scholarly journals Kondisi makroekonomi dan kinerja perbankan di Indonesia

2021 ◽  
Vol 16 (1) ◽  
pp. 11-28
Author(s):  
Irma Febriana Mk ◽  
Nurbetty Herlina Sitorus ◽  
Rizka Malia
Keyword(s):  
Error Correction ◽  
Industrial Production ◽  
Negative Relationship ◽  
Short Term ◽  
Vector Error Correction ◽  
Production Index ◽  
Vector Error ◽  
Industrial Production Index ◽  
Significant Negative Relationship

The purpose of this study was to see how the long-term and short-term relationship between banking performance and macroeconomic variables. The analysis method used is the vector error correction model (VECM) with the variables ROA, BOPO, LDR, industrial production index, CPI, and BI rate. The results of this study indicate that there is a significant positive relationship between ROA and industrial production index in the long run and a significant negative relationship between ROA and CPI in the long and short term. There is a significant negative relationship between BOPO and the industrial production index in the long and short term. LDR has a significant negative relationship with all macro variables in the long term whereas, in the short term, LDR has a significant negative relationship with the CPI.  Keywords: Banking performance, Macroeconomic, Vector error correction models

scholarly journals Pengaruh Variabel Makroekonomi terhadap Jakarta Islamic Index (JII) periode Januari 2004 Hingga Desember 2017

2020 ◽  
Vol 6 (2) ◽  
pp. 372
Author(s):  
Rubina Dwi Ghassani ◽  
Raditya Sukmana
Keyword(s):  
Exchange Rates ◽  
Money Supply ◽  
Industrial Production ◽  
Secondary Data ◽  
Stock Index ◽  
Vector Error Correction ◽  
Production Index ◽  
Vector Error ◽  
Industrial Production Index ◽  
Analysis Technique

This study aims to determine the effect of Macroeconomic Variables against the sharia stock index, Jakarta Islamic Index. The approach used is quantitative by using the Vector Error Correction Model (VECM) analysis technique with the STATA program. While the Exchange Rates, Industrial Production Index and Money Supply as dependent variables and Jakarta Islamic Index (JII) as the independent variable. Secondary data are used in this research from the official website of Bank Indonesia, Badan Pusat Statistik and Bursa Efek Indonesia. The results of the research shows that the Exchange Rates, Industrial Production Index and Money Supply partially has positive and significant influent against sharia stock index in Jakarta Islamic Index (JII)  di Jakarta Islamic Index on the research period is from 2004 to 2017.Keywords: Exchange Rates, Industrial Production Index, Money Supply and Jakarta Islamic Index (JII)

scholarly journals KETAHANAN PANGAN PENDUDUK DI PULAU JAWA: PENDEKATAN VECTOR ERROR CORRECTION MODEL

2020 ◽  
Vol 4 (1) ◽  
pp. 85-95
Author(s):  
I made Yoga Prasada ◽  
Moh Wahyudi Priyanto ◽  
Yahya Shafiyuddin Hilmi
Keyword(s):  
Food Security ◽  
Error Correction ◽  
Vector Error Correction Model ◽  
Short Term ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Per Capita ◽  
Beef Prices

Food security over the past few decades has been a hot topic discussed in Indonesia. Food security can indirectly reflect the level of welfare of a household in a region. Various factors can influence the level of food security, both in the short term and in the long term. Therefore, this research was conducted with the aim to find out the factors that influence the food security of the population in the short term and in the long term. The data used in this study are secondary data sourced from the Central Bureau of Statistics (BPS) in 2008-2017, namely data on food and non-food expenditure, real per capita income, agricultural land area, real sugar prices, real beef prices, and real rice prices. The data were analyzed using the VECM (Vector Error Correction Model) model. The results showed that in the short-term the factors that influence food security are income per capita real lag 1, real sugar prices lag 1, and real beef prices lag 1, while the factors that influence food security in the long-term are per capita income 1, agricultural area lag 1, real sugar 1 lag price, real beef price lag 1, and real rice price lag 1.

scholarly journals ANALYSIS OF JAPANESE TOURIST DEMAND TO BALI USING CO-INTEGRATION TEST AND VECTOR ERROR CORRECTION MODEL

2017 ◽  
Vol 1 (2) ◽  
pp. 151
Author(s):  
Ni Luh Putu Suciptawati ◽  
M Sianipar
Keyword(s):  
Error Correction ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Tourism Demand ◽  
Short Term ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Integration Test

This study was aimed to figure out of the long term and short term correlation between -tourism price and tourist income to the tourism demand of Japanese to Bali. Quarterly data from 2003-2016 were analyzed by cointegration test and Vector Error Correction Model (VECM). The result showed that there were both long term and short term balance among research variables. At long term, the tourist income has a positive influence on tourism demand and on the other hand the tourism price has a negative one. Meanwhile at the short term the tourist income has a negative influence on the tourism demand.

scholarly journals Analisis Dinamis Hubungan Antara Harga Saham dan Variabel Makroekonomi

2021 ◽  
Vol 4 (1) ◽  
pp. 77-90
Author(s):  
Paulina Harun
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Industrial Production ◽  
Stock Prices ◽  
Trade Balance ◽  
Short Term ◽  
Ardl Model ◽  
Production Index ◽  
Industrial Production Index

Previous research has proven the influence between interest rates, inflation, exchange rate, trade balance, industrial production index on stock prices. By using the Autoregressive Distributed Lag (ARDL) model approach and the 13 companies listed on the IDX, in this study, we will look deeper into the dynamics of long-term and short-term relationships for the aforementioned variables. The research period starts from January 2015 to December 2019, during which time there were many global upheavals that had a considerable impact on the Indonesian economy, through the ARDL model of interest rates, inflation, exchange rate, trade balance, industrial production index, and stock prices are proven to have long-term cointegration or move together in the long term. But not only in the long run, but these seven variables also have a dynamic short-term relationship that has a sufficient speed of adjustment towards equilibrium per month.

scholarly journals Dampak Makro Ekonomi dan Financial Performance Terhadap Market Share Perbankan Syari’ah di Indonesia

2020 ◽  
Vol 25 (1) ◽  
pp. 51
Author(s):  
Muh. K. Fatihin, Eko Siswahto, Sulistya Rusgianto, Nizar. H. Hadi
Keyword(s):  
Market Share ◽  
Industrial Production ◽  
Banking Sector ◽  
Domestic Product ◽  
Islamic Banking ◽  
Short Term ◽  
Production Index ◽  
Industrial Production Index ◽  
Banking Market

Islamic banking market share is the biggest contributor on the development of the Islamic financial market share. This study aims to comprehensively examine the sharia banking market share growth in short-term and long-term dynamic interactions. The independent variables used in this study are inflation, industrial production index (IPI), intrest rate, Return of Assets (ROA) and financing to Deposite Ratio (FDR). The method used is the Autoregressive Distributed Lag Model (ARDL) with monthly data from 2011-2018. The results of this study indicate that interest rates have a significant negative effect on Islamic banking market share in the short and long term. Meanwhile, inflation, ROA, FDR have a positive effect on the sharia banking market share in the short term. IPI's industrial production index as a proxy for domestic product (gross domestic product) has no short-term and long-term impact. The results of this study have important implications for the central bank and the banking sector.

scholarly journals Macroeconomic Determinants of Financial Distress in Turkey: An Econometric Analysis

2020 ◽  
Vol 14 (5) ◽  
pp. 86-107
Author(s):  
Arslan Ece ◽  
Güven Sayılgan
Keyword(s):  
Industrial Production ◽  
Financial Distress ◽  
Negative Sign ◽  
Macroeconomic Factors ◽  
Correction Model ◽  
Vector Error Correction ◽  
Production Index ◽  
Vector Error ◽  
Industrial Production Index ◽  
Macroeconomic Determinants

Purpose The purpose of this paper is to investigate the possible links between macroeconomic factors and financial distress in Turkey. Design/methodology/approach Based on the 2009/1-2016/2 quarterly data of macroeconomic factors and the number of filings for bankruptcy postponement, econometric models are developed using forward stepwise regression and classical regression methods to determine the factors influencing financial distress. A vector error correction model is also developed using macroeconomic factors found significant in both methods to investigate the interactions of financial distress with them. Findings In the stepwise regression implementation, performed with 16 independent variables, statistically significant variables entered into the model are industrial production index with negative sign as expected and the unemployment rate with negative sign against the expectations. In the classical regression implementation, performed with 7 independent variables, statistically significant variables are ex ante real interest rate with positive sign and gross domestic product with negative sign as expected and money supply with negative sign against the expectations. The impulse response graphics of a vector error correction model involving bankruptcy postponement, industrial production index and nominal interest rate indicates that bankruptcy postponement is influenced by the shocks both in itself and in industrial production index. Originality/value This is the first study in Turkey investigates macroeconomic determinants of financial distress.

HUBUNGAN ANTARA CONSUMPTION ABROAD (MODA 2) DENGAN COMMERCIAL PRESENCE (MODA 3) DI SEKTOR JASA PARIWISATA INDONESIA

2016 ◽  
Vol 10 (1) ◽  
pp. 45-62
Author(s):  
Muhammad Fawaiq
Keyword(s):  
Vector Error Correction Model ◽  
Short Term ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Mode 2 ◽  
Variable Mode ◽  
Causality Relationship ◽  
Mode 3

Penelitian ini bertujuan untuk menganalisis hubungan antara Moda 2 dan Moda 3 dalam perdagangan internasional di sektor jasa pariwisata. Metode penelitian yang digunakan dalam penelitian ini adalah Panel Vector Error Correction Model (VECM) Granger. Data yang digunakan adalah data kedatangan wisatawan mancanegara dan Foreign Direct Investment (FDI) jasa hotel dan restoran tahun 1997-2014 di Bali, Jakarta, Kepulauan Riau dan Sumatera Utara. Daerah-daerah ini berkontribusi sebesar 81,26% dari total kedatangan wisatawan mancanegara di Indonesia dan 68% terhadap total FDI di jasa hotel dan restoran Indonesia. Hasil penelitian menunjukkan bahwa tidak terdapat hubungan kausalitas jangka pendek antara kedua variabel tetapi terdapat hubungan jangka panjang satu arah yaitu variabel Moda 3 dipengaruhi oleh variabel Moda 2. Hasil pengujian pada gabungan antara jangka panjang dan jangka pendek menujukkan bahwa variabel Moda 3 secara kuat dipengaruhi oleh variabel Moda 2. Dengan demikian diketahui bahwa semakin banyak jumlah wisatawan mancanegara yang datang ke Indonesia maka akan mendorong meningkatnya FDI di jasa hotel dan restoran, tetapi meningkatnya FDI di jasa tersebut tidak signifikan berpengaruh terhadap masuknya jumlah wisatawan mancanegara. This paper examines the relationship between Mode 2 and Mode 3 of international trade in tourism sector. The method used is the Panel Vector Error Correction Model (VECM) Granger. The data used in this study were the number of foreign tourist arrivals and the Foreign Direct Investment (FDI) in some hotels and restaurants during 1997-2014 in Bali, Jakarta, Riau Islands and Nort Sumatera.These regions contributed for 81.26% out of the total tourist arrivals in Indonesia and 68% of the total FDI in the services of hotels and restaurants Indonesia. The results using VECM Granger demonstrated that there was no short-term causality relationship between these two variables but they had a long-term causality relationship that the Moda 3 was affected by the variable mode 2. Test results on a combination of long-term and short-term showed that the variable mode 3 was strongly influenced by variable mode 2. Thus, it is known that the more foreign tourists coming to Indonesia, the more FDI we gained from the service of hotels and restaurants, but this increase does not significantly affect the number of foreign tourists.

Measuring Dynamic Sales Impacts of LBA Using Wireless Communication Technology

2013 ◽  
Vol 662 ◽  
pp. 896-901
Author(s):  
Zong Jin Liu ◽  
Yang Yang ◽  
Zheng Fang ◽  
Yan Yan Xu
Keyword(s):  
Wireless Communication ◽  
Error Correction ◽  
Communication Technology ◽  
Dynamic Error ◽  
Rapid Development ◽  
Vector Autoregressive ◽  
Vector Error Correction ◽  
Vector Error ◽  
Equilibrium Relationship

Because of rapid development of wireless communication technology, there is an increasing adoption of mobile advertising, such as location based advertising (LBA). To what extent can LBA improve advertising effectiveness is an important topic in the field of wireless communication technology research. Most researches quantify long term impacts of advertisings by VAR (Vector Autoregressive) model. However, compared to VAR model, VECM (Vector Error Correction Model) is a better method in that it allows one to estimate both a long-term equilibrium relationship and a short-term dynamic error correction process. In this study, we employ VECM to explore LBA’s (Location Based Advertising) and PUA’s (Pop-up Advertising) sales impact in both short and long terms. The developed VECM reveals that LBA’s sales impact is about more than2 times as big as PUA’s in short dynamic term and nearly 6 times bigger than PUA’s in long equilibrium term. These findings add to advertising and VECM literatures. These results can give managers more confident to apply wireless communication technology to advertising.

ANALYSIS OF THE RELATIONSHIP BETWEEN ECONOMIC GROWTH, INFLATION AND UNEMPLOYMENT IN TURKEY WITH THE ARDL BOUNDS TESTING APPROACH

2021 ◽  
Vol 6 (15) ◽  
pp. 299-312
Author(s):  
Özlem KARADAĞ AK
Keyword(s):  
Economic Growth ◽  
Industrial Production ◽  
Consumer Price Index ◽  
Bounds Testing ◽  
Short Term ◽  
Production Index ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Industrial Production Index ◽  
Cointegration Relationship

The aim of this study is to examine the effects of economic growth and inflation on unemployment for the period 2005:1- 2020:9 in Turkey by using ARDL (Auto Regressive Distributed Lag) model. In the study, firstly unit root tests were carried out to determine whether economic growth (ind) and inflation (cpi) have long and short-term effects on unemployment (unemp). Then, the ARDL method was used to determine whether there is a long-term relationship between the series in the model where the unemployment rate is the dependent variable, the Industrial Production Index representing economic growth and the Consumer Price Index (CPI) representing inflation. Instead of GDP, the Industrial Production Index was preferred both to harmonize with the monthly data and to make a production-based analysis. As a result of the analysis, it was determined that there was a statistically significant cointegration relationship between the variables, and the short-term relationship was analyzed with the error correction model (ECM). As a result of the analysis, it has been determined that there is a cointegration relationship between unemployment, inflation rate and economic growth in Turkey. According to the results of the analysis, negative between unemployment and industrial production index; It is seen that there is a positive relationship between unemployment and inflation.

scholarly journals Macroeconomic Variables and Foreign Direct Investment Inflows in Turkey

2019 ◽  
Vol 8 (2) ◽  
Author(s):  
Saliha Meftah ◽  
Abdelkader Nassour
Keyword(s):  
Foreign Direct Investment ◽  
Direct Investment ◽  
Short Term ◽  
Causality Test ◽  
Correction Model ◽  
Vector Error Correction ◽  
Macroeconomic Variables ◽  
Vector Error ◽  
Causality Relationship

Foreign direct investment (FDI) is an essential factor in the development of a country. This study aims to examine what factors influence foreign direct investment. By using the vector error correction model, the research shows that there is a long-term causality relationship between exchange rates and inflation with FDI. However, in the short term, there are no variables that affect FDI. Besides, the Granger causality test shows causality in the direction of GDP and FDI, while other variables do not have causality. This research has implications for policymakers to pay attention to macroeconomic variables in increasing the flow of foreign direct investment.

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