scholarly journals RESPONSIVENESS OF SOCIAL VALUES AND REAL GROSS DOMESTIC BRUTO ON MONEY DEMAND IN INDONESIA

2018 ◽  
Vol 3 ◽  
pp. 83-102
Author(s):  
Eko Fajar Cahyono
Keyword(s):  
Impulse Response ◽  
Money Demand ◽  
Social Values ◽  
Impulse Response Function ◽  
Variance Decomposition ◽  
Fiat Money ◽  
Islamic Bank ◽  
Real Gdp ◽  
Demand Deposits ◽  
Currency Demand

The purpose of this study was to determine the effect, estimates shocks and determine the contribution of , social values, real GDP  currency, demand deposits wadi'ah, Mudaraba savings, deposits mudaraba and Islamic Bank  Returns to money demand  in Indonesia. Real GDP and social values theoretically able to increase money demand using each mechanism. Money demand represented by M2 with a composition comprising of fiat money, wadiah demand deposits, mudaraba savings and mudaraba investment deposits completed Islamic Bank return as balancing cost in Money demand. The research method used in this research is comparative quantitative. This research utilizes 8 (eight) variable which then unit root test, determining Lag Optimal, Cointegrate-Test, VECM Estimates, Impulse Response Function and Variance Decomposition are carried out. The results of VECM estimation showed that real GDP, fiat money, wadiah demand deposits, sharia return, mudaraba savings and mudaraba investment deposits are significantly influencing the amount of Money demand in long term. In short term, social values significantly influencing the amount of money demand in Indonesia. The results of Impulse response showed that real GDP positively responded by the M2. Then, social values positively responded, fiat money positively responded, wadiah deposits positively responded, mudaraba savings negatively responded, mudaraba deposits positively responded and sharia return positively responded by the M2IS. Variance decomposition results showed that social values has the biggest contribution, then followed by demand deposits wadi'ah, mudaraba deposits, mudaraba savings, currency, real GDP and return sharia smallest.

Interest Rate–Economic Growth Nexus Under Currency Board Operations

2021 ◽  
Vol 8 (1) ◽  
pp. 13-24
Author(s):  
Martinianus Tshimologo Tibinyane ◽  
Teresia Kaulihowa
Keyword(s):  
Economic Growth ◽  
Interest Rate ◽  
Impulse Response ◽  
Response Function ◽  
Open Economy ◽  
Small Open Economy ◽  
Impulse Response Function ◽  
Policy Instrument ◽  
Variance Decomposition ◽  
Currency Board

This paper analyses the effect of the prime interest rate as a monetary policy instrument to stimulate economic growth in Namibia, a small open economy that is constrained by currency board operations. A Vector Autoregressive Model (VAR) was used for the period 1980–2019. The result shows that Namibia’s prime interest rate has no significant effect on economic growth. This finding remains robust and consistent when impulse response function and variance decomposition are employed. The impulse response function indicates a shock on the prime interest rate exhibits an inverse relationship. However, this effect is insignificant in both short and long-run scenarios. The variance decomposition indicates that the prime interest rate has a strongly exogenous impact, implying it has a weak influence on GDP growth. Policy implication indicates that small open economies under currency board operations need to identify different policy responses to circumvent external shocks and addresses their development needs.

Financial Deepening and Economic Growth in Jamaica

2017 ◽  
Vol 18 (1) ◽  
pp. 1-18 ◽  
Author(s):  
Alton Best ◽  
Brian M. Francis ◽  
C. Justin Robinson
Keyword(s):  
Economic Growth ◽  
Impulse Response ◽  
Response Function ◽  
Impulse Response Function ◽  
Variance Decomposition ◽  
Annual Data ◽  
Financial Deepening ◽  
The Real ◽  
Long Run ◽  
Out Of Sample

The paper empirically examines the question of whether bank liquid reserves to bank assets ratio and domestic credit to private sector as a percentage of GDP strengthens financial deepening on the real sector and hence catalyzes economic growth in Jamaica. A Granger causality approach is employed within a multivariate framework. Cointegration is used to examine the short- and long-run relationships within the model. Innovative accounting techniques (impulse response function and variance decomposition) are also utilized to determine the out-of-sample relation between financial deepening and economic growth. The empirical analysis is conducted with annual data from 1980 to 2014 with three proxies for financial deepening. The empirical evidence suggests a ‘supplying-leading’ relationship in both the short and long run. These results are confirmed by the innovation accounting techniques (impulse response function and the variance decomposition). Our findings imply that Jamaica should first concentrate on developing its financial sectors which has the potential to spur higher levels of economic growth in the real sectors of the economy.

Global Patents on 3D Printing: Revelations Based on Vector Autoregression Analysis for Three Decades

2016 ◽  
Vol 13 (06) ◽  
pp. 1750004 ◽  
Author(s):  
Rohit S. Kannattukunnel
Keyword(s):  
3D Printing ◽  
Impulse Response ◽  
Response Function ◽  
Time Series Data ◽  
Vector Autoregression ◽  
Impulse Response Function ◽  
Variance Decomposition ◽  
Series Data ◽  
Vec Model ◽  
The Government

Engineers and designers from automotive and aerospace sectors have been using 3D printing (3DP) for decades to build prototypes. However, 3DP became popular only recently. This paper is divided into three sections. Section 1 is introductory in nature, which deals with current trends, the modeling process of printing and deliberation on different categories of 3DP. Section 2 deals with the research methodology. An exquisite technique to study innovation dealing with time series data, called the vector autoregression (VAR), is performed to analyze the world patent data on 3DP, based on the information provided by the Government of UK and the International Monetary Fund (IMF). Section 3 attempts to forecast future trends on 3DP by using two techniques viz. impulse response function and variance decomposition. The VAR analysis performed revealed that GDP is not directly instrumental in the advancement in patenting of 3DP technology. Results captured by way of impulse response function suggest that when a shock is given to PR itself, it decreases sharply, whereas when a shock is given to investment, PR undergoes a steady decline. Thus, if there is any adverse shock imparted on investments, it directly reduces the patent ratio. Lastly, when an impulse is given to GDP, PR continuously increases, which implies that increase in GDP causes hike in investment which ultimately increases PR. The results of variance decomposition indicate that in the initial periods, PR itself explains the maximum variance, followed by the GDP and to the least by investment. The changes observed with the trend of explanatory character of variance imply that more investments in technology are instrumental in increasing patent ratio in the G7 countries as per the vector error correction (VEC) model developed here. Though during the nascent stage of emerging technologies investment in technology may not necessarily increase the patent ratio, the result obtained brings to light interesting insights.

scholarly journals World Oil Prices and Indonesia Macroeconomic

2015 ◽  
Vol 15 (1) ◽  
pp. 27
Author(s):  
M. Ichsandimas W. ◽  
Malik Cahyadin
Keyword(s):  
Exchange Rates ◽  
Real Exchange Rates ◽  
Impulse Response Function ◽  
Variance Decomposition ◽  
Oil Price ◽  
Positive Relation ◽  
Real Gdp ◽  
Vector Auto Regression ◽  
The Impact ◽  
Auto Regression

The goal of this study is to look at the relation and contribution value, while the impact of world oil price on the macroeconomic Indonesian form 1980 to 2010. This Study used Vector Auto Regression (VAR) method and tool of VAR used are Impulse Response Function (IRF) and Variance Decomposition. The results of study finds a positive relation and statistically significant impact of world oil price on inflation and real GDP Indonesian, but not significant and negative relation on real exchange rates. World oil price has contribution value on the inflation, real exchange rates, Indonesia real GDP after first period.

scholarly journals ANALISIS DAMPAK INVESTASI TERHADAP PEREKONOMIAN DAERAH: STUDI KASUS INVESTASI PERTAMBANGAN MINERAL LOGAM PROVINSI PAPUA

2020 ◽  
Vol 2 (1) ◽  
pp. 11-28
Author(s):  
Fadhila Achmadi Rosyid
Keyword(s):  
Impulse Response ◽  
Response Function ◽  
Vector Autoregression ◽  
Impulse Response Function ◽  
Variance Decomposition

Sektor pertambangan salah satunya dicirikan sebagai kegiatan yang padat modal. Biaya modal atau investasi dikeluarkan oleh pemilik Ijin Usaha Pertambangan mulai dari tahap penyelidikan umum sampai dengan beroperasinya kegiatan penambangan. Aktivitas investasi secara umum akan berdampak kepada masyarakat sekitar ataupun daerah karena meningkatkan kegiatan ekonomi dan kesempatan kerja, meningkatkan pendapatan nasional, dan meningkatkan taraf kemakmuran masyarakat. Dalam hal investasi di bidang pertambangan, penelitian ini akan mengevaluasi pengaruh investasi sektor pertambangan logam terhadap perekonominan di Provinsi Papua. Analisis dilakukan dengan metode Vector Autoregression (VAR) dengan memperhatikan Impulse Response Function (IRF) dan Variance Decomposition (VD) terhadap variabel-variabel sebagai berikut; investasi, pertumbuhan PDRB umum provinsi Papua, PDRB sektor pertambangan, PDRB sektor pertanian, PDRB sektor konstruksi, serta tenaga kerja pada sektor tersebut. Hasilnya menunjukkan investasi sektor pertambangan logam memberikan dampak yang positif terhadap PDRB total Provinsi Papua, PDRB sektor pertambangan dan pertanian, serta nilai tambah dalam hal tenaga kerja di sektor pertambangan. Respon negatif diberikan oleh PDRB sektor konstruksi karena peningkatan investasi dan PDRB sektor pertambangan. Sektor konstruksi diindikasi hanya memberikan dampak keterkaitan yang rendah kepada sektor yang lain dilihat dari kontribusi PDRB sektor tersebut terhadap pembentukan PDRB sektor pertanian yang rendah dan respon yang rendah dari PDRB sektor pertambangan.

scholarly journals Pengaruh Inflasi, Nilai Tukar Rupiah, Jumlah Uang yang beredar dan Jakarta Islamic Index (JII) terhadap Nilai Aktiva Bersih Reksadana Syariah

2017 ◽  
Vol 1 (1) ◽  
pp. 15-33
Author(s):  
Ulul Albab Badru Zaman
Keyword(s):  
Impulse Response ◽  
Response Function ◽  
Impulse Response Function ◽  
Variance Decomposition ◽  
Microsoft Excel ◽  
Vector Autoregressive

Penelitian ini bertujuan untuk mengetahui Pengaruh Inflasi, Nilai Tukar Rupiah, Jumlah Uang Beredar dan Jakarta Islamic Index (JII) terhadap Nilai Aktiva Bersih Reksadana Syariah selama periode Januari 2012-Desember 2015. Data yang digunakan dalam penelitian ini adalah data bulanan dari masing-masing variabel. Metode analisis yang digunakan dalam penelitian ini adalah Vector Autoregressive (VAR) dengan menggunakan Microsoft Excel 2010 dan Eviews versi 9.0. Hasil penelitian ini menemukan bahwa: (1) Berdasarkan uji Kausalitas Granger, tidak ada variabel yang menunjukkan hubungan kausalitas dua arah dengan NAB Reksadana Syariah. Akan tetapi, hanya variabel Kurs yang masih menunjukkan hubungan kausalitas satu arah dengan NAB Reksadana Syariah. (2) Berdasarkan uji Impulse Response Function, NAB Reksadana Syariah menunjukkan respons yang tidak stabil terhadap guncangan pada variabel Nilai Tukar Rupiah, Jumlah Uang Beredar dan Jakarta Islamic Index (JII) Akan tetapi, guncangan pada masing-masing variabel cenderung direspons secara positif oleh variabel NAB Reksadana Syariah. (3) Berdasarkan uji Variance Decomposition, variabel yang memberikan pengaruh guncangan terbesar yaitu variabel NAB Reksadana Syariah itu sendiri diikuti dengan Jakarta Islamic Index (JII), Jumlah Uang Beredar, Nilai Tukar Rupiah dan Inflasi.

scholarly journals PENGARUH PERTAMBAHAN KASUS COVID-19 ANTARA PROVINSI DKI JAKARTA DAN JAWA TIMUR MENGGUNAKANVECTOR AUTOREGRESSIVE

2021 ◽  
Vol 2020 (1) ◽  
pp. 146-151
Author(s):  
Adina Astasia ◽  
Surya Wagito ◽  
Fitri Bunga Adelia ◽  
You Ari Faeni
Keyword(s):  
Impulse Response ◽  
Response Function ◽  
Impulse Response Function ◽  
Variance Decomposition ◽  
Vector Autoregressive

Pertambahan kasus covid-19 di Jakarta dan Jawa Timur menjunjukkan tren yang saling berkesinambungan. Mobilitas penduduk yang tinggi merupakan salah satu faktor yang mempengaruhi penyebaran penyakit di berbagai wilayah. Charu (2017) melakukan studi mengenai penyebaran penyakit influenza di Amerika Serikat selama 2002-2010 dengan hasil bahwa setiap epidemi dapat dikaitkan dengan peristiwa penularan jarak jauh yang akan memicu transmisi selanjutnya. Penelitian ini bertujuan untuk mengetahui efek dinamika pertambahan kasus covid-19 di Jakarta dan Jawa Timur. Variabel yang digunakan pada penelitian ini adalah data pertambahan kasus covid-19 di Jakarta dan Jawa Timur dari @kawalcovid-19. Metode Vector Autoregressive (VAR) dengan Impulse Response Function (IRF) dan Variance Decomposition (VDC) dipilih karena mampu menjelaskan respon yang terjadi di suatu wilayah terhadap shock di wilayah itu sendiri dan wilayah lain. Penelitian ini membuktikan adanya pengaruh positif dan signifikan pertambahan kasus covid-19 di Jakarta terhadap pertambahan kasus covid-19 di Jawa Timur.

Environmental Pollution and Economic Growth

2014 ◽  
Vol 535 ◽  
pp. 340-345 ◽  
Author(s):  
Meng Li ◽  
Dan Wang
Keyword(s):  
Economic Growth ◽  
Environmental Pollution ◽  
Impulse Response ◽  
Impulse Response Function ◽  
Variance Decomposition ◽  
Important Variable ◽  
Western China ◽  
Response Analysis ◽  
Lag Effect ◽  
The One

This paper utilize generalized impulse response function of the VAR model and variance decomposition method to investigate the effects of long-term dynamic characteristics between environmental pollution indicators and GDP per capita in 11 provinces of western China in the 1992-2010.Impulse response analysis showed that:on the one hand economic growth is a major cause of environmental pollution.Environmental pollution on the other hand, economic growth, there are also a reverse effect.however, this force has a certain lag effect. Variance decomposition results show that although environmental pollutionis an important variable to forecast economic growth, the economic growth has little contribution to explain various types of environmental pollution predictor.

scholarly journals The Impact of Agricultural Exports on Economic Growth in Nigeria

2016 ◽  
Vol 64 (2) ◽  
pp. 691-700 ◽  
Author(s):  
Nahanga Verter ◽  
Věra Bečvářová
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Impulse Response ◽  
Response Function ◽  
Impulse Response Function ◽  
Agricultural Trade ◽  
Variance Decomposition ◽  
Ols Regression ◽  
Agricultural Exports ◽  
The Impact

Agriculture is the backbone of Nigeria’s socioeconomic development. This paper investigates the impact of agricultural exports on economic growth in Nigeria using OLS regression, Granger causality, Impulse Response Function and Variance Decomposition approaches. Both the OLS regression and Granger causality results support the hypothesis that agricultural exports- led economic growth in Nigeria. The results, however, show an inverse relationship between the agricultural degree of openness and economic growth in the country. Impulse Response Function results fluctuate and reveal an upward and downward shocks from agricultural export to economic growth in the country. The Variance Decomposition results also show that a shock to agricultural exports can contribute to the fluctuation in the variance of economic growth in the long run. For Nigeria to experience a favourable trade balance in agricultural trade, domestic processing industries should be encouraged while imports of agricultural commodities that the country could process cheaply should be discouraged. Undoubtedly, this measure could drastically reduce the country’s overreliance on food imports and increase the rate of agricultural production for self-sufficiency, exports and its contribution to the economic growth in the country.

scholarly journals Analisis Pengaruh Kebijakan Bank Konvensional terhadap Tingkat Keuntungan Bank Syariah

2021 ◽  
Vol 29 (1) ◽  
pp. 81-91
Author(s):  
Adina Astasia ◽  
You Ari Faeni
Keyword(s):  
Impulse Response ◽  
Market Share ◽  
Response Function ◽  
Impulse Response Function ◽  
Decomposition Analysis ◽  
Variance Decomposition ◽  
Return On Assets ◽  
Vector Autoregressive ◽  
Variance Decomposition Analysis

Perkembangan perbankan syariah di Indonesia sangat pesat beberapa tahun belakangan ini. Namun, market share perbankan syariah masih jauh di bawah harapan. Kajian-kajian teori sebelumnya menyatakan bahwa lingkungan persaingan antar bank, dalam hal ini bank konvensional dan bank syariah, sangat mempengaruhi kinerja bank syariah. Penelitian ini ingin mengetahui bagaimana pengaruh kebijakan bank konvensional yang digambarkan dengan tingkat suku bunga (SB) terhadap keuntungan bank syariah yang digambarkan dengan Return on Assets (ROA). Metode analisis yang digunakan adalah Vector Autoregressive (VAR) dengan tambahan analisis Impulse Response Function (IRF) dan Variance Decomposition Analysis (VDC). Hasil analisis menggunakan VAR (1) menyatakan bahwa terdapat pengaruh negatif signifikan pada ) jika terjadi shock pada tingkat suku bunga tabungan bank konvensional (SB). Kondisi ini sejalan dengan hasil penelitian  Haron dan Ahmad (2000); Haron (2004), serta Zainol dan Kassim (2012) yang mengemukakan bahwa apabila tingkat suku bunga tabungan bank konvensional meningkat, maka nasabah bank syariah akan beralih ke bank kovensional yang dianggap memberikan keuntungan lebih besar, sehingga keuntungan bank syariah mengalami penurunan. Hasil ini menunjukkan bahwa tidak semua konsumen bank syariah merupakan konsumen yang loyalis, perbankan syariah dituntut bertindak rasional, yaitu dengan cara menetapkan tingkat bagi hasil yang  kompetitif  terhadap  tingkat suku bunga bank konvensional.

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