scholarly journals Quantitative Easing Program and Financial Market Volatility in Indonesia

JEJAK ◽  
2017 ◽  
Vol 10 (1) ◽  
pp. 80-89
Author(s):  
T. Muhd. Redha Vahlevi ◽  
Harjum Muharam
Keyword(s):  
Exchange Rate ◽  
Money Supply ◽  
Financial Market ◽  
Price Volatility ◽  
Gold Price ◽  
Market Volatility ◽  
Series Data ◽  
Quantitative Easing ◽  
Market Index ◽  
The Impact

This research aims to examine the impact of the USD money supply during and before quantitative easing program towards financial market volatility in Indonesia which is proxied by variance of financial market index such as IHSG, Gold Price in IDR, and Exchange Rate IDR/USD to find out the effect of the excess USD money supply on Indonesias financial market volatility. This reseacrh has used monthly time series data of M1 of USD, IHSG, IDR/USD Exchange Rate, and Gold Price from December 2008 to December 2013. TGACRH in this research is used to find out wheter the volatility or variance at previous time affects volatility of these financial market index at present time and assymetric information is exist in the financial market index. The result showed that theres a difference between the effect of USD money supply to financial market index volatility in Indonesia during QE program and before QE program. Before and during QE program, USD money supply positively affects IDR/USD exchange rate volatiliy and IHSG volatility and negatively affects Gold Price volatility. During QE program, USD money supply negatively affects volatility of IDR/USD exchange rate and IHSG, and positively affects Gold Price volatility.

scholarly journals An Econometrics Analysis of the Impact Exchange Rate on Economic Growth of Nigeria

2021 ◽  
Vol 4 (3) ◽  
pp. 185-198
Author(s):  
Okosu Napoleon David
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Interest Rate ◽  
Money Supply ◽  
Current Account ◽  
Series Data ◽  
Current Account Balance ◽  
National Account ◽  
Long Run ◽  
The Impact

The study interrogates the impact of exchange rate on the economic growth of Nigeria from 1981 to 2020 using quarterly time-series data from the Central Bank of Nigeria and the World Bank National Account. The dependent variable in the model was Real Gross Domestic Product (RGDP), and the independent variables were Exchange Rate (EXCHR), inflation (INFL), Interest Rate (INTR), Foreign Direct Investment (FDI), Broad Money Supply (M2) and Current Account Balance of Payment (CAB). The methodology employed was the Auto-Regressive Distributed Lag (ARDL) model which incorporates the Cointegration Bond test and Error-Correction Mechanism. The finding indicates that in the short run, EXCHR, CAB, M2 and FDI, had a positive impact on economic growth. The impact of EXCHR and CAB were significant on growth while that of M2 and FDI were insignificant to growth. However, INTR and INFL had a negative impact on economic growth with both variables being statistically significant. The bound test showed that there was a long-run relationship among the study variables, and the results from the long run reveal that the exchange rate has a positive and significant impact on economic growth. Inflation, Interest rate, FDI, Current Account Balance of Payment (CAB) and Broad Money Supply all have a positive and significant impact on economic growth. Based on the findings the study recommended that monetary authority should strictly monitor the operations of banks and other forex dealers with a view of ensuring unethical practices are adequately sanctioned to serve as a deterrent to others.

scholarly journals DAMPAK KEBIJAKAN MONETER TERHADAP STABILITAS RUPIAH

2017 ◽  
Vol 15 (3) ◽  
pp. 416
Author(s):  
Azhar Bafadal
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Money Supply ◽  
Inflation Rate ◽  
Series Data ◽  
Small Magnitude ◽  
Long Run ◽  
The Exchange Rate ◽  
The Interest Rate ◽  
The Impact

This research aimed to study the impact of monetary policy on the rupiah stability. Variables used were the interest rate of Bank Indonesia Certificate (SBI), the rate of inflation (IHK), the exchange rate of rupiah against the US dollar (Kurs) and the money supply in the narrow sense (M1). Data used were of quarterly time series data of Bank Indonesia and Central Bureau of Statistic, covering 2002.1-2010.4. The analysis was undertaken by using a vector autoregression model (VAR), through the Impulse Response Function (IRF) and Forecast error variance decomposition (FEVD). The research results showed that in the sort run shocks of SBI  decreased the inflation rate, and in the long run the inflation rate was constant. The exchange rate tended to be appreciated in the short run and long run although in a small magnitude. Money supply decreased with a minor fluctuation. Initially, the money supply shocks increased the interest rate of SBI, but decreased in the long run. The rate of inflation fluctuated in the sort run but it was constant in the long run. The exchange rate was depreciated both in the sort run and in the long run.

scholarly journals The Effect of Inflation, Rupiah Exchange Rate, Interest Rate, Money Supply, Industry Production Index, Dow Jones Islamic Market Index in Malaysia and Japan on ISSI

2021 ◽  
Vol 1 ◽  
pp. 107-115
Author(s):  
Rizki Nur Gunawan ◽  
Anton Bawono
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Money Supply ◽  
Time Series Data ◽  
Linear Regression Analysis ◽  
Sampling Technique ◽  
Series Data ◽  
Production Index ◽  
Market Index ◽  
Supply Industry

The purpose of this study is to determine the effect of inflation, rupiah exchange rate, interest rate, money supply, industry production index, Dow Jones Islamic Market Index Malaysia and Japan on ISSI. This research used secondary time series data which is accessed from the official website of ISSI. The sampling technique used a saturated sample with 62 observations. The research method uses descriptive statistics and multiple linear regression analysis. The results show that inflation has a negative but not significant effect on ISSI. The Rupiah exchange rate, interest rate, and DJIJP have a negative and significant effect on ISSI. The money supply, industrial production index, and DJMY25D have a positive and significant effect on ISSI.

scholarly journals MONETARY POLICY AND INFLATION CONTROL: THE CASE OF NIGERIA

2021 ◽  
Vol 6 (2) ◽  
Author(s):  
Clement I. Ezeanyeji ◽  
Cyril Ogugua Obi ◽  
Chika Priscilla Imoagwu ◽  
Ugochukwu Frank Ejefobihi
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Money Supply ◽  
Series Data ◽  
Treasury Bill ◽  
Insignificant Effect ◽  
Long Run ◽  
Integration Test ◽  
Short Run ◽  
The Impact

Inflation is a major problem facing Nigeria as a country today. The Central Bank of Nigeria (CBN), however, has made efforts to fight it using different policy measures, of which monetary policy is one of them. Thus, this study focuses on the impact of monetary policy on inflation control in Nigeria. The study is based on time series data from 1980 to 2019. The Augmented Dickey Fuller test, Johansen’s co-integration test, the Error Correction model (ECM) estimation was employed in the analysis. The variables include – exchange rate, inflation rate, money supply (% GDP), Treasury bill rate and monetary policy rate. The research findings showed that monetary policy has no significant impact on inflation control in Nigeria both in the short – run and long – run. Money supply has negative and insignificant impact on inflation control in Nigeria both in the short – run and long – run. Again, exchange rate has negative and insignificant effect on inflation control in Nigeria both in the short – run and long – run. The Treasury bill rate has negative but significant effect on inflation control in Nigeria in the short – run, while in the long – run it has positive but insignificant effect on inflation control in Nigeria. The study, therefore, recommends that, Government should provide monetary policies that will preferred efficient provider of favourable environment in terms of the implementation of the appropriate monetary policy rate, exchange rate etc in order to attract both domestic and foreign investment which will create employment opportunities for the Nigerian populace and in turn lead to the expansion of the industries in the country. JEL: E42; E52; E31

scholarly journals DAMPAK KEBIJAKAN MONETER TERHADAP STABILITAS RUPIAH

2018 ◽  
Vol 15 (3) ◽  
pp. 416-433
Author(s):  
Azhar Bafadal
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Money Supply ◽  
Inflation Rate ◽  
Series Data ◽  
Small Magnitude ◽  
Long Run ◽  
The Exchange Rate ◽  
The Interest Rate ◽  
The Impact

This research aimed to study the impact of monetary policy on the rupiah stability. Variables used were the interest rate of Bank Indonesia Certificate (SBI), the rate of inflation (IHK), the exchange rate of rupiah against the US dollar (Kurs) and the money supply in the narrow sense (M1). Data used were of quarterly time series data of Bank Indonesia and Central Bureau of Statistic, covering 2002.1-2010.4. The analysis was undertaken by using a vector autoregression model (VAR), through the Impulse Response Function (IRF) and Forecast error variance decomposition (FEVD). The research results showed that in the sort run shocks of SBI  decreased the inflation rate, and in the long run the inflation rate was constant. The exchange rate tended to be appreciated in the short run and long run although in a small magnitude. Money supply decreased with a minor fluctuation. Initially, the money supply shocks increased the interest rate of SBI, but decreased in the long run. The rate of inflation fluctuated in the sort run but it was constant in the long run. The exchange rate was depreciated both in the sort run and in the long run.

scholarly journals Impact of Oil Price Shocks and Exchange Rate Volatility on Stock Market Behavior in Nigeria

2016 ◽  
Vol 7 (2) ◽  
pp. 171 ◽  
Author(s):  
Adedoyin I. Lawal ◽  
Russel O. C Somoye ◽  
Abiola A. Babajide
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Exchange Rate Volatility ◽  
Price Volatility ◽  
Oil Price ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Oil Price Volatility ◽  
The Exchange Rate ◽  
The Impact

The impact of exchange rate and oil prices fluctuation on the stock market has been a subject of hot debate among researchers. This study examined the impact of both the exchange rate volatility and oil price volatility on stock market volatility in Nigeria, so as to guide policy formulation based on the fact that the nation’s economy was foreign induced and mono-cultured with heavy dependence on oil. EGARCH estimation techniques were employed to examine if either the volatility in exchange rate, oil price volatility or both experts on stock market volatility in Nigeria. The result shows that share price volatility is induced by both the exchange rate volatility and oil price volatility. Thus, it is recommended that policymakers should pursue policies that tend to stabilize the exchange rate regime on the one hand, and guarantee the net oil exporting position for the economy, that market practitioners should formulate portfolio strategies in such a way that volatility in both exchange rates and oil price will be factored in time when investment decisions are being made.

scholarly journals An Analysis of the Impact of Real Effective Exchange Rate on Economic Growth of Nepal

Pravaha ◽  
2018 ◽  
Vol 24 (1) ◽  
pp. 206-216
Author(s):  
Sujan Koirala
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Money Supply ◽  
Real Effective Exchange Rate ◽  
Series Data ◽  
The Real ◽  
Real Gdp ◽  
Effective Exchange ◽  
Effective Exchange Rate ◽  
The Impact

This article is designed to assess the impact of real effective exchange rate (REER) on economic growth of Nepal. The study uses annual time series data for the period of 1975 to 2015. Engle- Granger residual based test and error correction model have been used to detect the impact of REER on real GDP of Nepal. The explanatory variables used in the study are real effective exchange rate, broad money supply, trade openness and gross fixed capital formation. The results of the study reveal that real effective exchange rate has positive impact on the real GDP of Nepal. Based on the findings, the study concludes that the transmission mechanism of REER through aggregate demand hold in case of Nepal and this result is compatible with the traditional approach to exchange rate. Finally, it is recommended that broad money supply continues to be relevant monetary policy for Nepal. Moreover, Nepal must use the real exchange rate as one of the macroeconomic policies. Pravaha Vol. 24, No. 1, 2018, page: 206-216 

scholarly journals Export Function of Cocoa Production, Exchange Rate Volatility and Prices in Nigeria

2019 ◽  
Vol 11 (2(J)) ◽  
pp. 1-14 ◽  
Author(s):  
Alaba David Alori ◽  
Adebayo Augustine Kutu
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Unit Root ◽  
Exchange Rate Volatility ◽  
Price Volatility ◽  
Export Growth ◽  
Unit Root Tests ◽  
Series Data ◽  
Cocoa Production ◽  
The Impact

This study examined the export function of cocoa production and determined the impact of exchange rates and price volatility on the exportation of cocoa in Nigeria. The Phillips-Perron (PP) and Augmented Dickey-Fuller (ADF) unit root tests, Ordinary Least Square (OLS) and Structural Vector Autoregressive (SVAR) methodologies were employed to analyse the time series data that spanning from 1970:01 to 2016:12. The PP and ADF unit root tests findings indicated that none of the variables was stationary at levels (I (0)) however, after the first difference I (1) they became stationary. At 5%, the OLS results showed that all the variables were statistically significant in analysing the effects of exchange rates and price volatility on the value of cocoa production in Nigeria. The price of cocoa in the international market and the value of exchange rates play a significant role in cocoa exports growth in Nigeria. Further, findings from the SVAR showed that an increase in the price of cocoa would increase cocoa production and cocoa export growth in Nigeria, while the exchange rate volatility would affect cocoa export growth in Nigeria. The result further revealed that the shocks to exchange rate accounted for the greater volatility (positively significant for the entire period) to the value of cocoa exported, as against other variables in the model. Based on those findings, the paper, therefore, recommends that there should be a free exchange rate market determination, in order to enhance the export growth and increase cocoa output in Nigeria.

scholarly journals Impact of Foreign Capital Inflows and Money Supply on Exchange Rate: A Case Study of Pakistan

2017 ◽  
Vol 3 (1) ◽  
pp. 83-90 ◽  
Author(s):  
Sajid Ali ◽  
Raima Nazar
Keyword(s):  
Foreign Direct Investment ◽  
Exchange Rate ◽  
Foreign Aid ◽  
Money Supply ◽  
Direct Investment ◽  
Foreign Capital ◽  
Capital Inflows ◽  
Series Data ◽  
Foreign Capital Inflows ◽  
The Impact

The study attempts to examine the impact of foreign capital inflows and money supply on exchange rate of Pakistan. For this purpose we have undertaken time series data for the period of 1973-2016. Annual data for the period 1973-2016 is used, taken from Economic Survey of Pakistan (various issues) and International Financial Statistics (IFS). The main variables used in our analysis are exchange rate, openness, workers' remittances, foreign direct investment, foreign aid and money supply. Simple Linear Regression model with ordinary least method (OLS) is used to analyse the results. Money supply is positively and significantly related to exchange rate. Worker's remittances (WREM), foreign aid (FAID), foreign direct investment. (FDI) and openness (OPP) are negatively and significantly related to exchange rate.  The study shows that foreign capital inflows and workers' remittances significantly appreciate the exchange rate in the case of Pakistan.

Faktor-Faktor Yang Mempengaruhi Nilai Tukar Dollar Amerika Serikat Terhadap Rupiah Tahun 2000–2013

2017 ◽  
Vol 1 (2) ◽  
pp. 177-191
Author(s):  
Rizki Rahma Kusumadewi ◽  
Wahyu Widayat
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Money Supply ◽  
Time Series Data ◽  
The United States ◽  
Economic Conditions ◽  
Series Data ◽  
Arch Model ◽  
United States Dollar ◽  
The Exchange Rate

Exchange rate is one tool to measure a country’s economic conditions. The growth of a stable currency value indicates that the country has a relatively good economic conditions or stable. This study has the purpose to analyze the factors that affect the exchange rate of the Indonesian Rupiah against the United States Dollar in the period of 2000-2013. The data used in this study is a secondary data which are time series data, made up of exports, imports, inflation, the BI rate, Gross Domestic Product (GDP), and the money supply (M1) in the quarter base, from first quarter on 2000 to fourth quarter on 2013. Regression model time series data used the ARCH-GARCH with ARCH model selection indicates that the variables that significantly influence the exchange rate are exports, inflation, the central bank rate and the money supply (M1). Whereas import and GDP did not give any influence.

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