scholarly journals Effect of Price Determinants on World Cocoa Prices for Over the Last Three Decades: Error Correction Model (ECM) Approach

2013 ◽  
Vol 29 (3) ◽  
Author(s):  
Lya Aklimawati ◽  
Teguh Wahyudi
Keyword(s):  
Exchange Rate ◽  
Gross Domestic Product ◽  
Error Correction ◽  
Error Correction Model ◽  
Domestic Product ◽  
Short Term ◽  
Correction Model ◽  
Significance Level ◽  
Long Run ◽  
Price Determinants

High  volatility  cocoa  price  movement  is  consequenced  by  imbalancing between power demand and power supply in commodity market. World economy expectation and market  liberalization would lead to instability on cocoa prices in  the  international  commerce.  Dynamic  prices  moving  erratically  influence the benefit  of market players, particularly  producers. The aim of this research is  (1)  to  estimate  the  empirical  cocoa  prices  model  for  responding  market dynamics and (2) analyze short-term and long-term effect of price determinants variables  on cocoa prices.  This research  was  carried out by  analyzing  annualdata from 1980 to 2011, based on secondary data. Error correction mechanism (ECM)  approach was  used  to  estimate the  econometric  model  of  cocoa  price.The  estimation  results  indicated  that  cocoa  price  was  significantly  affected  by exchange rate IDR-USD, world gross domestic product,  world inflation, worldcocoa production, world cocoa consumption, world cocoa stock and Robusta prices at varied significance level from 1 - 10%. All of these variables have a long run equilibrium relationship. In long run effect, world gross domestic product, world  cocoa  consumption  and  world  cocoa  stock  were  elastic  (E  >1),  while other  variables  were  inelastic  (E  <1).  Variables  that  affecting  cocoa  pricesin  short  run  equilibrium  were  exchange  rate  IDR-USD,  world  gross  domestic product,  world  inflation,  world  cocoa  consumption  and  world  cocoa  stock. The  analysis  results  showed  that  world  gross  domestic  product,  world  cocoa consumption  and  world  cocoa  stock  were  elastic  (E  >1)  to  cocoa  prices  in short-term.  Whereas,  the  response  of  cocoa  prices  was  inelastic  to  change  of exchange rate IDR-USD and world inflation.Key words: Price determinants, cocoa, Error Correction Model, demand, supply, stock

scholarly journals Determinan Ekspor Di Indonesia

2020 ◽  
Vol 4 (2) ◽  
pp. 307-317
Author(s):  
Fanny Septina
Keyword(s):  
Foreign Direct Investment ◽  
Exchange Rate ◽  
Gross Domestic Product ◽  
Error Correction ◽  
Direct Investment ◽  
Oil And Gas ◽  
Error Correction Model ◽  
Domestic Product ◽  
Correction Model ◽  
Us Dollar

ABSTRACTThis study aims to explore macroeconomic factors that affect non-oil and gas exports in Indonesia. The research data are non-oil and gas export data, Gross Domestic Product, inflation, US dollar exchange rate, foreign direct investment in the 2010-2019 period published by Bank Indonesia statistics. The research method uses the Vector Error Correction Model (VECM) analysis with the Augmented Dickey Fuller (ADF) stationary test, Johansen's cointegration test, Granger causality test, Error Correction Model. The results showed there was a cointegration relationship between all dependent and independent variables, a direct relationship with the US dollar exchange rate and inflation on Gross Domestic Product, Gross Domestic Product on exports. In the short term Gross Domestic Product, inflation, exchange rates, and foreign direct investment have no significant effect on non-oil and gas exports. In the long run, Gross Domestic Product has a significant effect on non-oil and gas exports.Keywords: non-oil export, macroeconomy, cointegration, causality, error correction model

scholarly journals The dynamic effect of exchange-rate volatility on Turkish exports: Parsimonious error-correction model approach

2015 ◽  
Vol 62 (4) ◽  
pp. 429-451 ◽  
Author(s):  
Erdal Demirhan ◽  
Banu Demirhan
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Exchange Rate Volatility ◽  
Dynamic Effect ◽  
Error Correction Model ◽  
Impulse Response Functions ◽  
Correction Model ◽  
Long Run ◽  
Export Volume ◽  
Short Run

This paper aims to investigate the effect of exchange-rate stability on real export volume in Turkey, using monthly data for the period February 2001 to January 2010. The Johansen multivariate cointegration method and the parsimonious error-correction model are applied to determine long-run and short-run relationships between real export volume and its determinants. In this study, the conditional variance of the GARCH (1, 1) model is taken as a proxy for exchange-rate stability, and generalized impulse-response functions and variance-decomposition analyses are applied to analyze the dynamic effects of variables on real export volume. The empirical findings suggest that exchangerate stability has a significant positive effect on real export volume, both in the short and the long run.

scholarly journals Analysis of Indonesian Tax Revenue

2017 ◽  
Vol 1 (01) ◽  
pp. 71
Author(s):  
Amalia Wijayanti ◽  
Firmansyah Firmansyah
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Government Spending ◽  
Inflation Rate ◽  
Correction Term ◽  
Error Correction Model ◽  
Tax Revenue ◽  
Correction Model ◽  
Long Run ◽  
Short Run

<p>This study analyzes the long-run and short-run effect of macroeconomic factors, such as real Gross Domestic Product (GDP), inflation rate, exchange rate and government spending on Indonesia’s tax revenue during 1976-2013, by utilizing the Error Correction Model (ECM). The finding of the study demontrates that in the long-run; the real GDP, exchange rate, and government spending affect Indonesia’s tax revenue, except the inflation rate. In short-run, Indonesia’s tax revenue statisically affected by government spending, while others variable do not influence Indonesia’s tax revenue. Error Correction Term (ECT) coefficient is 0.221, explains incompatibility tax revenue occur in long-run is corrected of 22 percent in one period.</p><p><br />JEL Classification: E01, E20, H20<br />Keywords: Error Correction Model, Macroeconomic, Tax revenue</p>

scholarly journals The Influence of Sharia Capital Market, Sharia Bonds (Sukuk), and BI Rate on Gross Domestic Products (GDP) in Indonesia

2020 ◽  
Vol 4 (2) ◽  
pp. 149-162
Author(s):  
Gebi Gita Marsi ◽  
Dyah Titis Kusuma Wardani
Keyword(s):  
Gross Domestic Product ◽  
Mutual Funds ◽  
Impulse Response Function ◽  
Domestic Product ◽  
Short Term ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Domestic Products

This study aims to determine what affect GDP (Gross Domestic Product) in constant Indonesian prices. The dependent variable used is GDP (Gross Domestic Product), and the independent variables are Islamic stocks, Islamic mutual funds, Islamic bonds (Sukuk), and the BI rate. The data used in this study are monthly during the period 2016: 1-2018: 12 sourced from OJK, BI, and Ministry of Home Affairs. The estimation tool used in this study is the Vector Error Correction Model (VECM) using E-views 7.0. Estimation results show that in the short term, the GDP variable (Gross Domestic Product) itself, Islamic stocks, BI rate, and Islamic mutual funds significantly affect GDP (Gross Domestic Product). In the long run, the estimation results show that sharia stock variables and sharia mutual funds have a significant effect on GDP (Gross Domestic Product). While the sharia bond variable (Sukuk) and the BI rate do not significantly affect GDP (Gross Domestic Product). VECM estimation results in this study also produce important Says, namely IRF (Impulse Response Function) and VDC (Variance Decomposition).

scholarly journals ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI UTANG LUAR NEGERI DI INDONESIA

Jurnal Ecogen ◽  
2019 ◽  
Vol 1 (3) ◽  
pp. 482
Author(s):  
Defrizal Saputra ◽  
Hasdi Aimon ◽  
Melti Roza Adry
Keyword(s):  
Economic Growth ◽  
Interest Rates ◽  
Error Correction ◽  
Foreign Debt ◽  
Secondary Data ◽  
Error Correction Model ◽  
Short Term ◽  
Correction Model ◽  
Descriptive Research ◽  
Long Run

This study aims to determine and analyze the factors that influence foreign debt in Indonesia with variables that effect economic growth, inflation, and foreign interest rates. This type of research is associative descriptive research, where the data used is secondary data from 1970 to 2017 obtained from institutions and related institutions, which are analyzed using the Error Correction Model (ECM) method. This study initially used the Ordinary Lest Square (OLS) method to see long-term, and used ECM because it wanted to see short-term at the same time. The findings of this study indicate that economic growth and inflation have a significant effect in the long run, but the interest rates have no significant effect, and in the short term all have a significant effect on foreign debt in Indonesia. Keywords: foreign debt, economic growth, inflation, interest rates and error correction model (ECM)

scholarly journals 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)

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.

scholarly journals Analysis of The Effect of Gross Domestic Product, Exchange Rate, and Inflation on Balance of Payments in Indonesia

2019 ◽  
Vol 6 (10) ◽  
pp. 361-374
Author(s):  
Muammar Rinaldi ◽  
Shinta Arida Hutagalung ◽  
Muhammad Fitri Rahmadana
Keyword(s):  
Exchange Rate ◽  
Gross Domestic Product ◽  
Error Correction ◽  
Balance Of Payments ◽  
Domestic Product ◽  
Short Term ◽  
Independent Variables ◽  
Distributed Lag ◽  
The Exchange Rate

This study aims to analyze the effect of the short and long term gross domestic product, exchange rate, and inflation on Indonesia's balance of payments. The data used in this study are secondary data which is obtained indirectly with the period of 1995 to 2015. Data sources were obtained from Bank Indonesia and the Central Bureau of Statistics. The data collection method used in this study with the indirect method is documentation through recording or copying data from Bank Indonesia and the Central Bureau of Statistics. The analysis model used is Error Correction Mechanism (ECM). The results of this study indicate that the regression model of the Autoregressive Distributed Lag Model (ARDL) for the long term and Error Correction Model (ECM) regarding the effect of independent variables such as Interest Rates, Gross Domestic Product and Inflation Against the Dependent dependent variable in Indonesia, then it can some conclusions are presented, namely from several independent variables that are tried and included in the savings equation in Indonesia using the Autoregressive Distributed Lag Model (ARDL) for the long term and Error Correction Model (ECM) for the short term, namely the gross domestic product variable, the inflation rate, and exchange rate. In the long run there are 2 (two) significant variables, namely gross domestic product and the exchange rate. While inflation is not significant. For the short term, there is 1 (one) significant variable, namely the exchange rate. Thus, only exchange rate variables are significant in both the short and long term. With only 1 (one) significant independent variable both in the long term and short term, it can be concluded that the exchange rate in the long term and short term is the main determining factor that affects the Balance of Payments in Indonesia. In the long run, Independent variables such as Gross Domestic Product and the exchange rate on the dependent variable Balance of Payments in Indonesia have a significant effect on the dependent variable Balance of Payments. Whereas in the short run, the exchange rate variable has a significant effect, and for other independent variables such as the GDP variable and the inflation rate does not have a significant effect.

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.

scholarly journals Evaluating the Persistence of j Curve Phenomenon in the Bilateral Trade between Bangladesh and USA: The ARDL Bounds Testing Approach and Granger Causality Analysis

2021 ◽  
pp. 74-81
Author(s):  
Subroto Dey ◽  
Homamul Islam
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Granger Causality ◽  
Trade Balance ◽  
Error Correction Model ◽  
Correction Model ◽  
Long Run ◽  
J Curve ◽  
The Usa ◽  
Short Run

Most of the previously examined studies that investigated the repercussion of the trade balance to exchange rate mutation relied on the assumption that appreciation and depreciation behave symmetrically, recently several works have been conducted using the asymmetric analysis. In this work, we exhibited a model employing the disaggregated data (bilateral) of trade balance with the USA. In our pursuit, we endeavored to disclose a phenomenon of the J curve, is this pattern present in our trade balance and exchange rate bearing? In this article, first, we checked the stationary of data set and discovered the stationary employing the Augmented Dickey-Fuller test, Phillips Peron then applying the ARDL bounds test of cointegration apropos to find out the long run co integrated equations and last of all, tried to investigate the short-run and long-run relationship among the variables, while we used the ECM (error correction model). The Toda-Yamamoto Procedure for Granger Causality in a VAR framework has been applied to detect the causal direction. In our model, we have blazoned the negative short-run rapport between the exchange rate and trade balance in the bilateral data, whereas we have remarked a discrepant bearing in the long run and we did receive the evidence of the appearance of j pattern in the relationship between exchange rate and trade balance. Dispensing the error correction model, we found domestic higher price level hinders the trade balance in the short run, did not find any evidence of foreign income stimulate the export. Toda-Yamamoto Procedure for Granger Causality reveals the unidirectional causal effect from exchange rate to trade balance of Bangladesh with the USA.

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