scholarly journals ANALISIS DAMPAK KEBIJAKAN MONETER TERHADAP VARIABEL MAKROEKONOMI DI INDONESIA (PENERAPAN VECTOR ERROR CORRECTION MODEL)

IQTISHODUNA ◽  
2011 ◽  
Vol 3 (1) ◽  
Author(s):  
Umi Julaihah, SE., M.Si,
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Impulse Response Function ◽  
Variance Decomposition ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Macroeconomic Variables ◽  
Vector Error ◽  
Policy Variable

The objectives of this study are to analyze the effect of monetary policy on Indonesian economy and to know policy variable such as monetary aggregate that have contribution in explain the variability of macroeconomic variables. The data sample used in this study are quarterly time series data from 1983.1 - 2003.2. Those data are base money, one month commercial bank deposit interest rate, consumer price index, gross domestic product, and exchange rate (rupiah/dollar). A method of analysis in this study is Vector Error Correction Model (VECM). The advantages of VECM are because it has: (i) impulse response function that can trace the response of one endogen variable because shock/innovation of others variables in the model; (ii) variance decomposition that can show the contribution of one variable endogen in explained the variability of others endogen variables. The result of impulse response function shows that economic growth did not response the shock of base money. Although base money has significant effect on inflation but this model leaves a price puzzle and liquidity puzzle. The result of variance decomposition shows that base money contributes only 5% on inflation but it did not give any contribution on economic growth fluctuation. The interesting result is policy variables (base money) have best contribution in explain the fluctuation on exchange rate. Then, it asserts that shock of policy variable is responded by exchange rate faster than other macroeconomic 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 Guncangan Variabel Makroekonomi Terhadap Jakarta Islamic Index (JII)

2017 ◽  
Vol 12 (1) ◽  
pp. 28-43
Author(s):  
Pribawa E Pantas
Keyword(s):  
Error Correction ◽  
Response Function ◽  
Impulse Response Function ◽  
Error Variance ◽  
Variance Decomposition ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Forecasting Error ◽  
Vector Error

Pertumbuhan pasar modal syariah di Indonesia terus menunjukkan kinerja yang positif, hal ini ditunjukkan dengan semakin besarnya nilai kapitalisasi serta minat investor dalam berinvestasi di pasar modal syariah. Tujuan penelitian ini adalah menganalisis secara empiris pengaruh jangka pendek dan jangka panjang variabel makroekonomi terhadap Jakarta Islamic Indeks (JII) serta menganalisis kecepatan respon Jakarta Islamic Indeks (JII) terhadap guncangan makroekonomi pada periode Januari 2011 – Desember 2016. Variabel makroekonomi yang digunakan antara lain inflasi, suku bunga bank Indonesia, nilai tukar, dan harga minyak dunia. Metode analisis menggunakan Vector Error Correction Model (VECM) dengan innovation accounting berupa Impulse Response Function (IRF) dan Forecasting Error Variance Decomposition (FEVD) dari data agregat Jakarta Islamic Indeks (JII). Hasil penelitian ini menunjukkan bahwa Guncangan variabel inflasi direspon negatif oleh JII, sedangkan variabel, suku bunga bank Indonesia, nilai tukar tukar, dan harga minyak dunia direspon positif oleh JII. Penelitian ini  juga  mengungkapkan bahwa guncangan yang paling cepat direspon oleh JII adalah variabel suku bunga bank Indonesia (15) diikuti variabel nilai tukar (16), inflasi (17), dan harga minyak dunia(17)

scholarly journals Exploring the Influence of Commodity Prices, Real Exchange Rate and Trade Openness on Economic Performance in an Emerging Country

2021 ◽  
Vol 12 (5) ◽  
pp. 80
Author(s):  
Ipeleng Ntshwe ◽  
Rufaro Garidzirai
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Real Exchange Rate ◽  
Trade Openness ◽  
Commodity Prices ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Johansen Cointegration

Do commodity prices, real exchange rate and trade openness influence economic growth in South Africa? This question is fundamental to academic research since it forms the basis of macroeconomic policies. Therefore, the comprehension of such a relationship is vital which has ushered this study into investigating the effect of real exchange rate, commodity prices and trade openness on economic growth in South Africa from 1984-2019. The purpose of this study is to contribute to the diverse literature on macroeconomics and international trade in the continent and the rest of the world. To achieve this, the Johansen cointegration method and Vector Error Correction Model were employed. The Johansen cointegration method confirmed the existence of a long-run relationship among the variables. Commodity prices and trade openness positively influenced economic growth while real exchange rate inversely influenced economic growth. The Vector Error Correction Model also confirmed that the disequilibrium in the model can be corrected in 1 year 9 months. The study`s findings suggest a methodical monetary policy synthesis that controls both the commodity price stability and exchange rate that spurs economic growth.

scholarly journals PENGARUH INDEKS REGIONAL TERHADAP JAKARTA ISLAMIC INDEX (JII)

ETIKONOMI ◽  
2012 ◽  
Vol 11 (2) ◽  
Author(s):  
Yoghi Citra Pratama
Keyword(s):  
Capital Market ◽  
Time Series Data ◽  
Impulse Response Function ◽  
Variance Decomposition ◽  
Series Data ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error

The objectives of this study are to analyze the influence of IHSG, Dowjones, and Nikkei to JII. The data used in this study are monthly time series data from January 2006 – May 2012. Those data are JII, IHSG, Dowjones Index and Nikkei Index. Research method used in this study is Vector Error Correction Model (VECM). The cointegration test indicates that among research variables there is long term equilibrium and simultaneous relationship. The Empirical result of Impulse Response Function shown that the effect of IHSG, DowJones and Nikkei to JII are negative.  The result on variance decomposition test had shown that the most effect of JII shock is influenced by JII itself. It can be conclude that Islamic Capital Market is more stable from the external shock rather than the conventional one.DOI: 10.15408/etk.v11i2.1888

Innovation, ICT penetration, trade and economic growth in developing and developed countries: a VECM approach

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Parul Singh ◽  
Areej Aftab Siddiqui
Keyword(s):  
Economic Growth ◽  
Error Correction ◽  
Developing Nations ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Content Type ◽  
Vector Error Correction ◽  
Vector Error ◽  
Short Run ◽  
Developed Nations

Purpose The development in information communication and technology (ICT) has led to many changes such as reorganization of economics, globalization and trade. With more innovation processes being organized and adopted across technologies, trade, etc., these are getting more closely related and needs fresh research perspective. This study aims to empirically investigate the interrelationship between ICT penetration, innovation, trade and economic growth in 20 developed and developing nations from 1995 to 2018. Design/methodology/approach The present paper examines both long-run and short-run relationships between the four variables, namely, innovation, ICT penetration, trade and economic growth, by applying panel estimation techniques of regression and vector error correction model. ICT penetration and innovation indices are constructed using principle component analysis technique. Findings The findings of the study highlight that for developed nations, growth, trade and innovation are significantly interlinked with no significant role of ICT penetration While for developing nations, significant relationship is present between growth and trade, ICT penetration and innovation. With respect to trade, in case of developed nations, significant relationship is present with ICT penetration. While for developing nations there is no significant result for trade promotion. On further employing the vector error correction model, the presence of short run causality between growth, trade and innovation in case of developed nations is established but no such causality between variables for developing nations is seen. Originality/value The present paper adds to the existing strand of literature examining interlinkage between innovation and growth by introducing new variables of ICT penetration and innovation.

scholarly journals Impact of conventional banking financing and Islamic banking financing on economic growth 2008-2018

2020 ◽  
Vol 6 (6) ◽  
pp. 1272
Author(s):  
Hasymi Nur Baehaqy ◽  
Eko Fajar Cahyono
Keyword(s):  
Economic Growth ◽  
Error Correction ◽  
Significant Relationship ◽  
Sampling Technique ◽  
Error Correction Model ◽  
Islamic Banking ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error

This research aims to know Impact of conventional banking financing and Islamic banking financing on economic growth 2008-2018. In this study the authors used a saturated sampling technique found in Non-Probability Sampling. The analysis technique used is VECM (Vector Error Correction Model). Based on the results of the study indicate that there is a one-way relationship on several variables, namely Conventional Banking Financing to GDP and Conventional Banking Financing to Islamic Banking Financing, In the long run, Conventional Banking Financing has a positive and significant relationship to GDP, whereas Islamic Banking Financing has a negative and significant relationship to GDP.Keywords: Banking Financing, Economic Growth, GDP (Gross Domestic Product), VECM (Vector Error Correction Model)

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