scholarly journals The Impact of Macroeconomic Variables on Sectoral Indices in Indonesia

ETIKONOMI ◽  
2017 ◽  
Vol 16 (1) ◽  
pp. 71-80 ◽  
Author(s):  
Bambang Sutrisno
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Inflation Rate ◽  
Emerging Market ◽  
Estimation Method ◽  
Least Square ◽  
Series Data ◽  
Macroeconomic Variables ◽  
The Interest Rate ◽  
The Impact

This study aims to examine the effect of macroeconomic variables on sectoral indices in the Indonesian Stock Exchange. The difference in sensitiveness among sectors is an interesting issue to investigate this relationship in an emerging market, such as Indonesia. This study employs ordinary least square (OLS) as an estimation method with monthly time-series data from January 2005 to December 2014. The results document that the interest rate, inflation rate, and exchange rate simultaneously have a significant effect on sectoral indices in Indonesia. The interest rate partially shows a significant negative influence on all sectors except basic industry and chemical, finance, infrastructure, utilities, and transportation, and miscellaneous industry sectors. The inflation rate partially has no significant effect on all sectors. The exchange rate partially has a significant negative impact on all industries.DOI: 10.15408/etk.v16i1.4323

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 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 A Study on the Relationship between Money Supply and Macroeconomic Variables in China

2017 ◽  
Vol 8 (6) ◽  
pp. 99-107 ◽  
Author(s):  
Yugang He
Keyword(s):  
Interest Rate ◽  
Money Supply ◽  
Inflation Rate ◽  
Series Data ◽  
Macroeconomic Variables ◽  
The Real ◽  
Real Gdp ◽  
The Interest Rate ◽  
The Impact ◽  
The Relationship

AbstractMany scholars have examined the importance of the money supply to the macroeconomics in developed countries. However, few studies have explored this proposition in developing countries. So, in this paper, annual series data from 2000 to 2016 is applied to analyze the relationship between the money supply (M2) and the macroeconomic variables (the real GDP, the inflation rate & the interest rate) under the vector auto regression (VAR) model in China. The purpose of this paper is to verify the impact of these variables on the money supply in China. After performing an empirical analysis, conclusions can be obtained that an increase in the real GDP can result in an increase in the money supply; Also, an increase in the inflation rate can lead to an increase in the money supply; Conversely, an increase in the interest rate can cause a decrease in the money supply. Therefore, via adjusting the change of real GDP, inflation rate and interest rate, a better control of the money supply can be performed for the policy-makers in China.

ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI KONSUMSI MASYARAKAT DI PROVINSI ACEH

2014 ◽  
Vol 1 (2) ◽  
Author(s):  
Tarmizi Gadeng
Keyword(s):  
Interest Rate ◽  
Inflation Rate ◽  
Econometric Model ◽  
Least Square ◽  
The Other ◽  
Ordinary Least Square ◽  
Other Hand ◽  
The Interest Rate ◽  
The Impact

The main objective of this study is to find out the impact of the inflation rate,percapita income as wall as the interest rate on the household comsumption of the population of Aceh.Secondary data 1983 – 2008 are collected or couning from various ageucig and instution and ordinary least square econometric model used as a method of analysis.            The result of the study tells us that the rate of inflation and the percapita income hare positive and significoutly effect on the household consumtion while the rate of interest on the other hand statistically has a negative and not significant effect on the house hold consumption. The interest rate which reflect the influence of the consumption has a positive, not significantly and in elactic. 

scholarly journals Tegar Prasetya Analysis of Macroeconomic Influence Return on Assets Banking Study on Conventional Commercial Banks in Indonesia for the Year 2018–2020

2021 ◽  
Vol 6 (5) ◽  
pp. 268-275
Author(s):  
Tegar Prasetya ◽  
Hakiman Thamrin
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Commercial Banks ◽  
Time Series Data ◽  
Series Data ◽  
Analysis Tool ◽  
Return On Assets ◽  
Macroeconomic Variables ◽  
The Exchange Rate ◽  
The Interest Rate

This study aims to analyze the effect of macroeconomic variables on the return on banking assets. The data processing method used by the researcher is using the Vector Error Correction Model (VECM) as a data analysis tool and this study confirms that the extent to which it examines the positive and significant influence between macroeconomic variables on the return on banking assets. The data obtained is secondary data based on financial statements within a period of 3 years using monthly time series data. The results of this study indicate that there is a positive and significant effect on the exchange rate and CPI variables while it is negative and significant on the inflation, interest rate and IPI variables resulting from the long-term VECM estimation. While the results show that there is a positive and significant effect on the interest rate and CPI variables and a significant negative on the inflation variable, positive and insignificant on the exchange rate variable, negative and insignificant on the IPI variable on the ROA of the short-term VECM estimation results. The results of the measurement of the composition or contribution of the influence of the independent variable on the dependent variable show the interest rate variable with a value of 4.11% in the 10th period obtained through the results of the decomposition variance (VD) test on the return on assets (ROA) of banking studies at Conventional Commercial Banks in Indonesia.

scholarly journals Evaluation of the Impact of Macroeconomic Variables on Stock Market Performance in Nigeria

2019 ◽  
Vol 5 (2) ◽  
pp. 34 ◽  
Author(s):  
Cordelia Onyinyechi Omodero ◽  
Sunday Mlanga
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Price Index ◽  
Market Performance ◽  
Share Price ◽  
Series Data ◽  
Macroeconomic Variables ◽  
Stock Market Performance ◽  
The Impact

Stock market is an essential part of a nation’s economy and requires adequate evaluation of all factors that militate against its performance. This study investigates the role of macroeconomic variables in determining the stock market performance in Nigeria using annual time series data covering a period from 2009 to 2018. These data have been sourced from the World Bank Development Indicators, International Monetary Fund and CBN Statistical Bulletin. The results from the regression analysis indicate that exchange rate and interest rate do not have significant impact on share price index while inflation rate exerts a significant negative influence on share price index. On the contrary and in line with the concept of GDP and stock market performance, GDP significantly and positively impacts on share price index. The study among others suggests that the growth of the economy should be maintained to keep stock market flourishing while macroeconomic variables such as inflation, interest rate and exchange rate should be appropriately regulated by the relevant authorities to curtail all negative influences on stock market performance.

scholarly journals Economic Interactions among Stock Market Performance and Macroeconomic Variables with Mediating Role of Gold Prices Volatilities: An Evidence from Pakistan

2021 ◽  
Vol 7 (3) ◽  
pp. 383-394
Author(s):  
Rukhsana Rasheed ◽  
Mazhar Nadeem Ishaq ◽  
Rabia Anwar ◽  
Mehwish Shahid
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Inflation Rate ◽  
Market Performance ◽  
Stock Market Index ◽  
Macroeconomic Variables ◽  
Market Index ◽  
Stock Market Performance ◽  
The Impact

In all emerging economies, one of the most challenging issues for investors is the multifaceted inter-relationship between volatility of gold prices and stock market index. During the COVID-19 sub-periods, gold has shown a strong hedging behavior against stock market performance. The main objective of this study was to quantify the long-run relationship among multiple independent macroeconomic variables (predictors) on stock market index (response variable) using the volatilities of gold prices as a mediator factor. This study applied the descriptive statistics, correlation, t-test and OLS multiple regression Model. The specific data comprised of period 2011-2020 regarding the fluctuations in gold prices, exchange rate, interest rate, inflation rate and performance of stock market index has been utilized. The statistical outputs of models showed that exchange rate (Dollar to PKR) was positively affecting the performance of Karachi Stock Exchange (KSE)-100 Index, whereas inflation rate and interest rate were negatively affecting the overall performance of KSE100 index. The findings of this study suggested that to achieve better performance of stock market, relatively low interest rate and inflation rate contribute a significant role. However, to increase the generalization capabilities of this study the impact of mentioned macroeconomic variables in other sectors like industrial production, oil & gas and energy sectors with wider time span can be more helpful.

scholarly journals Macroeconomic Variables and Nigerian Agricultural Sector Development

2021 ◽  
Vol 4 (4) ◽  
pp. 9-20
Author(s):  
Okafor O. ◽  
Isibor A.
Keyword(s):  
Exchange Rate ◽  
Agricultural Sector ◽  
Secondary Data ◽  
Least Square ◽  
Agricultural Industry ◽  
Macroeconomic Variables ◽  
Ordinary Least Square ◽  
Annual Time Series ◽  
The Interest Rate ◽  
The Impact

The study investigated the impact of some macroeconomic variables like exchange rate and inflation on the development of the Nigerian agricultural industry. Annual time series secondary data covering a period of 33 years (1986- 2020) was utilized in the study while the Ordinary Least Square (OLS) was the estimation technique used to analyze the data. Findings revealed that the exchange rate was positively significant in impacting the dependent variable while the inflation rate was negatively significant. The interest rate was insignificant in impacting the agricultural sector. From the findings, one recommendation arrived at was that the monetary authorities should make policies that would reduce inflation, for example, reduction of the money supply. Reduced inflation would positively impact the development of the agricultural sector as it would boost and increase the consumption of agricultural products.

scholarly journals Macro-Economic Variables and Stock Prices: Empirical Evidence From Sri Lanka

2019 ◽  
Vol 9 (4) ◽  
pp. 148
Author(s):  
S. Anandasayanan
Keyword(s):  
Interest Rate ◽  
Sri Lanka ◽  
Stock Market ◽  
Unemployment Rate ◽  
Stock Prices ◽  
Emerging Market ◽  
Series Data ◽  
Economic Variables ◽  
Macroeconomic Variables ◽  
The Impact

Economic strength in a country could be measured by macroeconomics variables. Inflation, interest rate, unemployment rate and GDP Deflator are some macroeconomics variables that show economic condition in Sri Lanka. The impact of macro-economic variables on share prices is uncontrollable. This study investigates the relationship between macroeconomic variables and stock prices in Sri Lankan stock market using yearly time series data for the period from 1990 to 2017. The Ordinary Least Square regression was carried out using four macroeconomic variables for stock prices. The results shows that the higher R Square value (72.4911) which justifies higher explanatory power of macroeconomic variables in explaining stock prices. Consistent with similar results of the developed as well as emerging market studies, interest rate and inflation rate and unemployment rate react mainly negatively to stock prices in the Colombo Stock Exchange. These findings hold practical implications for policy makers, stock market regulators, investors and stock market analysts.

Impact of Macroeconomic Variables on Stock Returns: A Case Study from Karachi Stock Exchange

2021 ◽  
Vol 2 (1) ◽  
pp. 75-86
Author(s):  
HAMZA KHWAJA ◽  
NIDA JAMAL ◽  
SAQIB SHAHZAD
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Returns ◽  
Inflation Rate ◽  
Stock Exchange ◽  
Main Theme ◽  
Macroeconomic Variables ◽  
Multiple Regression Models ◽  
The Impact

The main theme behind this research is to find out how different macroeconomic variables affect the returns of the Karachi stock exchange. The three variables like interest rate, inflation rate and exchange rate which are taken under consideration are the back bone of any economy and this impact the economy in different ways if some sort of fluctuations occurs in these variables. Fifteen years annul data from 1992 to 2007 is taken and multiple regression models applied on this data. The results are very significant and the strong correlation is found among dependent and independent variables which shows that the model is a strong model. The impact of interest rate, exchange rate and inflation rate are significant on the stock returns of KSE 100 index

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