scholarly journals Pengaruh Indeks Harga Saham Syariah Internasional dan Variabel Makro Ekonomi Terhadap Jakarta Islamic Index

2014 ◽  
Vol 6 (2) ◽  
pp. 155-178
Author(s):  
Irfan Syauqi Beik ◽  
Sri Wulan Fatmawati
Keyword(s):  
Stock Market ◽  
Financial Services ◽  
Warning System ◽  
Correction Model ◽  
Monthly Data ◽  
Vector Error Correction ◽  
Macroeconomic Variables ◽  
Vector Error ◽  
Supply Shock ◽  
The Impact

The Impact of International Islamic Stock Market and Macroeconomic Variables Towards Jakarta Islamic Index (JII) This research atempts to examine the impact of international Islamic stock market and macroeconomic variables towards Jakarta Islamic Index (JII). By using Vector Error Correction Model (VECM) as the method, this research utilizes time series monthly data from January 2007 to October 2012. The finding shows that JII is positively significantly affected by DJIEU, DJIMY and IPI, and it is negatively significantly affected by DJIJP, IMUS, M2 and SBIS.JII reaches its stability condition fastest when dealing with money supply shock. This study recommends: strengthening coordination between monetary authority and financial services authority, strengthening real sector of the economy, minimizing the influence of interest Rate towards Islamic financial market, and developing early warning system to anticipate financial crises.  DOI:10.15408/aiq.v6i2.1228

scholarly journals In Search for Islamic Macroprudential Policy in Indonesia: The Case of Financing to Value (FTV) and Property Financing

2018 ◽  
Vol 1 (1) ◽  
pp. 1
Author(s):  
Abdul Qoyum ◽  
Neneng Ela Fauziyyah
Keyword(s):  
Financial Services ◽  
Vector Error Correction Model ◽  
Macroprudential Policy ◽  
Correction Model ◽  
Vector Error Correction ◽  
Macroeconomic Variables ◽  
Islamic Bank ◽  
Vector Error ◽  
Specific Factors ◽  
The Impact

This study aims to examine the impact of macroprudential policy particlarly the relaxing of Financing to Value (FTV) on property financing of Islamic bank in case of Indonesia. In addition, this paper also analyzes the impact of macroeconomic variables and specific factors on property financing in Islamic Bank. This paper collects data from the Bank Indonesia website, the Financial Services Authority (FSA) and the Central Statistics Agency (CSA) form January 2010 until April 2016. By employing Vector Error Correction Model (VECM), this study found that inflation and Industry Produce Index (IPI) have been positively influence on the property financing, while the BI rate and financing to deposit ratio (FDR) have been negatively influence on the property financing. While the relaxing of FTV policy also negatively influence on the property financing. Therefore, This study conludes that the policy have not effectived yet.

Assessing the Impact of Terrorism on African Tourism Demand

2021 ◽  
Author(s):  
Sheereen Fauzel ◽  
Boopen Seetanah
Keyword(s):  
Panel Data Analysis ◽  
Dynamic Panel Data ◽  
Terrorist Attacks ◽  
Tourism Demand ◽  
African Countries ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
The Impact ◽  
The Relationship

Many African states are relying on or have identified tourism to accelerate their growth and the continent has become the world’s second fastest growing tourist industry. However, African states have also not been spared by increasing terrorism attacks during the past decades, probably hindering the growth of this sector to certain extent. This study examines the relationship between terrorism and tourism for a sample of selected African countries over the period 1995 to 2017. Given the dynamic nature of tourism demand and the possibility of endogenous relationships in the terrorism-tourism nexus, dynamic panel data analysis, namely a Panel vector error correction model (PVECM) is employed. The results confirm that terrorism negatively affects tourism demand in Africa and this can be explained by the reactive psychology of tourists to the various aggravated terrorist attacks in the countries. Moreover, the findings show that an increase in tourism may have resulted in an increase in terrorist attacks, hence confirming a bi directional causality between tourism and terrorism.

scholarly journals Effect of Money Supply on the Stock Market

2017 ◽  
Vol 65 (2) ◽  
pp. 465-472 ◽  
Author(s):  
Vladimír Pícha
Keyword(s):  
Monetary Policy ◽  
Stock Market ◽  
Money Supply ◽  
Policy Framework ◽  
Vector Error Correction ◽  
Flow Of Funds ◽  
Portfolio Balance ◽  
Vector Error ◽  
Long Run ◽  
The Impact

This paper observes effect of money supply on the stock market through the portfolio balance channel as a transmission mechanism of monetary policy. National flow of funds accounts, specifically assets from US households’ portfolios, represent a key data source. Johansen’s cointegration methodology is employed in the empirical part of the paper to analyze both short term and long term relationships among researched variables. Estimates of vector error correction model help to reliably quantify intensity of the effect. Results show money supply excercises influence on valuation of S&P 500 index with 6 months lag. The impact is also distinguishable in the long run, whereas all observed asset classes can positively influence price of S&P 500. Findings are then contextualized in the concluding part of the paper using a monetary policy framework.

scholarly journals Macroeconomic Variables and Foreign Direct Investment Inflows in Turkey

2019 ◽  
Vol 8 (2) ◽  
Author(s):  
Saliha Meftah ◽  
Abdelkader Nassour
Keyword(s):  
Foreign Direct Investment ◽  
Direct Investment ◽  
Short Term ◽  
Causality Test ◽  
Correction Model ◽  
Vector Error Correction ◽  
Macroeconomic Variables ◽  
Vector Error ◽  
Causality Relationship

Foreign direct investment (FDI) is an essential factor in the development of a country. This study aims to examine what factors influence foreign direct investment. By using the vector error correction model, the research shows that there is a long-term causality relationship between exchange rates and inflation with FDI. However, in the short term, there are no variables that affect FDI. Besides, the Granger causality test shows causality in the direction of GDP and FDI, while other variables do not have causality. This research has implications for policymakers to pay attention to macroeconomic variables in increasing the flow of foreign direct investment.

scholarly journals The impact of bank-specific and macroeconomic variables on profitability of Islamic rural bank in Indonesia

2019 ◽  
Vol 5 (3) ◽  
Author(s):  
Muhammad Sanusi
Keyword(s):  
Banking Sector ◽  
Time Series Data ◽  
Series Data ◽  
Estimation Model ◽  
Policy Makers ◽  
Vector Error Correction ◽  
Macroeconomic Variables ◽  
Vector Error ◽  
The Impact

This paper investigates the impact of bank-specific and macroeconomic variables on the profitability of Islamic rural bank (BPRS) in Indonesia. Using monthly time series data from January 2010 - December 2018. The estimation model used is a vector error correction model to analyze the long-term and short-term relationships between bank-specific and macroeconomic variables on the profitability of Islamic rural bank. The results showed that CAR and LnTA had a significant positive relationship, while NPF, BOPO and IPI had a negative and significant relationship to the profitability of Islamic rural banks. But FDR and Inflation variables are not significantly related to the profitability of Islamic rural bank. The results leave implications for policy makers, investors and banking sector managers. Based on evidence that bank profitability is more influenced by internal banks (as specific as banks), this research can help Islamic rural banks to help them understand which factors are important to be analyzed to obtain higher profitability.

scholarly journals Relationship between Financial Liberalization and Economic Growth in Emerging Economies: The Case of Vietnam

2016 ◽  
Vol 23 (01) ◽  
pp. 25-49
Author(s):  
Hoang Tran Huy ◽  
Huan Nguyen Huu ◽  
Linh Nguyen Thi Thuy
Keyword(s):  
Economic Growth ◽  
Financial Services ◽  
Financial Liberalization ◽  
Response Analysis ◽  
Causality Test ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Term Relation

This paper examines the process of financial liberalization in Vietnam over the period from 1993 to 2013. On adopting Vector Error Correction Model (VECM), the results suggest that there is a long-term relation between economic growth and financial liberalization, in which the financial market liberalization and financial services liberalization provide better support during the growth of Vietnam’s economy. In addition, using various techniques including Granger causality test, impulse response analysis, and variance decomposition, the paper also clarifies the motives for financial liberalization from the process of short-term financial development and economic growth in the country.

Sign in / Sign up

Export Citation Format

Share Document