scholarly journals Analysis of Macroeconomic Indicators Against the Composite Stock Price Index (CSPI) in Indonesia: Vector Error Correction Model (VECM) Approach

2021 ◽  
Vol 5 (2) ◽  
pp. Layouting
Author(s):  
Afla Afifa Aminarta ◽  
Mahrus Lutfi Adi Kurniawan
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Stock Price ◽  
Price Index ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Macroeconomic Indicators ◽  
Stock Price Index

The Composite Stock Price Index (CSPI) is one indicator to determine economic growth. The Composite Stock Price Index (CSPI) is formed by counting the stocks listed on the Indonesia Stock Exchange (IDX). Macroeconomic conditions can influence the movement of the CSPI in a country. Macroeconomic indicators that affect the CSPI include inflation, exchange rates, and interest rates represented by the BI rate. This study aimed to determine how much influence the selected macroeconomic indicators had on the CSPI and determine the CSPI movement forecast. This study uses the Vector Error Correction Model (VECM) as an estimation method. The research shows that the inflation, exchange rate, and BI rate variables do not affect the CSPI in the short term, and only the exchange rate variable affects the long term. Forecasting performed on variables shows an over-optimistic forecast for the exchange rate and BI rate variables.

An Empirical Analysis on Association Between Selected Macroeconomic Variables and Stock Market in the Context of BSE

2018 ◽  
Vol 66 (1-2) ◽  
pp. 170-189 ◽  
Author(s):  
Sarika Keswani ◽  
Bharti Wadhwa
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Stock Returns ◽  
Stock Price ◽  
Inflation Rate ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Macroeconomic Variables ◽  
Vector Error

The role of macroeconomic variables cannot be ignored because it plays a very important role in shaping the economy of any country, irrespective of whether it is developing, underdeveloped or developed. The macroeconomic variables were disposable income (DI), government policies (GP), inflation rate (INF), interest rate (IR), exchange rate (ER) and stock price. Monthly data of 10 years were used, that is, from April 2006 to March 2016. Analyses of augmented Dickey–Fuller test, preliminary tests, stability tests, cointegration, vector error correction model (VECM) variance decomposition analysis (VDA) and impulse response have been applied to examine the association between the selected macroeconomic variable and stock returns. All the variables are stationary at 1st difference. The results showed that the residues are normally distributed and that there is no problem of multicollinearity, heteroskedasticity and serial correlation. The results of the cointegration showed a strong long-term relationship among DI, GP, the inflation rate, the exchange rate and the IR on the stock price in Bombay Stock Exchange of India. Results of vector error correction model revealed that in the short run, there was a negative and significant relationship between inflation rate and stock returns; therefore, it can be implied that an increase in the inflation rate eroded the prospect of positive performance among the Sensex but was not significant. JEL Classification: E, E01

scholarly journals Dampak Perubahan Nilai Tukar terhadap Indeks Harga Konsumen Bahan Makanan di Indonesia

2016 ◽  
Vol 17 (1) ◽  
pp. 1-14
Author(s):  
Siti Suarsih ◽  
Noer Azam Achsani ◽  
Nunung Nuryartono
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Price Index ◽  
Consumer Price Index ◽  
Error Variance ◽  
Correction Model ◽  
Vector Error Correction ◽  
Forecasting Error ◽  
Vector Error ◽  
Pass Through

Exchange Rate Change Effects on Indonesia’s Foodstuff Consumer Price IndexThe fluctuation in exchange rate Indonesia may have an impact on the price of imported goods both consumer goods (finished goods) and raw materials. The aim of this study is to analyze the impact of exchange rate changes on the Consumer Price Index (CPI) of foods categories and analyze the role of the exchange rate in explaining fluctuations in the CPI of food category in Indonesia. Econometric analysis using vector error correction model, indicates that the greatest degree of pass-through occurs in the consumer price index groups of milk and eggs. Contributions of exchange rate as the result of decomposition of forecasting error variance is largest in the meat category.Keywords: Exchange Rate Pass-Through; Consumer Price Index of Foodstu; Vector Error Correction ModelAbstrakPerubahan nilai tukar dapat berdampak pada harga barang-barang yang diimpor baik barang konsumsi (barang jadi) maupun bahan baku. Penelitian ini bertujuan untuk menganalisis dampak perubahan nilai tukar terhadap Indeks Harga Konsumen (IHK) kelompok bahan makanan dan menganalisis peranan nilai tukar dalam menjelaskan fluktuasi IHK bahan makanan di Indonesia. Analisa ekonometri menggunakan vector error correction model, menunjukkan bahwa derajat pass-through terbesar terjadi pada kelompok indeks harga konsumen susu dan telor. Kontribusi nilai tukar hasil decomposition of forecasting error variance terbesar terjadi pada kelompok daging.

scholarly journals The Impact of Bank Indonesia Regulation No. 17/3/2015 on Exchange Rate: Analysis Using Vector Error Correction Model (VECM)

2021 ◽  
Vol 12 (2) ◽  
pp. 131-141
Author(s):  
Muhamad Yudi Setiawan ◽  
Tanti Novianti ◽  
Mukhamad Najib
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Negative Effect ◽  
The Exchange Rate ◽  
The Impact

The weakening of the Rupiah against the US dollar has encouraged Bank Indonesia to issued Bank Indonesia Regulation (Peraturan Bank Indonesia - PBI) No. 17/3/2015. The research aimed to analyze the factors that affected the Rupiah exchange rate, the effect of PBI No. 17/3/2015 on the movement of the Rupiah exchange rate, and the behavior of exchange rate movement to the shocks on the variables that influenced it. The research applied secondary data, namely monthly data from January 2008 to April 2019 taken from reliable sources such as National Development Planning Agency (Bappenas), Bank Indonesia (BI), and Statistics Indonesia (BPS). It was explanatory research with a quantitative approach. The studied data were processed with the Vector Error Correction Model (VECM) method to identify long and short-term effects. The results of the long-term equation show that export-import has a negative effect on the exchange rate. Similarly, inflation has no significant effect on the exchange rate. Then, the money supply has a significantly negative effect on the exchange rate. However, the interest rate of Bank Indonesia positively affects the exchange rate. Next, the implementation of PBI No. 17/3/2015 has a significant and positive impact on the exchange rate. Last, the crisis condition does not affect the changes in exchange rates.

MODEL PERMINTAAN UANG DI INDONESIA DENGAN PENDEKATAN VECTOR ERROR CORRECTION MODEL

2020 ◽  
Vol 5 (3) ◽  
Author(s):  
Imam Mukhlis
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Error Correction ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Demand For Money ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run

This research aims to estimate the demand for money model in Indonesia for 2005.22015.12. The variables used in this research are demand for money, interest rate, inflation, and exchange rate (IDR/US$). The stationary test with ADF used to test unit root in the data. Cointegration test applied to estimate the long run relationship between variables. This research employed the Vector Error Correction Model (VECM) to estimate the money demand model in Indonesia. The results showed that all the data was stationer at the difference level (1%). There were long run relationship between interest rate, inflation and exchange rate to demand for money in Indonesia. The VECM model could not explain interaction between explanatory variables to independent variables. In the short run, there were not relationship between interest rate, inflation and exchange rate to demand for money in Indonesia for 2005.2-2015.12.

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