scholarly journals Obligasi Bencana Alam Dengan Suku Bunga Stokastik Dan Pendekatan Campuran

2016 ◽  
Vol 7 (1) ◽  
pp. 49-62
Author(s):  
Dian Anggraini ◽  
Yasir Wijaya
Keyword(s):  
Interest Rates ◽  
Natural Disaster ◽  
Financial Risk ◽  
Bond Price ◽  
Federal Reserve Bank ◽  
Aggregate Distribution ◽  
Disaster Loss ◽  
Reserve Bank ◽  
Mixed Approach ◽  
The Impact

This study contains the group claims model as discussed by (Lee, 2007)  for the pricing of natural disaster bonds. This research was conducted with several stages. First make the formula of bond price with stochastic interest rate and disaster event following non homogeneous poisson process. It further estimates the parameters of disaster loss data from the Insurance Information Institute (III) from 1989 to 2012 and interest rates from the Federal Reserve Bank. Because the determination of aggregate distribution is difficult to be exact, numerical calculation is done by mixed approach method (Gamma and Inverse Gaussian) to determine the solution of natural disaster bond price. Finally, shows how the impact of financial risk and disaster risk on the price of natural disaster bonds.

Strategi Pengelolaan Risiko dan Peningkatan Kualitas Pengelolaan Kas Negara

2017 ◽  
Vol 2 (2) ◽  
pp. 43-54
Author(s):  
Agung Mulyono
Keyword(s):  
Interest Rates ◽  
Financial Risk ◽  
Vector Autoregression ◽  
Secondary Market ◽  
Key Factors ◽  
Bond Price ◽  
Hedging Strategy ◽  
Foreign Loan ◽  
Term Operation ◽  
Loan Interest Rates

Cash management is  one of treasury’s main functions in which has a potential financial risk. A potential financial risk emerges when State Treasurer manages cash surplus and or/ shortages in order to maintain optimum liquidity. By applying Vector Autoregression (VAR) system on empirical data provided by Bank Indonesia and the Ministry of Finance of Indonesia, we found that currency value  flunctuation is a significant factor for repayment value of foreign loan. Interest rates and amount of government’s bond held by foreign investors are also variables impacted on government’s bond price movement in secondary market. Currency value  flunctuation and price of government’s bond in secondary market are the key factors that have to be considered by State Treasurer (BUN) in managing state’s money. Hedging strategy by using derivatif product is possible to be utilized by State Treasurer (BUN) due to it’s flexibility for short-term operation.   Abstrak Pengelolaan kas negara merupakan salah satu fungsi pokok perbendaharaan yang dalam proses pelaksanaannya menyimpan potensi berbagai risiko keuangan. Risiko keuangan, khususnya dalam investasi berpotensi muncul ketika Bendahara Umum Negara (BUN) melakukan kegiatan pengelolaan kelebihan dan/ kekurangan kas dalam rangka menjamin ketersediaan dan optimalisasi kas. Dengan menggunakan analisis Vector Autoregression (VAR) atas data empiris yang diperoleh dari Bank Indonesia dan Kementerian Keuangan Indonesia, penulis menemukan bahwa fluktuasi nilai tukar mata uang merupakan faktor yang signifikan terhadap besaran pembayaran utang luar negeri pemerintah. Tingkat suku bunga acuan dan pergerakan besaran kepemilikan SUN oleh investor asing juga merupakan variabel yang berpengaruh terhadap pergerakan harga SUN di pasar sekunder. Fluktuasi nilai tukar mata uang dan pergerakan harga SUN di pasar sekunder menjadi faktor penting dalam pelaksanaan investasi yang dilakukan BUN dalam rangka pengelolaan kelebihan dan/ kekurangan kas. Berdasarkan hasil tersebut, strategi pengelolaan risiko atau hedging dengan menggunakan produk-produk derivatif dalam pengelolaan kelebihan dan/ kekurangan kas jangka pendek – menengah sangat dimungkinkan karena sifat instrumen derivatif yang fleksibel.

scholarly journals ANALYSIS OF IMPACT OF YIELD, INTEREST RATES, U.S FED RATES, AND INFLATION ON PRICE OF GOVERNMENT BONDS IN INDONESIA

2020 ◽  
Vol 6 (2) ◽  
pp. 59-74
Author(s):  
Antonius Siahaan ◽  
Julius Peter Panahatan
Keyword(s):  
Emerging Markets ◽  
Interest Rates ◽  
Federal Reserve ◽  
Emerging Market ◽  
Bond Prices ◽  
Government Bonds ◽  
Federal Reserve Bank ◽  
Reserve Bank ◽  
Critical Issues ◽  
Negative Effect

Global factors are increasingly important as a cause of international capital flows. It is almost impossible for emerging markets to protect themselves from external influences on their financial markets. Indonesia as emerging market is influenced by some monetary policies adopted by the U.S Federal Reserve Bank. The plan of tapering and Fed rate increase adopted by the Federal Reserve Bank in the last three years made local currencies turned into the depreciation stage, increasing capital outflow from emerging markets. It created huge impact on government bond prices in Indonesia and can be seen through the relationship of some factors with bond prices. This research analyzes the impacts of BI rates, Fed rates, and inflation rates on six government bonds classified into three periods during November 2013 to October 2016 when tapering and Fed rates became critical issues. It finds that in all periods bond prices are significantly influenced by only BI rates, but BI rates, Fed rates and inflation rate have negative effect on bond prices during the observation period.

scholarly journals ANALISIS DAMPAK KEBIJAKAN PENYALURAN KREDIT KEPADA UMKM TERHADAP PERTUMBUHAN KREDIT DI PROVINSI SULAWESI UTARA

2019 ◽  
Vol 20 (2) ◽  
pp. 1
Author(s):  
James Jollen Lumintang ◽  
Vekie A. Rumate ◽  
Debby Ch. Rotinsulu
Keyword(s):  
Interest Rates ◽  
Financial Risk ◽  
Linear Regression Analysis ◽  
Simple Linear Regression ◽  
Credit Growth ◽  
Business World ◽  
North Sulawesi ◽  
Important Challenge ◽  
The Government ◽  
The Impact

ABSTRAK Dunia usaha tidak terlepas dari turbulensi dan resiko keuangan, dalam perkembangan UMKM resiko menjadi lebih tinggi karena aset yang kecil membuat dana usaha habis dalam pembayaran kewajiban kredit, terutama saat inflasi dan suku bunga tinggi. Kenaikan inflasi dan suku bunga akan membuat biaya keuangan dalam usaha semakin tinggi, sehingga dapat berpengaruh pada kelangsungan usaha. Selain itu, permodalan merupakan tantangan yang paling penting dalam usaha pengembangan UMKM. Faktor modal bagi UMKM menjadi penting, sebab UMKM seringkali mendapatkan peluang usaha yang cukup besar. Namun, kondisi permodalan yang minim membuat UMKM tidak dapat mengembangkan usahanya lebih jauh lagi. Peranan penting lainnya adalah UMKM mendorong munculnya wirausaha-wirausaha baru. Wirausaha memiliki dua fungsi dalam perekonomian suatu negara yaitu fungsi makro dan mikro serta menengah. Tujuan penelitian ini adalah untuk mengetahui pengaruh Kebijakan Dampak Penyaluran Kredit Kepada UMKM berpengaruh terhadap pertumbuhan Kredit di Provinsi Sulawesi Utara.Penelitian menggunakan penelitian assosiatif dengan teknik analisis data menggukana analisis regresi linier sederhana. Hasil penelitian menunjukkan bahwa Kebijakan penyaluran kredit tidak berpengaruh terhadap pertumbuhan kredit UMKM di Sulawesi Utara. Saran yang dapat diberikan adalah Bank Indonesia perlu menurunkan tingkat bunga kredit agar pertumbuhan kredit dapat mengalami peningkatan, Pihak bank sebaiknya memberikan kelonggaran untuk kredit UMK, Pemerintah sebaiknya membantu dalam hal memberikan modal bagi UMKM dan membuka akses UMKM untuk mendapatkan modal usaha Kata kunci : kebijakan kredit, pertumbuhan kredit  ABSTRACT The business world is inseparable from turbulence and financial risk, in the development of MSMEs the risk is higher because small assets make business funds run out in payment of credit obligations, especially when inflation and high interest rates. The increase in inflation and interest rates will make the financial costs of the business higher, so that it can affect the sustainability of the business. In addition, capital is the most important challenge in developing MSMEs. The capital factor for MSMEs is important, because MSMEs often get considerable business opportunities. However, the lack of capital makes the MSMEs unable to expand their business further. Another important role is that MSMEs encourage the emergence of new entrepreneurs. Entrepreneurship has two functions in the economy of a country, namely macro and micro and medium functions. The purpose of this study was to determine the effect of the Impact Policy on Credit Distribution to MSMEs affecting the growth of Credit in North Sulawesi Province.The study used associative research with data analysis techniques using simple linear regression analysis. The results showed that the credit distribution policy did not affect the growth of MSME loans in North Sulawesi. The advice that can be given is that Bank Indonesia needs to reduce the loan interest rate so that credit growth can increase. Banks should provide concessions for MSE loans. The government should help in providing capital for MSMEs and open access for MSMEs to obtain business capital. Keywords: credit policy, credit growth

scholarly journals Stress, Contagion, and Transmission: 2020 Financial Stability Conference

2021 ◽  
pp. 1-5
Author(s):  
Joseph G. Haubrich
Keyword(s):  
Federal Reserve ◽  
Financial Stability ◽  
Financial System ◽  
Major Focus ◽  
Research Papers ◽  
Federal Reserve Bank ◽  
Reserve Bank ◽  
Financial Research ◽  
The Impact

Once a year, financial system regulators and economists meet to present and discuss the latest research on financial stability at a conference sponsored by the Federal Reserve Bank of Cleveland and the Office of Financial Research. The major focus of discussion during the 2020 conference was the impact of the COVID-19 pandemic on the financial system. This Commentary summarizes the ideas and insights presented in the research papers and keynote speeches.

scholarly journals Why Are Interest Rates So Low?

2013 ◽  
pp. 1-4
Author(s):  
Joseph G. Haubrich
Keyword(s):  
Interest Rates ◽  
Recent Work ◽  
Federal Reserve ◽  
Federal Reserve Bank ◽  
Reserve Bank ◽  
Work Done ◽  
Near Future

Interest rates have been at historical lows for some time now. There are many possible reasons why that is so. We make use of recent work done at the Federal Reserve Bank of Cleveland that allows us to look at individual components of interest rates and see which are exerting the biggest influence. Knowing why rates are where they are now helps to predict where interest rates will likely be in the near future.

scholarly journals The Spillover Effects of Fed’s Policies with Emphasis to the Fragile Five

2014 ◽  
Vol 6 (12) ◽  
pp. 1011-1020
Author(s):  
Mehmet ORHAN ◽  
Halil İbrahim ÇELİKEL .
Keyword(s):  
Interest Rates ◽  
Foreign Exchange ◽  
Federal Reserve ◽  
Stock Exchange ◽  
Spillover Effects ◽  
Wall Street ◽  
Federal Reserve Bank ◽  
Reserve Bank ◽  
Almost All

Since the Bretton Woods Agreement, the U.S. dollar has played the role of dominant global currency. As a result, the Federal Reserve Bank has many privileges such as the ability to run trade deficits without foreign exchange reserves. In the world, foreign exchange rates of currencies are quoted against the dollar, and majority of currency trading involves the dollar. Besides, international trade in primary commodities, such as oil, wheat, gold and coffee are bought and sold in U.S. dollar. The central banks of countries hold major positions of their international reserves in dollars. Any changes in its interest rates automatically alter the revenues of all world assets. With deregulated financial markets, the spillover effects of the Federal Reserve Bank’s decisions have increased. In this paper, we examine the impacts of Federal Reserve Bank policies over the Fragile Five that is a sub group of the weaker emerging markets namely Brazil, India, Indonesia, South Africa and Turkey. We are mainly focusing on the consequences of changes in Fed’s policies on the fragile five’s basic indicators; exchange rate, interest rate, and the stock exchange indices. All Fragile Five currencies have been depreciated by about 10 to 25% after the Fed tapering decisions. In addition we test for mean and volatility spillover of Wall Street on stock exchange indices of the Fragile Five in GARCH in mean framework and document the existence of such spillovers in almost all cases.

Monetary Policy Transmission in India

2019 ◽  
pp. 83-123
Author(s):  
K. Kanagasabapathy ◽  
Rekha A. Bhangaonkar ◽  
Shruti J. Pandey
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Policy Framework ◽  
Real Sector ◽  
Policy Cycle ◽  
Liquidity Management ◽  
Reserve Bank ◽  
Policy Transmission ◽  
Repo Rate ◽  
The Impact

K. Kanagasabapathy, Rekha A. Bhangaonkar, and Shruti Pandey address the issue whether the rate and quantum channels were complementary to each other over the period April 2001 to December 2017. Reserve Bank of India’s (RBI) monetary policy framework is characterized by use of multiple instruments combining adjustments in policy rate with a complex use of liquidity management operations, despite changes in the functioning of the monetary policy. They study easing and tightening phases of the policy cycle and bring out stylized facts on several relationships highlighting the impact of policy rate changes and liquidity conditions on short and medium term market interest rates and output and prices. An empirical analysis confirmed the linkage between the repo rate and the market related rates. On the quantum side, a bi-causal relationship is observed between repo and liquidity. Money and financial transmission market transmission is better established than that to the real sector. Shruti Pandey and K. Kanagasabapathy have worked on the revised version for the new edition.

The natural disaster damage assessment of Sichuan province based on grey fixed-weight cluster

2016 ◽  
Vol 6 (3) ◽  
pp. 415-425 ◽  
Author(s):  
Tianxiang Yao ◽  
Wenrong Cheng ◽  
Hong Gao
Keyword(s):  
Natural Disasters ◽  
Natural Disaster ◽  
Sichuan Province ◽  
Economic Losses ◽  
Grey System ◽  
Content Type ◽  
Disaster Loss ◽  
Fixed Weight ◽  
Major Disaster ◽  
The Impact

Purpose The purpose of this paper is to assess the natural disaster damage of Sichuan province and provide suggestions to prevent or decrease the loss owing to the natural disaster. Design/methodology/approach The disaster loss system of Sichuan is regarded as a grey system. Five evaluation indicators are selected such as the number of deaths, total affected area, collapsed houses, damaged houses, and the direct economic losses. Grey fixed-weight clustering approach is applied in the cluster analysis. In order to reduce the impact of human factors, grey correlation analysis method is applied to calculate the weights of grey fixed-weight clustering. Findings The results of this paper indicate that the frequency of occurrence of major natural disaster in Sichuan increased since 2008. The major natural disasters occurred in 2008, 2010, 2011, and 2013. In contrast, there was almost no major disaster during 2000-2007. Minor natural disaster occurred in 2002 and 2003. Practical implications Sichuan province is one of the provinces most affected by natural disasters in China. Natural disasters have occurred frequently in Sichuan province since 2008 and pose serious threats to life and property safety. They have become an important restricting factor for economic and social development. In order to prevent or decrease the effects of natural disasters, effective measures should be taken to protect the environment. Originality/value This paper first normalizes the raw sequence, calculates the weight, and then establishes the grey cluster model. A new method is applied to determine the weight when evaluating natural disaster damage.

DAMPAK KEBIJAKAN FISKAL TERHADAP KINERJA SEKTOR PERTANIAN DI SULAWESI TENGGARA

2017 ◽  
Vol 1 (1) ◽  
Author(s):  
La Ode Jabuddin ◽  
Ayub M Padangaran ◽  
Azhar Bafadal Bafadal
Keyword(s):  
Fiscal Policy ◽  
Interest Rates ◽  
Agricultural Sector ◽  
Simultaneous Equations ◽  
Poor People ◽  
Land Area ◽  
Factors Affecting ◽  
Historical Simulation ◽  
The Impact ◽  
Direct Expenditure

This study aims to: (1) Knowing the dynamics of fiscal policy and the performance of the agricultural sector, (2) Analyze the factors that influence fiscal policy and the performance                   of the agricultural sector, and (3) Analyzing the impact of fiscal policy on the performance of the agricultural sector. The data used in this study were pooled 2005-2013 data in the aggregate. Econometric model the impact of fiscal policy on the performance of the agricultural sector is built in the form of simultaneous equations, consisting of 7 equations with 25 total variables in the model, 7 endogenous variables, 12 exogenous variables, and 6 variables lag. The model is estimated by 2SLS method SYSLIN procedures and historical simulation with SIMNLIN procedure.The results showed that: (1) The development of fiscal policy in Southeast Sulawesi from year to year tends to increase, (2) The performance of the agricultural sector from the aspect of GDP has decreased, from the aspect of labor is still consistent, in terms of investment to grow positively, and assign roles which means to decrease the number of poor people, (3) factors affecting fiscal policy is local revenues, equalization funds, other revenues, as well as the lag fiscal policy, (4) the factors that affect the performance of the agricultural sector from the aspect GDP is labor, direct expenditure and GDP lag; from the aspect of labor is the total labor force, investment, land area, direct expenditure, as well as the lag of labor; from the aspect of investment is influenced by GDP per capita, land area, interest rates and investment lag; as well as from the aspect of poor people, are affected by population, investments, direct expenditure and poverty lag, (5). Fiscal policy impact on the agricultural sector GDP increase, a decrease in the number of poor, declining agricultural laborers, and a decrease in the amount of investment in the agricultural sector.Keywords: Fiscal policy, the performance of the agricultural sector, the simultaneous equations

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