scholarly journals Determinants of Islamic Rural Bank Financing in Indonesia

JEJAK ◽  
2017 ◽  
Vol 10 (2) ◽  
pp. 273-288
Author(s):  
Arif Widodo ◽  
Istianah Asas
Keyword(s):  
Exchange Rate ◽  
Global Financial Crisis ◽  
Positive Impact ◽  
Impulse Response Function ◽  
Third Party ◽  
Correction Model ◽  
Macroeconomic Variables ◽  
Bank Financing ◽  
Long Run ◽  
Short Run

This research is designed to empirically investigate the determinants of Islamic rural banking financing in Indonesia after 2008 global financial crisis covering period 2009.1-2014.12. The methods applied in this research are Error Correction Model (ECM) and VAR/VECM. The results of ECM model demonstrate that the variable third party funds (DPK) and non-performing financing can significantly affect Islamic rural banking financing both in the short run and long run, while Return on Asset (ROA) and Profit-and-loss sharing does not have a significant influence. Islamic rural bank financing, however, was influenced by inflation and exchange rate as the proxy of macroeconomic variables in the short and long run. Furthermore, Impulse Response Function (IRF) and variance decomposition results show that Profit-and-loss sharing (PLS) has the largest positive impact to financing (39.08%), followed by third party fund (19.6%) and inflation (8.9%). While, the variables that contribute to reduce financing are non-performing financing (9.02%), followed by ROA (7.76%) and exchange rate (2.48%).

scholarly journals Exchange Rate Volatility and Its Implications on Macroeconomic Variables in East African Countries

2020 ◽  
Vol 7 (3) ◽  
pp. 145
Author(s):  
Nicas Yabu ◽  
Deogratius Kimolo
Keyword(s):  
Exchange Rate ◽  
Positive Impact ◽  
Export Performance ◽  
Exchange Rate Volatility ◽  
Mitigation Measures ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Short Run ◽  
Lending Rates ◽  
The Exchange Rate

The study examines the extent of exchange rate volatility and its impact on key macroeconomic variables such as exports, FDI inflows, interest rate and inflation in Tanzania, Kenya and Uganda. The GARCH model is used to compute the extent of exchange rate volatility while the Panel Autoregressive Distributed Lag (ARDL) technique or pooled mean group (PMG) estimator was used to estimate the effects of exchange rate volatility on selected macroeconomic variables. The results indicate that volatility in the exchange rate is a real issue in all the sampled countries and is fundamentally driven by exports and FDI dynamics for the period under consideration. The results indicate a positive impact of the exchange rate volatility to export performance and lending rates in the long run. Exchange rate volatility appears to be detrimental to both export performance and leads to a reduction in lending rates in the short run. Also, the response of FDI to exchange rate volatility seems to be negative in the long run while in the short run the response from the volatility of real exchange rate seems is insignificant. Though not significant, the volatility of the exchange rate appears to have a positive impact on inflation. The study recommends that policymakers need institute mitigation measures which could smooth out excessive exchange rate volatility to minimize its likely impact on the economy. The study also indicated a need for the EAC countries to consider adopting inflation targeting monetary policy framework in order to contain inflation at the appropriate level.

scholarly journals Empirical Relationship between Macroeconomic Variables and Stock Prices of Indian Banking Sector: A Vector Error Correction Model Approach

2020 ◽  
Vol 12 (2) ◽  
pp. 189-198
Author(s):  
Aastha Khera ◽  
◽  
Neelam Dhanda ◽  
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Stock Prices ◽  
Banking Sector ◽  
Empirical Relationship ◽  
Correction Model ◽  
Macroeconomic Variables ◽  
Foreign Reserve ◽  
Long Run ◽  
Short Run

This existing study aims to investigate the relationship between Indian Bankingstock market prices and macroeconomic variables. The proxy for the Indian Banking stockmarket is Nifty Bank while Foreign Reserve, Exchange Rate (Indian vs US Dollar), Interestrate, and CPI are proxies of macroeconomic variables. Johansen Cointegration and VectorError Correction Model (VECM) on monthly data from January 2013 to July 2020 have beenapplied. Considering the results of cointegration, it is found that there is a long-run asso-ciation between the Indian Banking stock market and constituent macroeconomic variables.Next, the employment of VECM is done for inspecting long run and short-run causality.The result reveals long-run equilibrium in Indian commercial bankís stock prices comingfrom macroeconomic variables. This study has considerable imputations that investors candiversify their portfolio according to the ináuencing power of constituent selected macro-economic variables in the short run and the long run. Exchange rate and foreign reservesdrive the banking stock market in the short run whereas CPI and Interest rate do not createany signiÖcant impact.

Fish Exports and Economic Growth: The Pakistan’s Experience

2019 ◽  
Vol 20 (2) ◽  
pp. 279-296 ◽  
Author(s):  
Syed Tehseen Jawaid ◽  
Mohammad Haris Siddiqui ◽  
Zeeshan Atiq ◽  
Usman Azhar
Keyword(s):  
Economic Growth ◽  
Time Series Data ◽  
Positive Impact ◽  
Impulse Response Function ◽  
Policy Implications ◽  
Sensitivity Analyses ◽  
Series Data ◽  
Distributed Lag ◽  
Long Run ◽  
Short Run

This study attempts to explore first time ever the relationship between fish exports and economic growth of Pakistan by employing annual time series data for the period 1974–2013. Autoregressive distributed lag and Johansen and Juselius cointegration results confirm the existence of a positive long-run relationship among the variables. Further, the error correction model reveals that no immediate or short-run relationship exists between fish exports and economic growth. Different sensitivity analyses indicate that initial results are robust. Rolling window analysis has been applied to identify the yearly behaviour of fish exports, and it remains negative from 1979 to 1982, 1984 to 1988, 1993 to 1999, 2004 and from 2010 to 2013, and it shows positive impact from 1989 to 1992, 2000 to 2003 and from 2005 to 2009. Furthermore, the variance decomposition method and impulse response function suggest the bidirectional causal relationship between fish exports and economic growth. The findings are beneficial for policymakers in the area of export planning. This study also provides some policy implications in the final section.

scholarly journals Exchange Rates and Monetary Fundamentals: What Do We Learn from Linear and Nonlinear Regressions?

2014 ◽  
Vol 2014 ◽  
pp. 1-14 ◽  
Author(s):  
Guangfeng Zhang
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Correction Model ◽  
Exchange Rate Dynamics ◽  
Long Run ◽  
Exchange Rate Movements ◽  
Short Run ◽  
Us Dollar ◽  
Linear And Nonlinear ◽  
Japanese Yen

This paper revisits the association between exchange rates and monetary fundamentals with the focus on both linear and nonlinear approaches. With the monthly data of Euro/US dollar and Japanese yen/US dollar, our linear analysis demonstrates the monetary model is a long-run description of exchange rate movements, and our nonlinear modelling suggests the error correction model describes the short-run adjustment of deviations of exchange rates, and monetary fundamentals are capable of explaining exchange rate dynamics under an unrestricted framework.

Exploring the relationship between macroeconomic indicators and sovereign credit default swap in Pakistan

2017 ◽  
Vol 18 (4) ◽  
pp. 368-380
Author(s):  
Abdul Rashid ◽  
Farooq Ahmad ◽  
Ammara Yasmin
Keyword(s):  
Exchange Rate ◽  
Credit Default Swap ◽  
Content Type ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Credit Default ◽  
Macroeconomic Indicators ◽  
Short Run ◽  
The Exchange Rate ◽  
The Interest Rate

Purpose This paper aims to empirically examine the long- and short-run relationship between macroeconomic indicators (exchange rates, interest rates, exports, imports, foreign reserves and the rate of inflation) and sovereign credit default swap (SCDS) spreads for Pakistan. Design/methodology/approach The authors apply the autoregressive distributed lag (ARDL) model to explore the level relationship between the macroeconomic variables and SCDS spreads. The error correction model is estimated to examine the short-run effects of the underlying macroeconomic variables on SCDS spreads. Finally, the long-run estimates are obtained in the ARDL framework. The study uses monthly data covering the period January 2001-February 2015. Findings The results indicate that there is a significant long-run relationship between the macroeconomic indicators and SCDS spreads. The estimated long-run coefficients reveal that both the interest rate and foreign exchange reserves are significantly and negatively, whereas imports and the rate of inflation are positively related to SCDS spreads. Yet, the results suggest that the exchange rate and exports do not have any significant long-run impact on SCDS spreads. The findings regarding the short-run relationship indicate that the exchange rate, imports and the rate of inflation are positively, whereas the interest rate and exports are negatively related to SCDS spreads. Practical implications The results suggest that State Bank of Pakistan should design monetary and foreign exchange rate polices to minimize unwanted variations in the exchange rate to reduce SCDS spreads. The results also suggest that it is incumbent to Pakistan Government to improve the balance of payments to reduce SCDS spreads. The findings also suggest that the inflation targeting policy can also help in reducing SCDS spreads. Originality/value This is the first study to examine the empirical determinants of SCDS spreads for Pakistan. Second, it estimates the short- and long-run effects in the ARDL framework. Third, it considers both internal and external empirical determinants of SCDS spreads.

scholarly journals The dynamic effect of exchange-rate volatility on Turkish exports: Parsimonious error-correction model approach

2015 ◽  
Vol 62 (4) ◽  
pp. 429-451 ◽  
Author(s):  
Erdal Demirhan ◽  
Banu Demirhan
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Exchange Rate Volatility ◽  
Dynamic Effect ◽  
Error Correction Model ◽  
Impulse Response Functions ◽  
Correction Model ◽  
Long Run ◽  
Export Volume ◽  
Short Run

This paper aims to investigate the effect of exchange-rate stability on real export volume in Turkey, using monthly data for the period February 2001 to January 2010. The Johansen multivariate cointegration method and the parsimonious error-correction model are applied to determine long-run and short-run relationships between real export volume and its determinants. In this study, the conditional variance of the GARCH (1, 1) model is taken as a proxy for exchange-rate stability, and generalized impulse-response functions and variance-decomposition analyses are applied to analyze the dynamic effects of variables on real export volume. The empirical findings suggest that exchangerate stability has a significant positive effect on real export volume, both in the short and the long run.

Rupee-Dollar Exchange Rate and Macroeconomic Fundamentals: An Empirical Analysis Using Flexible-Price Monetary Model

2011 ◽  
Vol 12 (2) ◽  
pp. 88-105
Author(s):  
C S Shylajan ◽  
Sreejesh S ◽  
Suresh K G
Keyword(s):  
Exchange Rate ◽  
Monetary Model ◽  
Macroeconomic Variables ◽  
Indian Context ◽  
Long Run ◽  
Macroeconomic Fundamentals ◽  
Short Run ◽  
Us Dollar ◽  
Casual Relationship ◽  
Test Result

This paper empirically investigates the link between Indian rupee-US dollar exchange rates and a set of macroeconomic fundamentals using flexible-price monetary model (FPMM) for the period 1996 M1 to 2010 M12. The Johanson-Juselius cointegration test result indicates the existence of long run relationship between exchange rate and the macroeconomic variables, implying the validity of FPMM model in Indian context even though there is no short run casual relationship exist in the VECM analysis.

The Dynamics of Exports and Economic Growth: Assessing the Evidence from Nigeria

2018 ◽  
Vol 4 (1) ◽  
pp. 15-22
Author(s):  
Clement A.U. Ighodaro ◽  
Ovenseri-Ogbomo F. O.
Keyword(s):  
Economic Growth ◽  
Social Services ◽  
Time Series Data ◽  
Positive Impact ◽  
Capital Expenditure ◽  
Impulse Response Function ◽  
Series Data ◽  
Vector Autoregressive ◽  
Long Run ◽  
Short Run

The paper empirically examines the dynamics of exports and economic growth in Nigeria using time series data for 1970 to 2017. The Vector autoregressive model (VAR) was used to investigate the long run and short run relationship between exports and economic growth as well as some selected variables. The result shows that there exists a stable long run relationship among economic growth, exports, capital expenditure on education and social services. Also, the Granger causality results reveal that export Granger causes economic growth and not the other way round. This means that an increase in economic growth may result from increase in export, but increase in economic growth does not necessarily lead to increase in exports. The Impulse Response Function (IRF) shows that a one standard innovation in exports will lead to permanent positive impact on economic growth in Nigeria. This therefore supports the exports led growth hypothesis for Nigeria.

scholarly journals Transmission Mechanism of Exchange Rate Pass-Through to Domestic Price: The Case of Afghanistan

2020 ◽  
Vol 16 (4) ◽  
pp. 1
Author(s):  
Ajmal Arian ◽  
Arabi U.
Keyword(s):  
Exchange Rate ◽  
Impulse Response Function ◽  
Import Price ◽  
Variance Decomposition ◽  
Long Run ◽  
Effective Exchange ◽  
Short Run ◽  
Pass Through ◽  
Exchange Rate Pass Through ◽  
Effective Exchange Rate

This article investigates the mechanism of exchange rate pass-through to the prices in the context of the Islamic Republic of Afghanistan’s economy. This study explored the magnitude and speed of the pass-through effect on the prices by analyzing quarterly data from 2003 Q1 to 2019 Q2 considering five variables (viz., world food price index, foreign reserves, money supply, import price, and nominal effective exchange rate) based on the Vector Autoregression Model (VAR) with the cointegration and innovation accounting tools such has impulse response function and variance decomposition. The findings of the study suggest that the exchange rate pass-through in Afghanistan is incomplete. The import price is highly responsive in the short-run and moderately responsive an increasingly smooth movement in the long-run. However, CPI in the short-run with swift positive respond but the long-run smooth increasing movement. Furthermore, variance decomposition evidence shows that import price is affected by FR, NEER, CPI, and MS in both short-run and long-run, but the CPI strongly lagged by its variance, WFP, NEER, import price, and MS.

scholarly journals Analysis of Indonesian Tax Revenue

2017 ◽  
Vol 1 (01) ◽  
pp. 71
Author(s):  
Amalia Wijayanti ◽  
Firmansyah Firmansyah
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Government Spending ◽  
Inflation Rate ◽  
Correction Term ◽  
Error Correction Model ◽  
Tax Revenue ◽  
Correction Model ◽  
Long Run ◽  
Short Run

<p>This study analyzes the long-run and short-run effect of macroeconomic factors, such as real Gross Domestic Product (GDP), inflation rate, exchange rate and government spending on Indonesia’s tax revenue during 1976-2013, by utilizing the Error Correction Model (ECM). The finding of the study demontrates that in the long-run; the real GDP, exchange rate, and government spending affect Indonesia’s tax revenue, except the inflation rate. In short-run, Indonesia’s tax revenue statisically affected by government spending, while others variable do not influence Indonesia’s tax revenue. Error Correction Term (ECT) coefficient is 0.221, explains incompatibility tax revenue occur in long-run is corrected of 22 percent in one period.</p><p><br />JEL Classification: E01, E20, H20<br />Keywords: Error Correction Model, Macroeconomic, Tax revenue</p>

Sign in / Sign up

Export Citation Format

Share Document