DETERMINAN TINGKAT SUKU BUNGA PINJAMAN DI INDONESIA TAHUN 1983 – 2002

This paper analyzes the role of international interest rate, money supply, inflation, SBI rate (Sertifikat Bank Indonesia) and GDP on the lending rate. We use the Error Correction Model on Indonesian yearly data from 1983 – 2002 and confirm the significant of these explanatory variables as the determinant of short and long term credit lending rates.These findings conforms the necessity for Bank Indonesia as monetary authority to take into account the external factors and support the integration of domestic and foreign financial market.Keyword: Error Correction Model, Interest rate, Financial market, Money Supply, Lending rate.JEL: C22, E44, E51

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ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHINILAI TUKAR RUPIAH TERHADAP DOLLAR AMERIKA SERIKAT DENGAN PENDEKATAN NERACA PEMBAYARAN (PENDEKATAN ENGLE GRANGER-ERROR CORRECTION MODEL)

Jurnal Ekonomi Pembangunan Kajian Masalah Ekonomi dan Pembangunan ◽

10.23917/jep.v5i2.4038 ◽

2017 ◽

Vol 5 (2) ◽

pp. 147

Author(s):

Eni Setyowati ◽

Soepatini Soepatini

Keyword(s):

Exchange Rate ◽

Interest Rate ◽

Gross Domestic Product ◽

Error Correction ◽

Dynamic Model ◽

Money Supply ◽

Error Correction Model ◽

Demand And Supply ◽

Correction Model

The equilibrium exchange rate will change along with the change of demand and supply. Factors causing the change of demand and supply curve among others are the amount of money supply, relative gross domestic product (GDP) ,the level of relative interest rate, and relative priceOne of the ways to analyze the influence of short term and long term is by developing the dynamic model. In this research, the analysis of dynamic model was conducted with Engel-Granger Error Correction Model approach which was developed by Engel-Granger (1987) based on Granger Representation Theorem.The ECM was known that long term exchange rate is influenced by the number of money supply and relative price. The variable which influence short-therm exchenge rate are the ammount of Gross Domestic Product, and interest rate.

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Integration Rice Price And Farmers Welfare With Error Correction Model Analysis

Archives of Business Research ◽

10.14738/abr.79.7118 ◽

2019 ◽

Vol 7 (9) ◽

pp. 221-228

Author(s):

Yogi Makbul

Keyword(s):

Error Correction ◽

Error Correction Model ◽

Policy Intervention ◽

Correction Model ◽

Long Run ◽

Short Run ◽

Short And Long Term ◽

Rice Prices ◽

Support Policy

This research analyzes the short- and long-term influence of rice prices on the welfare of Indonesian farmers using an error correction model. Drawing upon data from Indonesia's Central Bureau of Statistics, it reveals that rice prices exert significant positive short-run effects and no significant long-run influence on farmers' welfare. These findings extend or refine results from earlier studies that lack the time series perspective of our research. They also support policy intervention by the Indonesian government to increase farmers' welfare and assure food supply.

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Analisis Pengaruh Transaksi Uang Elektronik terhadap Tingkat Inflasi di Indonesia

Jurnal Ekonomi Pembangunan ◽

10.23960/jep.v10i1.231 ◽

2021 ◽

Vol 10 (1) ◽

pp. 56-63

Author(s):

Ruth Damayanti

Keyword(s):

Error Correction ◽

Money Supply ◽

Inflation Rate ◽

Error Correction Model ◽

Advanced Technology ◽

Short Term ◽

Electronic Money ◽

Correction Model ◽

The Impact

Increasingly advanced technology encourages people to make transactions using electronic money (e-money). Nowadays, more Indonesian people use electronic money in their dealings, which is proven by the increasing volume of electronic money transactions from year to year. Electronic cash is chosed because it is more practical in making transactions with traders. The rising use of electronic money can affect the money supply, which can affect the inflation rate. Several studies have stated the effect of electronic money on inflation. This study aims to determine the impact of the variable volume and nominal value of electronic money transactions (e-money) on the inflation rate in Indonesia from January 2016 to December 2020. The data used in this study are secondary data with the type of monthly time series taken from Bank Indonesia, Kementerian Perdagangan, and BPS (Badan Pusat Statistik). The analysis technique used is the ECM (Error Correction Model). The Error Correction Model in this study aims to identify long-term and short-term relationships that occur because of the cointegration between research variables and the relationship between variables that are not stationary. This study indicates that in the long term, the variables volume of e-money transactions and money supply (M2) have a significant effect on the inflation variable. In contrast, other macroeconomic variables (BI rate and nominal value of e-money transactions) has no significant impact. Meanwhile, the short-term regression model shows no variables that have a substantial effect on the inflation variable.

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Strengthening Indonesia's Economic Growth with Islamic and non-Islamic Macroeconomic Variable

Economica Jurnal Ekonomi Islam ◽

10.21580/economica.2020.11.1.4907 ◽

2020 ◽

Vol 11 (1) ◽

pp. 107-128

Author(s):

Eba Ismi Alifah ◽

Anton Bawono

Keyword(s):

Economic Growth ◽

Error Correction ◽

Foreign Debt ◽

Error Correction Model ◽

Correction Model ◽

Islamic Bank ◽

Short And Long Term ◽

The Government ◽

Autoregressive Conditional Heteroscedasticity

Abstract: This research was conducted to determine the effect of taxes, Sukuk, grants, inflation, foreign debt, total financing, and the network of Islamic bank offices on Indonesia's economic growth. Research data for each variable is monthly from 2009-2018. Data analysis variables use Error Correction Model (ECM) Test and Autoregressive Conditional Heteroscedasticity (ARCH) Test with Eviews ver.10. The results showed that in the short and long term, variables taxes, Sukuk, inflation, foreign debt, total financing, and office networks of Islamic banks) affected the Indonesian economic growth. At the same time, grants have no significant effect on economic growth. For variable predictions in the next year (2019), only economic growth, grants, inflation, foreign debt, and network of Islamic bank offices can be predicted. Meanwhile, taxes, Sukuk, and total financing cannot be identified in 2019 because the variables are not significant in the ARCH analysis, so it cannot be diagnosed about future values. This result implies that the government and the community must continue to work together to manage state revenues used to fund productive projects to stimulate economic growth.Abstrak: Penelitian ini dilakukan untuk mengetahui pengaruh pajak, sukuk negara, hibah, inflasi, utang luar negeri, jumlah pembiayaan dan jaringan kantor bank syariah terhadap pertumbuhan ekonomi Indonesia. Data penelitian setiap variabel berupa bulanan dari tahun 2009-2018. Uji variabel penelitian menggunakan Uji Error Correction Model (ECM) dan Uji ARCH menggunakan Eviews ver.10. Hasil penelitian menunjukkan bahwa dalam jangka pendek maupun jangka panjang, variabel pajak, sukuk negara, inflasi, utang luar negeri, jumlah pembiayaan dan jaringan kantor bank syariah berpengaruh signifikan terhadap pertumbuhan ekonomi Indonesia. Sedangkan variabel hibah tidak berpengaruh secara signifikan terhadap pertumbuhan ekonomi. Untuk prediksi variabel di tahun berikutnya (tahun 2019), hanya variabel pertumbuhan ekonomi, hibah, inflasi, utang luar negeri dan jumlah jaringan kantor bank syariah yang dapat diprediksi, sedangkan pajak, sukuk negara, dan jumlah pembiayaan tidak dapat diketahui nilai perkembangannya di tahun 2019 karena variabel tersebut tidak signifikan pada analisis ARCH. Sehingga tidak dapat di diagnosa dalam bentuk ARCH untuk dilakukan forecast data agar diketahui tentang nilai di masa yang akan datang. Implikasi dari temuan ini adalah diperlukan upaya yang berkesinambungan dari pemerintah dan masyarakat dalam mengelola penerimaan negara yang dimanfaatkan untuk mendanai proyek yang produktif sehingga dapat mempercepat pertumbuhan ekonomi.

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Credit Risk Determinants in Indonesia

EFFICIENT Indonesian Journal of Development Economics ◽

10.15294/efficient.v1i2.30153 ◽

2018 ◽

Vol 1 (2) ◽

pp. 106-115

Author(s):

Amin Yusuf Efendi

Keyword(s):

Time Series ◽

Interest Rate ◽

Credit Risk ◽

Error Correction ◽

Error Correction Model ◽

Series Data ◽

Short Term ◽

Correction Model ◽

Spurious Regression

Credit is the main business of the banking industry, therefore, in running the business, the bank is always overshadowed by the credit risk the which can be determined by the ratio of non-performing loans (NPL). The development of technology, finance digital brings the outside could impact on the financial industry both positive and negative. The purpose of this study was to analyze the interest rate, inflation, exchange rates, gross domestic product (GDP), a dummy finance digitalization policies in the long term and the short term of the non-performing loan (NPL) of conventional commercial banks in Indonesia The analytical method used in this research is-EG Error Correction Model (ECM), The Data used in this research is secondary quarterly time series data from the 2008 quarter 1-2017 4. The time series of data are not stationar Often that can cause spurious regression results, the exact models used is-EG Error Correction Model (ECM), This models may explain the behavior of short-term and long-term. The results Showed in the short-term variable interest rates significanly to non-performing loans, while in the long-term variable interest rate, exchange rate, and GDP Significantly, non-performing loans. Kredit merupakan bisnis utama dari industri perbankan, oleh karena itu dalam menjalankan bisnisnya, bank selalu dibayangi oleh risiko kredit yang dapat diketahui melalui rasio non-performing loans (NPL). Perkembangan teknologi, menghadirkan digital finance yang membawa dampak luar bisa terhadap industri keuangan baik positif dan negatif. Tujuan dari penelitian ini adalah untuk menganalisis suku bunga, inflasi, kurs, produk domestik bruto (PDB) dummy kebijakan digitalisasi keuangan dalam jangka panjang dan jangka pendek terhadap non-performing loan (NPL) bank umum konvensional di Indonesia Metode analisis yang digunakan dalam penelitian ini adalah Error Correction Model-EG (ECM). Data yang digunakan dalam penelitian ini adalah data sekunder runtut waktu kuartalan dari 2008 kuartal 1 – 2017 kuartal 4. Data runtun waktu sering tidak stationar sehingga bisa menyebabkan hasil regresi palsu (spurious regression), Model yang tepat digunakan adalah Error Correction Model-EG (ECM), model ini dapat menjelaskan perilaku jangka pendek dan jangka panjang. Hasil penelitian menunjukkan dalam jangka pendek variabel suku bunga berpengaruh secara signifikan terhadap non performing loan, sedangkan dalam jangka panjang variabel suku bunga, kurs, dan PDB berpengaruh secara signifikan terhadap non perfoming loan.

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PENGARUH NON PERFORMING FINANCING, CAPITAL ADEQUACY RATIO, BEBAN OPERASIONAL PENDAPATAN OPERASIONAL DAN NET IMBALAN TERHADAP RETURN ON ASSETS (STUDI PADA BANK MAYBANK SYARIAH PERIODE 2012-2019)

Niqosiya: Journal of Economics and Business Research ◽

10.21154/niqosiya.v1i1.108 ◽

2021 ◽

Vol 1 (1) ◽

pp. 78-93

Author(s):

Lely Awintasari ◽

Maulida Nurhidayati

Keyword(s):

Error Correction ◽

Error Correction Model ◽

Capital Adequacy ◽

Short Term ◽

Return On Assets ◽

Correction Model ◽

Long Run ◽

Capital Adequacy Ratio ◽

Short And Long Term

The purpose of this study is to analyze the influence of Non Performing Financing (NPF), Capital Adequacy Ratio (CAR), Operating Expenses operating income (BOPO) and Net Rewards (NI) ratio on Return On Assets of Maybank Syariah Bank. A bank's Return on Assets (ROA) is a ratio that shows the bank's success in making a profit. If the ROA obtained by a small bank as a result of the bank can suffer losses and hinder the growth of the bank. This research is a type of quantitative research with Error Correction Model method with a significance rate of 5%, with a total of 32 samples in the form of quarterly data published by Bank Maybank Syariah in 2012-2019. The findings in this study are that NPF negatively affects ROA in the short term but NPF has no effect on ROA in the long run. CAR has no effect on ROA in the short term but CAR has a positive effect on ROA in the long run. BOPO in the short and long term negatively affects ROA. NI in the short and long term has no effect on ROA. Simultaneously NPF, CAR, BOPO and NI both short-term and long-term affect ROA simultaneously. The amount of influence exerted in the short term is 89.20% while in the long term it is 88.57%. In order to increase ROA, Maybank Syariah Bank as much as possible to reduce the percentage of NPF and BOPO and can increase the CAR owned. Tujuan penelitian ini adalah untuk menganalisis pengaruh rasio kuangan Non Performing Financing (NPF), Capital Adequacy Ratio (CAR), Beban Operasional Pendapatan Operasional (BOPO) dan Net Imbalan (NI) terhadap Return On Assets Bank Maybank Syariah. Return on Assets (ROA) suatu bank merupakan rasio yang menunjukkan keberhasilan bank dalam menghasilkan keuntungan. Apabila ROA yang diperoleh bank kecil akibatnya bank dapat mengalami kerugian serta menghambat pertumbuhan bank tersebut. Penelitian ini berjenis penelitian kuantitatif dengan metode Error Correction Model dengan tingkat signifikansi 5%, dengan jumlah sampel sebanyak 32 yang berupa data triwulan yang dipublikasikan oleh Bank Maybank Syariah tahun 2012-2019. Temuan pada penelitian ini adalah NPF berpengaruh negatif pada ROA dalam jangka pendek tetapi NPF tidak berpengaruh pada ROA dalam jangka panjang. CAR tidak berpengaruh pada ROA pada jangka pendek namun CAR berpengaruh positif terhadap ROA dalam jangka panjang. BOPO dalam jangka pendek maupun jangka panjang berpengaruh negatif pada ROA. NI dalam jangka pendek maupun jangka panjang tidak berpengaruh pada ROA. Secara simultan NPF, CAR, BOPO dan NI baik jangka pendek maupun jangka panjang berpengaruh terhadap ROA secara simultan. Besarnya pengaruh yang diberikan pada jangka pendek adalah 89,20% sedangkan pada jangka panjang sebesar 88,57%. Untuk dapat meningkatkan ROA, Bank Maybank Syariah sebisa mungkin untuk menurunkan persentase NPF dan BOPO serta dapat meningkatkan CAR yang dimiliki.

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Pengaruh Dow Jones Indeks, Strait Time , dan Hang Sheng Terhadap Indeks Harga Saham Gabungan dengan Pendekatan Eror Correction Model

Jurnal Mandiri ◽

10.33753/mandiri.v3i2.92 ◽

2019 ◽

Vol 3 (2) ◽

pp. 307-313

Author(s):

Tiar Lina Situngkir

Keyword(s):

Error Correction ◽

Error Correction Model ◽

Stock Index ◽

Short Term ◽

Correction Model ◽

Jones Index ◽

Time Index ◽

Strait Time ◽

Short And Long Term

Abstrak Tujuan penelitian ini adalah menganalisis pengaruh Dow Jones Index, Strait Times Index dan Hang seng Indeks terhadap indeks harga saham gabungan. Metodologi yang digunakan dalam menganalisa adalah Error Correction Model. Hasil penelitian menemukan bahwa DJI dalam jangka pendek dan panjang berpengaruh positif tidak signifikan. STI dalam jangka pendek dan panjang berpengaruh berpengaruh positif signifikan. HSE dalam jangka pendek dan panjang berpengaruh negatif tidak signifikan. Simpulan secara simultan dalam penelitian ini terbukti paling tidak terdapat satu variabel independen berpengaruh signifikan. Abstract The objective of this research is to analyse whether the Dow Jones Index, Strait Times Index and Hang Seng Index, each has a significant effect on Composite Stock Index. The methodology of analysis of this research is the Error Correction Model. The result of research found that in the short term Dow Jones has no significant while in the long term it has a positive and significant impact on Indonesian Composite Stock Index. Summary In the short and long term Strait Time Index has a positive and significant impact. In short and long term Hang Seng Index has no significant on Composite Stock Index.

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INTERAKSI ASPEK PERMODALAN, RISIKO PEMBIAYAAN, DAN INDIKATOR MAKROEKONOMI DALAM MEMPENGARUHI PROFITABILITAS BPRS DI INDONESIA PERIODE 2014-2018

Jurnal Benefita ◽

10.22216/jbe.v5i3.5623 ◽

2020 ◽

Vol 5 (3) ◽

pp. 401

Author(s):

Feri Irawan

Keyword(s):

Economic Growth ◽

Time Series ◽

Error Correction ◽

Error Correction Model ◽

Series Data ◽

Short Term ◽

Correction Model ◽

Long Run ◽

Short And Long Term

ABSTRACTThis study aims to analyze the effect of capital aspects (CAR), financing risk (NPF) and macroeconomic variables including economic growth, inflation and the BI Rate on profitability (ROE) in the short and long term. By using time series data for the monthly period from 2013-2018 and the Error-Correction Model (ECM) and cointegration approach, it is found that CAR and NPF do not have a significant effect on ROE in the short and long term. Economic growth, inflation and the BI Rate in the short term do not have a significant effect on ROE, in the long run economic growth, inflation and the BI Rate have a significant effect on ROE. In the short term, economic growth, inflation and the BI Rate disturb the balance of profitability, but in the long run it returns to its equilibrium level. It is necessary to integrate the BPRS policy strategy in managing capital and risk with government policies related to economic growth and inflation. ABSTRACTPenelitian bertujuan menganalisis pengaruh aspek permodalan (CAR), risiko pembiayaan (NPF) dan variabel makroekonomi yang meliputi pertumbuhan ekonomi, inflasi dam BI Rate terhadap profitabilitas (ROE) dalam jangka pendek dan jangka panjang. Dengan menggunakan data time series periode bulanan dari tahun 2013-2018 dan pendekatan Error-Correction Model (ECM) dan kointegrasi, ditemukan bahwa CAR dan NPF tidak berpengaruh secara signifikan terhadap ROE dalam jangka pendek dan jangka panjang. Pertumbuhan ekonomi, inflasi dan BI Rate dalam jangka pendek tidak berpengaruh signifikan terhadap ROE, dalam jangka panjang pertumbuhan ekonomi, inflasi dan BI Rate berpengaruh signfikan terhadap ROE. Pada jangka pendek, pertumbuhan ekonomi, inflasi dan BI Rate menggangu keseimbangan profitabilitas namun dalam jangka panjang kembali pada tingkat keseimbangannya. Diperlukan pengintegrasi strategi kebijakan BPRS dalam mengelola permodalan dan risiko dengan kebijakan pemerintah terkait dengan pertumbuhan ekonomi dan inflasi.

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Determinants of Money Demand in Algeria: An Empirical Study Using Cointegration and Error Correction Model

Modern Applied Science ◽

10.5539/mas.v13n10p78 ◽

2019 ◽

Vol 13 (10) ◽

pp. 78

Author(s):

Mohammed Djebbouri ◽

Abdelkarim Mansouri ◽

Abderrahmane Tahi

Keyword(s):

Error Correction ◽

Money Demand ◽

Demand Function ◽

Real Income ◽

Error Correction Model ◽

Short Term ◽

Correction Model ◽

Cointegration Tests ◽

Short And Long Term

This investigation aims primarily to estimate the determinants of the demand function of money in its broad sense, in Algeria during the period 1980-2017. To accomplish this study, Cointegration and Error Correction Model (ECM) have been used. Thus, these tests proved the no stationary of time series which led us to apply the cointegration tests, so in the end we estimate the model with error correction. The results of this estimation show that the importance of determinants of money demand in the short and long term are ordered as follows: real income, the velocity of circulation of money (VM2) in the short and long term, the long-term exchange rate; in the short term its importance diminishes in favor of inflation, which has a decisive effect on the demand for money in the short term. The findings reveal that the money demand function is insensitive to the interest rate, which explains why speculation is generally regarded as a less important reason in Algeria.

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DETERMINANT OF INDONESIAN MANUFACTURING OUTPUT

Journal of Developing Economies ◽

10.20473/jde.v3i1.8686 ◽

2018 ◽

Vol 3 (1) ◽

pp. 61

Author(s):

Arga Prati Dhina ◽

Wasiaturrahma Wasiaturrahma

Keyword(s):

Economic Growth ◽

Interest Rate ◽

Error Correction ◽

Research Method ◽

Manufacturing Sector ◽

Secondary Data ◽

Short Term ◽

Correction Model

The role of manufacture in Indonesia influence the economic growth. This research aims to observe and analyze influencing factors of manufacturing sector output in Indonesia. The research method used Error Correction Model (ECM) at period 2005 in 1stquartal – 2017 in 4thquartal. This research used secondary data from Statistik Ekonomi dan Keuangan Indonesia (SEKI) and Federal Reserves. The results of the study show that in long term estimation lend interest rate and inflation have negative and significant impact, whereas FDI has positive and significant impact towards manufacturing sector output. Otherwise, in short term estimation show that lend interest rate has negative and significant impact, while inflation and FDI have no significant impact towards manufacturing sector output.

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