scholarly journals Does the Repurchase Rate Affect Inflation in South Africa? An Empirical Analysis Using an Impulse Response Function

2014 ◽  
Vol 6 (7) ◽  
pp. 524-531
Author(s):  
Temitope L.A. Leshoro
Keyword(s):  
Impulse Response ◽  
Response Function ◽  
Inflation Rate ◽  
Structural Break ◽  
Impulse Response Function ◽  
Policy Instrument ◽  
Causality Test ◽  
Vector Autoregressive ◽  
Reserve Bank ◽  
Repo Rate

The repurchase rate (repo rate) is the most common monetary policy instrument that the South African Reserve Bank (SARB) uses to control inflation and endeavours to keep it within the inflation target band of 3% to 6%. This study examines the effect of the repo rate on inflation rate along with other variables using the Impulse-Response Function (IRF) of a Vector Autoregressive (VAR) technique. This study uses quarterly data spanning over the period 1980Q2 to 2013Q3. The response of a shock in repo rate on inflation rate and vice versa is generally positive. The results show that given one standard deviation shock in the repo rate, inflation rate will initially increase up until the second quarter after which it starts to decline, and increases again in the fifth quarter. The results obtained from the VAR granger causality test show that repo rate leads the gross domestic product (GDP) growth and inflation rate. There is bidirectional causality between inflation and repo rate; and the result is the same, even after structural break was accounted for. The VAR shows no evidence of instability and autocorrelation, hence the results are reliable. The study suggests some policy recommendations.

scholarly journals Investments, Economic Growth and Employment: VAR Method for Romania

2019 ◽  
Vol 14 (2) ◽  
pp. 231-244
Author(s):  
Vodă Alina Daniela ◽  
Duguleană Liliana ◽  
Dobrotă Gabriela
Keyword(s):  
Economic Growth ◽  
Impulse Response ◽  
Response Function ◽  
Negative Relationship ◽  
Impulse Response Function ◽  
Economic Life ◽  
Fiscal Policies ◽  
Causality Test ◽  
The Sustainable Development ◽  
Vector Autoregressive

Abstract Economic growth can be seen as an effect of both fiscal policies and different legislative norms applied at national and macroeconomic level. Investments are a determining factor in the evolution of socio-economic life, influencing also the employment rate. This paper aims to identify the influence of investments on economic growth and employment using the vector autoregressive model (VAR). Based on the quarterly data from Romania, between the first quarter of 2000 and the second quarter of 2018, the Granger causality test and the impulse - response function was applied to identify the effect of the investments on the sustainable development of the Romanian economy. The results revealed that investments in Romania influence the economic growth and, implicitly, the employment. In terms of impulse – response function, a negative relationship between investment and employment was identified, which may be due to the fact that the need for human resources is no longer a priority in some sectors of activity due to technology.

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.

scholarly journals Market Integration and Causality: An Application to the Major Apple Markets in India

2021 ◽  
Vol 66 (1) ◽  
Author(s):  
Shilpa S
Keyword(s):  
Impulse Response ◽  
Response Function ◽  
Market Integration ◽  
Impulse Response Function ◽  
Price Transmission ◽  
Fruit Crops ◽  
Causality Test ◽  
Additional Information ◽  
Major Implication ◽  
The Government

Market integration and prices of fruit crops such as apple play an important role in determining the production decisions of apple farmers. In this context, the present study examines the degree of spatial market integration and price transmission across five major apple markets of the country, viz. Shimla, Chandigarh, Delhi, Bengaluru and Mumbai by adopting Johansen’s Cointegration Test, Grangers Causality and Impulse Response Function. The outcomes of the study strongly buttress the cointegration and interdependence of the apple markets in India. To get additional information on whether and in which direction price transmission is occurring between market pairs, Ganger’s Causality Test has been used, which has confirmed Shimla to be the price determining market as it has causal relations with all the selected markets. The Impulse Response Function supported that all the selected markets responded well to standard deviation shock given to any other market. The major implication of the study is further improvement in market integration situation through dissemination of price and arrival data efficiently and developing communication means with in the markets by the government.

scholarly journals Effect Of Oil Prices On Food prices: Time Series Analysis Using Vector Autoregressive (VAR) Model

2020 ◽  
Author(s):  
Sassi Mohamed Taher
Keyword(s):  
Impulse Response ◽  
Impulse Response Function ◽  
Commodity Prices ◽  
Oil Prices ◽  
Food Prices ◽  
Estimation Methods ◽  
Short Term ◽  
Causality Test ◽  
Vector Autoregressive ◽  
Rice Prices

This study examines the effect of oil prices on food prices using worldwide monthly data covering crude oil prices wheat, soybeans and rice prices from 08.2013 until 06.2017 from World-Bank-Database 2017. It specifically considers the identification of the short-term causal relationship between oil and the selected commodity prices using the Vector-Autoregressive-Model as main model and its post-estimation methods, Granger-Causality-Test and Impulse response function. The results show that there is no long run relationship between the variables but a significant causal short-term relationship between oil prices and wheat prices is confirmed. The impulse response results after a simulated shock on oil prices showed mainly negative response of soybeans prices a and persistent increase on wheat prices, for the rice prices response there was a slight increase on rice prices after the shock of oil prices. This research targets the detection of one influencing factor to food prices in order to support food security. To achieve this objective and recommend solutions research needed to further investigate the interaction of food prices with other variables.

scholarly journals Metode Vector Autoregressive (VAR) dalam Menganalisis Pengaruh Kurs Mata Uang Terhadap Ekspor Dan Impor Di Indonesia

2021 ◽  
Vol 3 (1) ◽  
pp. 23
Author(s):  
Dwi Reskiyani Febrianti ◽  
Muhammad Arif Tiro ◽  
S. Sudarmin
Keyword(s):  
Impulse Response ◽  
Response Function ◽  
Akaike Information Criterion ◽  
Impulse Response Function ◽  
Information Criterion ◽  
Vector Autoregressive ◽  
Augmented Dickey Fuller

Abstrak. Metode Vector Autoregressive (VAR) adalah salah satu analisis yang digunakan untuk menganalisis data deret waktu. Data deret waktu dikategorikan menurut interval waktu yang sama, baik dalam harian, mingguan, bulanan, kuartalan, ataupun tahunan. Vector Autoregressive (VAR) merupakan pemodelan yang tidak perlu menentukan variabel endogen dan variabel eksogen. Tujuan dari penelitian ini adalah untuk mengetahui pengaruh kurs mata uang terhadap ekspor dan impor di Indonesia. Data yang digunakan dalam penelitian ini adalah data kurs, ekspor, dan impor dari bulan Januari 2014 hingga Desember 2018. Uji stasioneritas dalam penelitian ini menggunakan metode Augmented Dickey Fuller (ADF). Dalam penelitian ini menggunakan differencing terhadap data karena data tidak stasioner pada level. Penentuan panjang lag optimal diperoleh dari nilai Akaike Information Criterion (AIC) yang paling minimum. Estimasi model VAR diperoleh setelah penentuan panjang lag optimal. Uji kausalitas dilakukan dengan uji Causality Granger untuk melihat pengaruh timbal balik antar variabel yang diuji dalam penelitian ini. Terakhir menggunakan uji Impulse Response Function (IRF) untuk menelusuri guncangan atau shock suatu variabel terhadap variabel lainnya. Adapun hasil analisis yang diperoleh menunjukkan terdapat dua hubungan satu arah yaitu kurs mempengaruhi ekspor dan ekspor mempengaruhi impor.Kata Kunci: VAR, Kurs, Ekspor, Impor.

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.

scholarly journals The Response of Performance to Merger Strategy in Indonesian Banking Industry: Analyses on Bank Mandiri, Bank Danamon, and Bank Permata

2010 ◽  
Vol 12 (2) ◽  
pp. 231
Author(s):  
Murti Lestari ◽  
Lincolin Arsyad
Keyword(s):  
Mergers And Acquisitions ◽  
Impulse Response ◽  
Response Function ◽  
Structural Breaks ◽  
Banking Industry ◽  
Structural Break ◽  
Impulse Response Function ◽  
Analysis Method ◽  
Stable Position ◽  
Performance Response

This study analyzes the responses of performances of BankMandiri, Bank Danamon, and Bank Permata to merger strategy.This paper harnesses the quantitative approach with structuralbreak analysis method and impulse response function. Theplausible findings indicate that the merger of Bank Permataproduces a better performance response in comparison to theconsolidation of Bank Mandiri and the merger of Bank Danamon.The merger of Bank Permata does not result in performanceshocks, and the structural break does not prevail either. On theother hand, the consolidation of Bank Mandiri and the mergerof Bank Danamon result in structural breaks, particularly in thespread performance. In order to return to the stable position, themergers of Bank Mandiri and Bank Danamon require a longertime than does the merger of Bank Permata. This researchindicates that for large banks, the mergers and acquisitions(retaining one existing bank) will deliver a better performanceresponse than will the consolidations (no existing bank).Keywords: impulse response function; merger; structural break

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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