scholarly journals ANALISIS DAMPAK HARGA EMAS DUNIA, HARGA MINYAK DUNIA, KURS, INDEKS HARGA KONSUMEN (IHK), DAN BI RATE TERHADAP JAKARTA ISLAMIC INDEX

2019 ◽  
Vol 1 (02) ◽  
pp. 7-20
Author(s):  
Muhammad Umar Azyka Alfuadi
Keyword(s):  
Exchange Rate ◽  
Price Index ◽  
Negative Impact ◽  
Positive Impact ◽  
Consumer Price Index ◽  
Gold Price ◽  
Oil Price ◽  
Economic Principle ◽  
Islamic Economic

The paper attempts to analyze the impacts of gold price, oil price, exchange rate, consumer price index, and BI rate to Jakarta Islamic Index using VAR- VECM analysis. The result shows that in long term all variables have a significant impact to JII. Gold price has negative impact to JII 4,1% and stable after 12 months, oil price has positive impact 1% and stable after 21 months, exchange rate has positive impact 3,8% and stable after 17 months, consumer price index has positive impact 0,5% and stable after 21 months, and BI rate has negative impact 6,2% and stable after 15 months. BI rate also gives the biggest impact‟s contribution into JII. This result is very contradictory with Islamic economic principle “No-Riba Oriented”.

scholarly journals Is Gold a Hedge Against Turkish Lira?

2008 ◽  
Vol 3 (1) ◽  
pp. 35-40 ◽  
Author(s):  
Feride Ozturk ◽  
Sezgin Acikalin
Keyword(s):  
Exchange Rate ◽  
Price Index ◽  
Consumer Price Index ◽  
Gold Price ◽  
Dollar Exchange Rate ◽  
Vector Error Correction ◽  
Vector Error ◽  
Us Dollar ◽  
Turkish Lira

Is Gold a Hedge Against Turkish Lira?This paper investigates whether gold is an internal hedge and/or an external hedge against Turkish lira (TL) by using monthly data from January 1995 to November 2006. Cointegration test results confirm the long-term relationships between the gold price and consumer price index and between the gold price and TL/US dollar exchange rate. The Granger Tests, based on vector error correction model (VECM), indicate that gold price Granger causes the consumer price index and TL/US dollar exchange rate in a unidirectional way. It is concluded that gold acts as an effective hedge against potential future TL depreciation and rising domestic inflation. Furthermore, gold price may be considered as a good indicator of inflation and hence it can be used as a guide to monetary policy.

scholarly journals PENGARUH VARIABEL MAKROEKONOMI TERHADAP INDEKS HARGA SAHAM SYARIAH (STUDI KASUS DI INDONESIA DAN MALAYSIA)

2018 ◽  
Vol 9 (2) ◽  
Author(s):  
DESY TRISHARDIYANTI ADININGTYAS
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Stock Price ◽  
Price Index ◽  
Gold Price ◽  
Oil Price ◽  
Crude Oil Price ◽  
Short Term ◽  
Correction Model

Abstract. The Effect of Macroeconomic Variables on Sharia Stock Price Index (Case Study in Indonesia and Malaysia). The purpose of this research is to know the effect of macroeconomic variables (inflation, exchange rate, world crude oil price and world gold price) on sharia stock price index in Indonesia and Malaysia. By using Error Correction Model as the method, this research utilizes time series monthly data from March 2015 until February 2018. The finding shows that in long-term, inflation in Indonesia, exchange rate of rupiah, world crude oil price and world gold price had significant effect on Jakarta Islamic Index. In short-term, inflation in Indonesia, world crude oil price, world gold price had not significant effect on Jakarta Islamic Index and exchange rate of rupiah had significant effect on Jakarta Islamic Index. Meanwhile, inflation in Malaysia, world crude oil price, world gold price had not significant effect on FTSE Bursa Malaysia Hijrah Syariah Index in long-term and short-term. And exchange rate of ringgit had significant effect on FTSE Bursa Malaysia Hijrah Syariah Index in long-term and short-term.   Abstrak. Pengaruh Variabel Makroekonomi Terhadap Indeks Harga Saham Syariah (Studi Kasus di Indonesia dan Malaysia). Tujuan dari penelitian ini adalah untuk mengetahui pengaruh variabel makroekonomi (inflasi, kurs, harga minyak mentah dunia dan harga emas dunia) terhadap indeks harga saham syariah di Indonesia dan Malaysia. Penelitian ini menggunakan metode Error Correction Model, dengan data time series bulanan dari Maret 2015 sampai dengan Februari 2018. Hasil penelitian ini menunjukan bahwa pada jangka panjang, inflasi Indonesia, kurs rupiah, harga minyak mentah dunia dan harga emas dunia berpengaruh terhadap Jakarta Islamic Index. Pada jangka pendek, inflasi Indonesia, harga minyak mentah dunia, harga emas dunia tidak berpengaruh terhadap Jakarta Islamic Index dan kurs rupiah berpengaruh terhadap Jakarta Islamic Index. Sementara itu, inflasi Malaysia, harga minyak mentah dunia, harga emas dunia tidak berpengaruh terhadap FTSE Bursa Malaysia Hijrah Syariah Index pada jangka panjang dan jangka pendek. Dan kurs ringgit berpengaruh terhadap FTSE Bursa Malaysia Hijrah Syariah Index pada jangka panjang dan jangka pendek.

scholarly journals Analisis Indeks Harga Konsumen di Indonesia Melalui Pendekatan Kointegrasi

2019 ◽  
Vol 4 (2) ◽  
pp. 110-118
Author(s):  
Muhamad Muin ◽  
Keyword(s):  
Exchange Rate ◽  
Empirical Study ◽  
Money Supply ◽  
Price Index ◽  
Consumer Price Index ◽  
Data Series ◽  
Short Term ◽  
Monthly Data ◽  
The Relationship

This study aims to analyze the relationship between the rupiah exchange rate (RER) and the money supply (M1) on the outgrowth of the consumer price index (CPI) in Indonesia. The data used in this study are monthly data series from January 2005 to January 2019. The results of this empirical study shows that there is a relationship between RER and M1 on CPI in the long term and there is a correction in the short term balance (ECM) which is influenced by M1. All of these variables are significant at α = 5% and partly significant at α = 1%.

scholarly journals The Nexus Between Monetary Policy and Economic Growth in Pakistan: Empirical Evidence Based on Bound Test Approach

2021 ◽  
Vol 4 (3) ◽  
pp. 613-624
Author(s):  
Mahmood Ul Hassan ◽  
Hina Ali ◽  
Saeed Ur Rahman ◽  
Sabiha Parveen
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Gross Domestic Product ◽  
Money Supply ◽  
Price Index ◽  
Negative Impact ◽  
Consumer Price Index ◽  
Domestic Product ◽  
Series Data ◽  
Bound Test

The objective of this research is to examine the monetary policy's impact on economic growth. Variables of study are Gross domestic product, Inflation, rate of interest, Exchange rate, Money supply, Investment, and Consumer Price Index and time series data is collected from. Gross domestic product is a dependent variable and all other variables are independent and have a great effect on the explanatory variable. In this study, the Augmented dicky fuller test is used to check out the stationarity of our selected variables and after that autoregressive distributed lag model co-integration technique is applied to estimate the parameters of the model. The result shows that inflation, interest rate, and consumer price index show a negative impact on gross domestic product. While other variables such as exchange rate, money supply, and investment show a positive impact on GDP. The study recommended that the desired level of output and employment can be attained by adopting sufficient strategies that reduce inflation in the economy.

scholarly journals The Analysis of Exchange Rate Pass-Through in Indonesia

2019 ◽  
Author(s):  
Karsinah . ◽  
Sucihatiningsih Dian Wisika Prajanti ◽  
Widiyanto . ◽  
Nor Malisa
Keyword(s):  
Exchange Rate ◽  
Price Index ◽  
Consumer Price Index ◽  
Import Price ◽  
Series Data ◽  
Short Term ◽  
Import Price Index ◽  
Pass Through ◽  
Exchange Rate Pass Through

The aims of this research are to identify and analyze the exchange rate pass through towards domestic price in Indonesia. The aforementioned objective is reflected through the short-term and long-term influence variable, inflation fluctuation response due to other macroeconomic shock variable, which then reveals the characteristics of pass-through degree in Indonesia. The data used on this research was the quarter time series data from 1997 Q3 until 2017Q4. The variable used in this research were Consumer Price Index, Rupiah exchange value per Dollar, Import Price Index and SBI Interest Rate. The resource of the data variable were from Bank Indonesia and International Monetary Fund (IMF). The method being employed was Vector Error Correction Model (VECM). The result of the research shows that in the long-term and short-term period, all variable influences inflation by a different lag. Moreover, the impulse response function assessment reveals that shock variable of import price index receives a positive response by consumer price index. The result of variance decomposition assessment also concludes that the import price index has the biggest contribution.

scholarly journals Impact of Infaltion, Exchange Rate and Interest Rate on the Private Sector Credit of Pakistan

2020 ◽  
Vol 6 (4) ◽  
pp. 1133-1138
Author(s):  
Muhammad Umair Ali ◽  
Saliha Gul Abbasi ◽  
Mazhar Abbas ◽  
Ghulam Dastgeer
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Private Sector ◽  
Negative Impact ◽  
Positive Impact ◽  
Short Term ◽  
Short Run ◽  
Auto Regressive ◽  
Adf Test

The paper analyzed the long-term and short-term impact of interest rate, exchange rate and inflation on the private sector credit of Pakistan during the period from 1975 to 2018. To test the stationarity of data Augmented Dick Fuller (ADF) Test was applied. While the main model to explore the long-term and short-term dependence was based on Auto Regressive Distribution Lag (ARDL) Model. The results suggested no effect of exchange rate on private sector credit, while inflation has significant as well as positive impact on Private Sector Credit (PSC) in long as well as short run. Lastly, the most important dependence i.e. interest effect on PSC; depicted negative impact in both short and long term.

scholarly journals THE EFFECTS OF RUPIAH CURRENCY, WORLD OIL PRICES, AND WORLD GOLD PRICE ON COMPOSITED STOCK PRICE INDEX (IHSG) IN 2016

2017 ◽  
Vol 14 (2) ◽  
pp. 144-151
Author(s):  
Bima Prawirosaputro ◽  
Yudith Dyah Hapsari
Keyword(s):  
Exchange Rate ◽  
Stock Price ◽  
Price Index ◽  
Econometric Model ◽  
Negative Impact ◽  
Positive Impact ◽  
Oil Prices ◽  
Study Results ◽  
The World ◽  
Auto Regressive

This study aims to determine and analyze the effects ofIndonesian Rupiah exchange rate, world oil prices, and world gold priceson IDX Composite in 2016. This research utilizedGeneralized Auto-Regressive Conditional Heteroscedasticity (GARCH) method on 234 daily observations throughout the whole year. This study results demonstrated that the Indonesian Rupiah exchange rate has a significant and negative impact, while the world gold and oil prices have a significant and positive impact on the IDX Composite in 2016. In addition to these results, the discovery and usage of GARCH method as the optimum econometric model found the variance of residuals of IDX Composite in 2016, which is also affected by the previous day residuals, but it is not affected by the variance of previous days residuals.

Macroeconomic factors and stock returns: Evidence from the emerging market of Asia

2018 ◽  
Vol 5 (3) ◽  
pp. 16-20
Author(s):  
Muhammad Asad Saleem Malik ◽  
Saher Touqeer ◽  
Shumaila Zeb
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Negative Impact ◽  
Positive Impact ◽  
Emerging Market ◽  
Consumer Price Index ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Significant Negative Impact ◽  
The Impact

This study examines the impact of macroeconomic variables on stock returns of Pakistan, India and Sri Lanka for the period of 1997-2014. GMM approach is used to analyze the impact of macroeconomic variables on stock returns. Variables of the study were T-Bills, Exchange Rate, Consumer Price Index (CPI) and the Industrial Production Index (IPI). The results of study show that T-bills rate has significant negative impact while Exchange rate has a significant positive impact on the Stock Returns of the study period.

scholarly journals Study of Effects of Asymmetric Liquidity Risk in the Capital Market of Iran

2018 ◽  
Vol 2 (1) ◽  
pp. 23-28
Author(s):  
Hadi Panahi ◽  
Solmaz Daryani ◽  
Shahin Amiri
Keyword(s):  
Exchange Rate ◽  
Capital Market ◽  
Price Index ◽  
Negative Impact ◽  
Positive Impact ◽  
Liquidity Risk ◽  
Consumer Services ◽  
Significant Negative Impact ◽  
Positive Shock ◽  
The Capital Market

Cash-flow risk is one of the main factors influencing in the capital market of Iran. In this regard, the study has examined the effect of Iran's asymmetric liquidity risk in the capital market. This study is based on econometric model of EGARCH from the family of heterogeneity of variance model after extracting the positive and negative shocks analyzes that leverage effect has different effects for a unit of positive shock and a single unit of negative shock, goods price index and consumer services, exchange rate and liquidity risk on dividends. As well as significant negative impact of liquidity risk, significant positive impact of exchange rate, consumer services and goods price index can be seen on the index of dividends.

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