COMPARISON OF ARIMA, TRANSFER FUNCTION AND VAR MODELS FOR FORECASTING CPI, STOCK PRICES, AND INDONESIAN EXCHANGE RATE: ACCURACY VS. EXPLAINABILITY

2020 ◽  
Vol 13 (1) ◽  
pp. 1-12
Author(s):  
Taly Purwa ◽  
Ulin Nafngiyana ◽  
Suhartono Suhartono
Keyword(s):  
Exchange Rate ◽  
Transfer Function ◽  
Stock Prices ◽  
Consumer Price Index ◽  
Multivariate Methods ◽  
Fiscal Policies ◽  
Macroeconomic Variables ◽  
Method Transfer ◽  
Accuracy Comparison ◽  
The Us

The Consumer Price Index (CPI), stock prices and the rupiah exchange rate to the US dollar are important macroeconomic variables which their movements show the economic performance and can affect the monetary and fiscal policies of Indonesia. This makes forecasting effort of these variables become important for policy planning. While many previous studies only focus on examining the effect among macroeconomic variables, this study uses ARIMA (univariate method), transfer function and VAR (multivariate methods) to measure the forecasting accuracy and also observing the effect between these macroeconomic variables. The results showed that the multivariate methods gave better explanation about the relationship between variables than the simple one. Otherwise, the results of accuracy comparison showed that the multivariate methods did not always yield better forecast than the simple one, and these conditions in line with the results and conclusions of M3 and M4 competition.

scholarly journals Stock prices and Macroeconomic Performance in Pakistan: An Analysis

2015 ◽  
Vol 1 (2) ◽  
pp. 119-128
Author(s):  
Saima Mukhtar ◽  
Imran Sharif Sharif Chaudhry ◽  
Furrukh Bashir
Keyword(s):  
Exchange Rate ◽  
Stock Prices ◽  
Positive Impact ◽  
Stock Exchange ◽  
Consumer Price Index ◽  
Multiple Regression Model ◽  
Causality Test ◽  
Macroeconomic Variables ◽  
Equilibrium Relationships

This paper analyzes long-term equilibrium relationships between the Karachi stock exchange index and a group of macroeconomic variables. The macroeconomic variables are represented by the gross domestic product, the consumer price index, M2 and the exchange rate. We employ a multiple regression model to explore such relationships during 1991 to 2012. Our results indicated a "causal" relationship between the stock market and the economy analysis of our results indicates that KSE 100 index has a strong positive impact on GDP and M2 in Pakistan. Whereas it has a negative and significant impact on CPI and exchange rate in Pakistan. Granger causality test shows that KSE 100 index Granger causes GDP, CPI, M2, EXRT, AGRI, FDI and BOT and the direction of causality runs from KSE 100 index to these variables.

Macroeconomic Factors and Pakistani Equity Market”

2004 ◽  
Vol 43 (4II) ◽  
pp. 619-637 ◽  
Author(s):  
Muhammad Nishat ◽  
Rozina Shaheen
Keyword(s):  
Stock Market ◽  
Industrial Production ◽  
Stock Prices ◽  
Stock Price ◽  
Consumer Price Index ◽  
Reverse Causality ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Equilibrium Relationships

This paper analyzes long-term equilibrium relationships between a group of macroeconomic variables and the Karachi Stock Exchange Index. The macroeconomic variables are represented by the industrial production index, the consumer price index, M1, and the value of an investment earning the money market rate. We employ a vector error correction model to explore such relationships during 1973:1 to 2004:4. We found that these five variables are cointegrated and two long-term equilibrium relationships exist among these variables. Our results indicated a "causal" relationship between the stock market and the economy. Analysis of our results indicates that industrial production is the largest positive determinant of Pakistani stock prices, while inflation is the largest negative determinant of stock prices in Pakistan. We found that while macroeconomic variables Granger-caused stock price movements, the reverse causality was observed in case of industrial production and stock prices. Furthermore, we found that statistically significant lag lengths between fluctuations in the stock market and changes in the real economy are relatively short.

scholarly journals The Impact of Macroeconomic Variables on Stock Prices: An Empirical Analysis of Islamabad Stock Exchange

2014 ◽  
Vol 10 (2) ◽  
pp. 73-93
Author(s):  
Nosheen Rasool ◽  
Muhammad Mubashir Hussain
Keyword(s):  
Exchange Rate ◽  
Significant Relationship ◽  
Stock Prices ◽  
Price Index ◽  
Stock Exchange ◽  
Foreign Exchange Reserves ◽  
Macroeconomic Variables ◽  
Production Index ◽  
Long Run ◽  
The Impact

The purpose of this study was to analyze long-run causal relationship between ISE (Islamabad Stock Exchange) and macroeconomic variables in Pakistan and also find out the direction of causality. The impact of macroeconomic variables on stock prices of ISE has not been previously discussed by the researchers. The monthly data from January 2001 to December 2010 was used in this study. The set of macroeconomic variables include Exchange Rate (ER), Foreign Exchange Reserves (FER), Industrial Production Index (IPI), Interest Rate (IR), Imports (M), Money Supply (MS), Wholesale Price Index (WPI) and Exports (X). Descriptive statistics and Unit root test, Johansen Co-integration Technique and Granger Causality Technique were employed to analyze the long-run and causal relationship between the macroeconomic variables and stock prices.  The results revealed that M showed positive and significant relationship but Foreign Exchange Reserves (FER) and Industrial Production Index (IPI) indicated positive and insignificant relationship with the stock prices. Exchange rate(ER), Money supply (MS) and  Whole sale price index(WPI) showed negative but significant relationship while Interest  rate (IR) and Export( X )indicated a negative and insignificant relationship with the stock prices. The findings of Granger Causality revealed that only exports showed a unidirectional causal relationship. 

scholarly journals Determining a Dynamic Relationship Between Stock Prices and Exchange Rates: An Empirical Study on Eurasia

2010 ◽  
Author(s):  
Bekir Elmas ◽  
Ömer Esen
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Exchange Rates ◽  
Stock Prices ◽  
Traditional Approach ◽  
Cointegration Test ◽  
Causality Test ◽  
Macroeconomic Variables ◽  
The Relationship

The stock price has a close relationship with some macroeconomic variables. As examples of the main macroeconomic variables can be shown that exchange rates, inflation, interest rate, growth rates. This paper empirically examined the relationship between the local stock market indexes and exchange rate (USD) in six Eurasian countries namely Turkey, Germany, France, Netherlands, Russia, France and India. The paper set out by testing existence of a long-term relationship between considered two variables using the Engle-Granger (1987), Johansen (1988, 1995) and Johansen-Juselius (1990) cointegration methods. Results of Engle- Granger cointegration test showed that there is no cointegration linkage between two variables under consideration. Furthermore, The Johansen cointegration test found that there is a long-term relationship between two variables (variables in the two countries). Under the VAR (Vector Autoregressive) and VEC (Vector Error Correction) models appllied the Granger causality test, revealed an unidirectional casual relationship between two variables in each of the six countries. In addition as regards the relationship While there is a unidirectional causal relationship running from exchange rate to stock market for four countries. However this relation is casual running from stock market to exchange rate for other two countries. According to the direction of the relationship these results that relationship between stock prices and exchange rate in four countries supports for the “Traditional Approach”. Furthermore, this relation also supports for the “Portfolio Approach” for other two countries.

scholarly journals Money supply, interest rate, exchange rate and oil price influence on inflation in South Africa

2011 ◽  
Vol 8 (3) ◽  
pp. 594-605 ◽  
Author(s):  
Raphael Tabani Mpofu
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Interest Rates ◽  
Money Supply ◽  
Development Strategy ◽  
Consumer Price Index ◽  
Negative Relationship ◽  
Oil Price ◽  
Policy Framework ◽  
Macroeconomic Variables

Price stability is critical for South Africa’s economic development strategy, and, based on previous studies, to effectively achieve this, requires a good understanding of the relationship between inflation and selected macroeconomic variables of broad money supply, interest rate, exchange rate and oil price. Monthly data are employed from January, 1999 through September, 2010. To determine this relationship, the independent variables were tested for multicollinearity, and thereafter a multiple regression model was developed. The findings from the study show that approximately 97% of the consumer price index movement is explained by the four macroeconomic variables. The study confirms that money supply and exchange rates have a strong positive relationship with inflation and have to be managed. Interest rates and oil price, on the other hand, have a significant negative relationship with inflation and should be part of a macroeconomic policy framework. This requires managing the delicate balance between a desirable level of inflation in support of economic growth and development and an unacceptable level of inflation that leads to price instability.

Macroeconomic factors and stock returns: Evidence from the emerging market of Asia

2018 ◽  
Vol 5 (3) ◽  
pp. 16-20
Author(s):  
Muhammad Asad Saleem Malik ◽  
Saher Touqeer ◽  
Shumaila Zeb
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Negative Impact ◽  
Positive Impact ◽  
Emerging Market ◽  
Consumer Price Index ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Significant Negative Impact ◽  
The Impact

This study examines the impact of macroeconomic variables on stock returns of Pakistan, India and Sri Lanka for the period of 1997-2014. GMM approach is used to analyze the impact of macroeconomic variables on stock returns. Variables of the study were T-Bills, Exchange Rate, Consumer Price Index (CPI) and the Industrial Production Index (IPI). The results of study show that T-bills rate has significant negative impact while Exchange rate has a significant positive impact on the Stock Returns of the study period.

Economic Activities and Oil Price Shocks in Indian Outlook: Direction of Causality and Testing Cointegration

2021 ◽  
pp. 097215092199049
Author(s):  
Preeti Sharma ◽  
Avinash K. Shrivastava
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Stock Prices ◽  
Economic Activity ◽  
Negative Relationship ◽  
Oil Prices ◽  
Industrial Output ◽  
Market Prices ◽  
Macroeconomic Variables ◽  
Short Run

The current study intends to find out the linkages between crude oil prices and economic activity in the context of Indian economy. The macroeconomic variables such as gross domestic product (GDP), unemployment, industrial output, inflation, exchange rate and stock market prices have been used as a proxy to economic activity. We have analysed the sample data of 30 years, that is, from year 1991 to 2020. To inspect the short-run relationship between oil prices and the above-mentioned macroeconomic variables, Granger causality test has been applied after removing the presence of unit root through differencing the series. To investigate the long-run relationship, vector error correction model (VECM) has been applied after testing cointegration through the Johansen method of cointegration. The findings of the study show that oil prices have short-run causality with all the variables, that is, GDP, unemployment, industrial output, inflation, exchange rate and stock market prices, while they have a long association with inflation, industrial production and unemployment. Further we find a negative relationship between oil prices and unemployment, industrial output, inflation and exchange rate and a positive relationship with GDP and stock prices.

scholarly journals Pendekatan Anova dalam Menentukan Keputusan Investasi pada Perusahaan Perkebunan di Indonesia

2019 ◽  
Vol 3 (1) ◽  
pp. 106-116
Author(s):  
Suyono Suyono
Keyword(s):  
Exchange Rate ◽  
Financial Performance ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Hypothesis Test ◽  
Macroeconomic Variables ◽  
Significant Difference ◽  
The Exchange Rate ◽  
Plantation Company

The growth of companies in the plantation sector, it can be assumed that the plantation sector in Indonesia is still classified as a potential. so that it can be a benchmark for many investors in investing in the plantation sector. One of the indicators in investing can be seen from the financial performance, the company's stock price and the exchange rate. The study found that there were differences between financial performance, stock prices and the exchange rate of plantation sector companies listed on the Indonesia Stock Exchange during 2015-2018. This research was conducted as a measure of investors to invest in companies. This research method uses a quantitative approach because to find out and analyze differences in financial performance, stock prices and macroeconomic variables in plantation companies with a different approach and test the correctness of existing theories. While the hypothesis test used is the Analysis of Variance (ANOVA) method. The results showed there was no difference between the stock price and the exchange rate (KURS) of the company. Whereas the financial performance variable (ROA) points to a significant difference between the financial performance of one plantation company from another during the priod 2015-2018. Keywords: Stock Prices, Financial Performance (ROA), Macroeconomics (KURS)

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