Certificate; Change in Foreign Exchange Reserves; and Change in Interest Rates.

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The Dynamics of The Rupiah Exchange Rate in 2017-2020

AFEBI Economic and Finance Review ◽

10.47312/aefr.v5i02.472 ◽

2020 ◽

Vol 5 (2) ◽

pp. 1

Author(s):

Muhammad Arief Aldila Susanto ◽

Rr. Retno Retno Sugiharti

Keyword(s):

Exchange Rate ◽

Interest Rates ◽

Money Supply ◽

Foreign Exchange ◽

Time Series Data ◽

Series Data ◽

Foreign Exchange Reserves ◽

Long Run ◽

Short Run ◽

The Exchange Rate

<p align="justify">The exchange rate is one of the most important indicators in the economy. Moreover, with the increasing intensity of trade between countries, commonly referred to as international trade, this economic indicator becomes important for every country, including Indonesia. The change in the Indonesian exchange rate system to a free-floating system has made the exchange rate fluctuations more dynamic. The fluctuations are influenced by various factors, both internal and external. This study aims to determine the effect of the money supply (M<sub>2</sub>), foreign exchange reserves, SBI interest rates and world crude oil prices on the rupiah/dollar exchange rate in 2017-2020 both in the short run and in the long run. The data used is monthly time series data from 2017-2020. The analytical method used in this study is the Error Correction Model (ECM). The results in this study indicate that in the short run and long run the money supply and foreign exchange reserves variables have a significant effect on the rupiah exchange rate in 2017-2020.</p>

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PENGARUH JUMLAH UANG BEREDAR, INFLASI DAN NILAI TUKAR RUPIAH TERHADAP PENDAPATAN NASIONAL DI INDONESIA MENGGUNAKAN MODEL DINAMIS

Jurnal Ekonomi Regional Unimal ◽

10.29103/jeru.v2i2.1698 ◽

2019 ◽

Vol 2 (2) ◽

pp. 98

Author(s):

Zakiah Zakiah ◽

Umaruddin Usman

Keyword(s):

Exchange Rate ◽

Money Supply ◽

Time Series Data ◽

National Income ◽

Series Data ◽

Analysis Model ◽

Vector Autoregression Model ◽

Autoregression Model ◽

One Year ◽

Analyze Data

This study aims to determine the effect of the money supply, inflation and the rupiah exchange rate on national income in Indonesia. This study uses time series data from 1996-2017 obtained from www.bi.go.id, and www.bps.go.id. The tool used to analyze data is the Vector Autoregression Model (VAR) with the Impulse Respo Function (IRF). Based on research that uses the results of the VAR analysis model which shows that there is a unidirectional relationship between the variable money supply to national income and the unidirectional relationship between national income and the rupiah exchange rate. The results of the study with the analysis of the response response of the money supply took one year, the inflation variable took four years, and the exchange rate variable took three years to be stable after the shock caused by other variables in the study.

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Budget deficit-macroeconomic variables nexus in Kenya

Journal of Economics and Management ◽

10.22367/jem.2021.43.13 ◽

2021 ◽

Vol 43 ◽

pp. 270-292

Author(s):

Doris Syombua Philip ◽

Keyword(s):

Exchange Rate ◽

Interest Rate ◽

Budget Deficit ◽

Vector Autoregression ◽

Negative Impact ◽

External Debt ◽

Series Data ◽

Macroeconomic Variables ◽

Vector Autoregression Model ◽

Autoregression Model

Aim/purpose – The aim of this paper was to establish the nexus between a budget defi- cit and selected macroeconomic variables in Kenya. This adds to the existing literature while the methodology and choice of the econometric tools used improve the predictabil- ity of the link between a budget deficit and macroeconomic variables. The results are relevant to policy makers as they may help improve understanding of budget deficit management. Design/methodology/approach – The study used time series data for the period from 1976 to 2018 and employed the Vector Autoregression model reinforced by the Keynesian Mundell–Fleming framework. Findings – The impulse response function derived from the vector autoregression model revealed that shocks from both interest rate and exchange rate had a positive impact on budget deficit. External debt servicing and current account deficit shocks had a negative impact on the budget deficit. Research implications/limitations – Interest rate and exchange rate policies remain key in reducing the growth of the budget deficit. Policies on external debt servicing, such as timely payment of debts and prudent investment of borrowed funds, will also reduce the budget deficit. Originality/value/contribution – The study employed transmission mechanism which involves multiple equations to establish the nexus between a budget deficit and macroe- conomic variables in Kenya. Keywords: budget deficit; selected macroeconomic variables, Kenya. JEL Classification: H60, H62, H68.

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