VOLATILITAS DAN TRANSMISI HARGA DAGING SAPI DI INDONESIA: STUDI KASUS DI JAKARTA, BANDUNG, SEMARANG DAN SURABAYA

Abstrak Daging sapi merupakan salah satu komoditas strategis dengan harga yang cukup berfluktuasi. Fluktuasi harga daging sapi dapat berpengaruh terhadap produsen, konsumen, dan industri pengolahan daging sapi skala kecil. Besarnya perubahan harga daging sapi yang terjadi di suatu pasar dapat memengaruhi pasar lainnya dan dapat digunakan untuk mengetahui kekuatan suatu pasar. Kajian ini bertujuan untuk mengkaji volatilitas dan transmisi harga daging sapi di sentra konsumen Jakarta dan sentra produsen Bandung, Semarang dan Surabaya. Data yang digunakan adalah data harian daging sapi. Volatilitas harga harian daging sapi dianalisis dengan menggunakan model GARCH dan transmisi harga dikaji dengan menggunakan model VAR/VECM. Hasil kajian menunjukkan bahwa hanya harga daging sapi Jakarta yang memiliki volatilitas rendah namun persisten dalam jangka panjang. Perubahan harga daging sapi ditransmisikan dua arah dari Jakarta ke Bandung dan Semarang, dan hanya searah dari Jakarta ke Surabaya. Hasil analisis menunjukkan bahwa upaya stabilisasi harga daging sapi dapat dilakukan dengan menjaga ketersediaan daging sapi baik melalui impor (jangka pendek dan menengah) maupun upaya penyediaan bibit sapi dan sapi potong lokal dalam jangka panjang. Iklim usaha daging sapi yang kompetitif juga diperlukan agar ketidaksesuaian perubahan harga antar pasar dapat dikurangi. Kata Kunci: Daging Sapi, Volatilitas, GARCH, Vector Auto Regression, Stabilisasi Harga Abstract Beef is one of the strategic commodities with fairly fluctuating prices. Fluctuations in beef prices could affect producers, consumers, and small-scale beef processing industries. The magnitude of changes in beef prices that occur in a market could affect other markets and could be used to determine the strength of a market. The purpose of this paper is to examine the volatility and transmission of beef prices in the consumer centers of Jakarta and the production centers of Bandung, Semarang and Surabaya. The data used is the daily data of beef. Daily price volatility of beef was analyzed using the GARCH model and price transmission was assessed using the VAR/VECM model. The results of the study show that only Jakarta beef prices have low volatility but are persistent in the long term. Changes in beef prices are transmitted in two directions from Jakarta to Bandung and Semarang, and only in one direction from Jakarta to Surabaya. The results of the analysis show that efforts to stabilize beef prices could be carried out by maintaining the availability of beef either through import (short and medium term) or efforts to provide cattle seeds and local beef cattle in the long term. A competitive beef business climate is also needed so that discrepancies in price changes between markets could be reduced. Keywords: Beef, Volatility, GARCH, Vector Auto Regression, Price Stabilisation JEL Classification: F12, F13, F15

Download Full-text

ANALISIS DAMPAK PEMBIAYAAN BANK UMUM SYARIAH PADA PERKEMBANGAN USAHA MIKRO, KECIL DAN MENENGAH DI INDONESIA (MENGGUNAKAN ANALISIS VECTOR AUTO REGRESSION)

El Dinar ◽

10.18860/ed.v6i1.5451 ◽

2018 ◽

Vol 6 (1) ◽

pp. 13

Author(s):

Safarinda Imani Imani

Keyword(s):

Commercial Banks ◽

Financial Statements ◽

Critical Value ◽

Long Term Results ◽

Variable Cost ◽

Vector Auto Regression ◽

Auto Regression ◽

F Statistics

This research was conducted to find out what happened in banking and in Indonesia. This study uses the budget of sharia banking financial statements and the development of annual umkm 2006-2017 in Indonesia. By using stata 13. With long-term results, the financing of Sharia Commercial Banks and the development of MSMEs in Indonesia affect each other can be viewed on tabular trace statistics> 5% critical value, that is financing of sharia banks 32,927> 15,41, while the development of MSMEs in Indonesia ie 5.0362> 3.76. Variable variables affect SMEs with F. Statistics> F. Table, where the variable cost 0.000> 1%, 5%, 10%, while the variable development of SMEs 0.001> 1%, 5%, 10%, other variables that affect the financing of SMEs.

Download Full-text

Higher Education Input, Technological Innovation, and Economic Growth in China

Sustainability ◽

10.3390/su10082615 ◽

2018 ◽

Vol 10 (8) ◽

pp. 2615 ◽

Cited By ~ 11

Author(s):

Guangyou Zhou ◽

Sumei Luo

Keyword(s):

Higher Education ◽

Economic Growth ◽

Technological Innovation ◽

Interaction Mechanism ◽

Sample Data ◽

Vector Auto Regression ◽

The Relationship ◽

Auto Regression ◽

Positive Effect

Based on the theoretical analysis of the relationship between China’s higher education input, technological innovation, and economic growth, this paper chooses the 1997–2015 sample data of China, and uses a vector auto regression (VAR) model to test the relationship between the three. The results show that educational input, technological innovation, and economic growth form an interaction mechanism featuring dynamic circulation. Higher education input and technological innovation are two important factors influencing economic growth. In the meantime, higher education input is an important source and driving force of technological innovation, and technological innovation will further promote economic growth. However, technological innovation has a delayed positive effect on economic growth, so higher education input demands a long-term view and thinking for quick success, and instant benefits should be avoided.

Download Full-text

Trade and Manufacturing in Sub-Saharan Africa

International Journal of Advances in Management and Economics ◽

10.31270/ijame/v09/i03/2020/9 ◽

2020 ◽

Vol 9 (3) ◽

pp. 67-75

Author(s):

A. Désiré Adom ◽

Keyword(s):

Manufacturing Sector ◽

Essential Feature ◽

Trade Openness ◽

Jel Classification ◽

Sub Saharan Africa ◽

Comparative Approach ◽

Vector Auto Regression ◽

Sub Saharan ◽

The Impact ◽

Auto Regression

Trade and manufacturing have gained momentum in economic debates across Africa as of late. In particular, this study attempts to shed light on the impact of trade openness on manufacturing in Sub-Saharan Africa (SSA). Using a dual comparative approach made of vector auto-regression (VAR) and general method of moments (GMM) applied to 36 countries, results indicate that trade openness impedes the development of manufacturing. The negative effect of trade openness, which remains very limited in scope notwithstanding, underscores an essential feature regarding the entire manufacturing sector in SSA. Indeed, the idiosyncrasies of this sector – namely, underdevelopment, nascent industries and lack of diversification, among others − severely undermine the resilience of countries in SSA as they face heightened international competition. Keywords: Trade openness, Manufacturing, Sub-Sahara Africa, Vector auto regression. JEL Classification: F14, F41, F60

Download Full-text

Spatial Differences in Rice Price Volatility: A Case Study of Pakistan 1994–2011

The Pakistan Development Review ◽

10.30541/v56i3pp.265-289 ◽

2017 ◽

Vol 56 (3) ◽

pp. 265-289

Author(s):

Burhan Ahmad ◽

Ole Gjølberg ◽

Mubashir Mehdi

Keyword(s):

Garch Model ◽

Price Volatility ◽

Positive Association ◽

Jel Classification ◽

Volatility Clustering ◽

Lm Tests ◽

Regional Markets ◽

Spatial Differences ◽

Conditional Correlations

Prices of agricultural commodities tend to be more volatile in comparison to other commodities. Volatility can result in inefficient allocation of the resources by the farmers, traders and consumers. Rice is the second major staple and export item of Pakistan. This study presents the trends in volatility of regional rice markets of Pakistan and analyses spatial differences in volatility across regional rice markets in Pakistan from 1994 to 2011, and also draws comparison of volatility with the international market. ARCH-LM tests are applied to check the presence of volatility and volatility clustering is found in all the markets. Tests for equality of variance and dynamic conditional correlations (DCC) GARCH model are employed to analyse the spatial differences across the regional rice markets of Pakistan. The results indicate the presence of spatial differences in volatility. Positive conditional correlations in the dynamic conditional correlations (DCC) GARCH model are found which indicate positive association of volatility across markets. Spatial differences in volatility and its persistence reflect the differences in market forces, infrastructure and information flow which leads to varying degree of risk across markets and some regions are exposed to higher risk. The study found out that Hyderabad and Sukkur are the most volatile markets and their volatility levels are highly persistent and require highest time to return to its long-term mean which makes them the riskiest rice markets. Investments in infrastructure, particularly in transportation and controlling the market power of middlemen may reduce price risk across markets particularly in the most risky markets. JEL Classification: C22, C32, Q11, Q13, Q18 Keywords: Rice Prices Volatility, Regional Markets, Pakistan. DCC-GARCH-models

Download Full-text

The effect of international energy market shocks on coal price of China based on the fuzzy integrated vector auto regressive and error correction model

Journal of Intelligent & Fuzzy Systems ◽

10.3233/jifs-189665 ◽

2021 ◽

Vol 40 (4) ◽

pp. 8451-8461

Author(s):

Ruyi Shi ◽

Di Wang ◽

Yueying Zhao

Keyword(s):

Var Model ◽

Energy Market ◽

Short Term ◽

Coal Price ◽

Coal Market ◽

Term Basis ◽

Vector Auto Regression ◽

Market Shocks ◽

Auto Regression

From the perspective of external market shocks, this paper proposed fuzzy integrated vector auto regression (FVAR) model that determines the long-term basis and short-term basis interactions of China’s coal price with international energy prices. The proposed FVAR preform coal price fluctuation based on long-term and short term span in six stages including unit root testing, Johansen cointegration test, vector auto regression (VAR) model construction, fuzzification of VAR model, vector error correction (VEC) model and an impulse response function(IRF). It is observed that there is a steady long-term stability and equilibrium bond between the China’s domestic coal price, international coal price and the international crude (unrefined) oil price. The international coal and international crude oil price have an opposite effect on China’s domestic coal price. In addition, the former has a stronger fuzzy price discovery function on China’s domestic coal market than the latter. In the short term, China’s domestic coal price is more complex to instability reactions and is affected by market expectations. The international energy market is more effective than domestic coal market, and there is a relatively stable price adjustment mechanism between the two, with the international coal price playing a leading role in the fuzzy guidance of China’s coal price. Therefore, in reference to international energy pricing models, the paper proposes a fuzzy pricing model for a coal futures index based on the coal futures trading price and supplemented by the premium and discount agreed to by both trading parties.

Download Full-text

Volatility and Transmission of Shallot Commodity Prices in Indonesia

International Journal of Scientific Research in Science Engineering and Technology ◽

10.32628/ijsrset19657 ◽

2019 ◽

pp. 50-61

Author(s):

Kholifatin Artika ◽

Muhammad Firdaus ◽

Tony Irawan

Keyword(s):

Commodity Prices ◽

Price Volatility ◽

Wald Test ◽

Price Transmission ◽

High Price ◽

Long Run ◽

Daily Data ◽

Strategic Issue ◽

The Government

The shallot commodity has been becoming a strategic issue for the government nowadays because this commodity has contributed to inflation. The price volatility of shallots causes high price disparities between producers and consumers. This situation gives is detrimental more to farmers and consumers than to traders because it provides more opportunities for traders to manipulate information on price, so that price transmission becomes asymmetric. This paper discusses the price transmission of shallots between three players: farmers, wholesalers and retailers. This study used daily data from January 1st 2017 to December 31st 2017 which were analyzed using the ECM-EG method. The wald test results show that shallots commodities showed a price asymmetry in the short term in each marketing chain, namely between producers to wholesalers, wholesalers to retail and retail to producers. Whereas in the long run, the price asymmetry only exist on the wholesale-retail linkage. Meanwhile the transmission of long-term prices between producers to wholesalers, retail to producers in the long-term is symmetrical.

Download Full-text

Analisis Volatilitas Harga dan Integrasi Pasar Kedelai Indonesia dengan Pasar Kedelai Dunia

Jurnal Agro Ekonomi ◽

10.21082/jae.v34n1.2016.47-66 ◽

2016 ◽

Vol 34 (1) ◽

pp. 47 ◽

Cited By ~ 1

Author(s):

Ratna Anita Carolina ◽

Sri Mulatsih ◽

Lukytawati Anggraeni

Keyword(s):

Market Integration ◽

Market Price ◽

Price Volatility ◽

Price Transmission ◽

Garch Models ◽

Short Term ◽

Soybean Price ◽

Volatility Analysis ◽

The Government

English The government is necessary to maintain food price stability in order to support food security in the country. This study aims to analyze domestic (local and imported) soybean prices volatility, and analyze the market integration and the price transmission elasticity that occurs between domestic soybean market and world soybean market. Price volatility analysis using ARCH/GARCH models showed that the world soybean price is more volatile than domestic soybean price, while in domestic market, local soybean price showed more volatility than imported price. Ravallion model was used to analyze market integration and price transmission between world and domestic soybean markets. The result showed that there is no short term market integration, but there exist the long term market integration with a weak price transmission between world and domestic soybean market. Indonesia Stabilisasi harga pangan pokok, termasuk di dalamnya kedelai, merupakan salah satu hal yang perlu dijaga oleh pemerintah untuk mendukung ketahanan pangan. Penelitian ini bertujuan untuk menganalisis volatilitas harga domestik kedelai, baik lokal maupun impor, serta menganalisis integrasi pasar dan transmisi harga yang terjadi antara pasar kedelai domestik dengan pasar kedelai dunia. Analisis volatilitas harga kedelai dengan menggunakan model ARCH/GARCH menunjukkan bahwa harga kedelai dunia lebih volatil dibandingkan dengan harga kedelai domestik; sementara pada pasar kedelai domestik, harga kedelai lokal lebih volatil dibandingkan dengan harga kedelai impor. Model Ravallion digunakan untuk menganalisis integrasi pasar dan transmisi harga antara pasar kedelai dunia dengan pasar kedelai domestik. Hasil analisis menunjukkan bahwa tidak terjadi integrasi jangka pendek, namun terjadi integrasi jangka panjang dengan proses transmisi harga yang lemah antara pasar kedelai dunia dengan pasar kedelai domestik.

Download Full-text

The Joint Dynamics of Liquidity and Volatility Across Small- and Large- index Indian Funds

Journal of Emerging Market Finance ◽

10.1177/0972652719846318 ◽

2019 ◽

Vol 18 (2_suppl) ◽

pp. S167-S182

Author(s):

Kriti Kulshrestha ◽

Saumitra N. Bhaduri

Keyword(s):

Jel Classification ◽

Regression Method ◽

Large Index ◽

Joint Dynamics ◽

Vector Auto Regression ◽

Volatility Regimes ◽

Market Capitalisation ◽

The Relationship ◽

Auto Regression

The article explores the relationship between volatility and liquidity, as there is a change in market capitalisation (cap). Using three regimes of volatility, identified by the threshold vector auto-regression method, the results show that volatility affects liquidity differently for the three volatility regimes during the two periods (crisis and post-crisis) of study. The results show that there is inconsistency in how volatility affects liquidity across the Indian large-, mid- and small-cap indices. JEL Classification: G1 G17

Download Full-text

THE DYNAMICS OF INDONESIA INFLATION: WHAT CAN WE LEARN FROM INFLATION DISAGGREGATION?

Buletin Ekonomi Moneter dan Perbankan ◽

10.21098/bemp.v16i1.38 ◽

2014 ◽

Vol 16 (1) ◽

pp. 43-79

Author(s):

IGP Wira Kusuma

Keyword(s):

Interest Rate ◽

Price Volatility ◽

Macroeconomic Shocks ◽

Speed Of Adjustment ◽

Price Puzzle ◽

Disaggregated Data ◽

Vector Auto Regression ◽

Interest Rate Shock ◽

Auto Regression

This paper employs disaggregated data of inflation combined with Factor Augmented Vector Auto Regression (FAVAR) to explore the price behaviour in Indonesia. The main finding of this analysis is that price behaviour in Indonesia exhibits heterogeneity. It is evident not only in terms of the magnitude, but also in the direction and the speed of adjustment to the new equilibrium in response to interest rate shock. Price volatility is mainly related to sector specific shocks instead of macroeconomic shocks. Another finding is, the price puzzle weakens once ITF is adopted. Keywords: price disaggregation, inflation, FAVAR, price puzzle.JEL classification: C32, E31, E52

Download Full-text