scholarly journals An Empirical Investigation of the Causal Relationship among Monetary Variables and Equity Market Returns

2009 ◽  
Vol 14 (1) ◽  
pp. 115-137 ◽  
Author(s):  
Arshad Hasan ◽  
M. Tariq Javed
Keyword(s):  
Exchange Rates ◽  
Money Supply ◽  
Negative Impact ◽  
Equity Market ◽  
Equity Returns ◽  
Cointegration Analysis ◽  
Dynamic Relationship ◽  
The Interest Rate ◽  
Multivariate Cointegration

This study explores the long-term dynamic relationship between equity prices and monetary variables for the period June 1998 to June 2008. Monetary variables include money supply, treasury bill rates, foreign exchange rates, and the consumer price index. The data have been examined using multivariate cointegration analysis and Granger causality analysis. Johansen and Juselius’ multivariate cointegration analysis indicates the presence of a long-term dynamic relationship between the equity market and monetary variables. Unidirectional Granger causality is found between monetary variables and the equity market. In the case of money supply, a positive relationship supports the liquidity hypothesis. Impulse response analysis indicates that the interest rate shock has a negative impact on equity returns in the Pakistani equity market. Exchange rates also have a negative impact on equity returns in the short run. However inflation has little impact on returns in the equity market. Variance decomposition analysis suggests that the interest rate, exchange rate, and money supply shocks are a substantial source of volatility for equity returns.

scholarly journals Does E-Money Affect Inflation In Indonesia

2021 ◽  
Vol 19 (1) ◽  
pp. 1
Author(s):  
Andres Dharma Nurhalim
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Exchange Rates ◽  
Money Supply ◽  
Quantitative Approach ◽  
Electronic Money ◽  
Factors Affecting ◽  
Main Factors ◽  
The Interest Rate ◽  
Main Components

The purpose of this study aims to explain the effect of electronic money on inflation and how much influence it has on the Indonesian economy. In this study the authors used a quantitative approach. The variables used are inflation, electronic money, exchange rate, money supply (M1), and BI interest rate. Result: The previous money supply (LQMprev) and the interest rate (BI Rate) were the main factors affecting inflation. In this result, e-money and exchange rates are not the main components driving inflation. Based on SPPS processing using regression, e-money and exchange rates do not have a significant effect on inflation in Indonesia, but LQMprev has a significant effect on inflation. From the results of this study it is still too early to analyze the effect of e-money on inflation because it is still relatively new in Indonesia.

scholarly journals Relevance of Low Inflation in the Southeastern European Countries

2016 ◽  
Vol 5 (2) ◽  
pp. 41-63
Author(s):  
Slobodan Lakić ◽  
Damir Šehović ◽  
Mimo Drašković
Keyword(s):  
Exchange Rates ◽  
Psychological Factors ◽  
Negative Impact ◽  
Multinational Companies ◽  
East Europe ◽  
South East Europe ◽  
Inflation Rates ◽  
Exchange Regime ◽  
Flexible Exchange Rates

Abstract The paper starts from the assumption that the significant reduction of the inflation problem is a result of the long-term dynamics of economic growth in countries with developing markets and, as a result, operational inability of multinational companies to increase accumulation through the policy of raising prices by creating space for their full expansion. We believe that in such circumstances civil theories on the causes of inflation are dominantly of class character. We check negative repercussions of low inflation on the examples of the countries of South-East Europe, in the regimes with fixed and flexible exchange rates, and with different strategies of monetary policy. We conclude that destructive implications of the financial crisis and psychological factors have a negative impact on a sustainable low-inflation environment, regardless of the monetary-exchange regime. We propose that low and stable inflation rates can be followed by a series of negative implications for the overall economic system, which our analysis of the observed countries proves.

scholarly journals Analisis Inflasi di Indonesia (Suatu Pendekatan Model Dinamik)

2018 ◽  
Vol 7 (2) ◽  
pp. 85
Author(s):  
Afrizal Afrizal
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Error Correction ◽  
Money Supply ◽  
Correction Term ◽  
Research Data ◽  
Cointegration Test ◽  
The Exchange Rate ◽  
The Interest Rate

This study aims to determine the magnitude of the effect of the money supply, the exchange rate of rupiah (exchange rate) and the interest rate on inflation in Indonesia during the period 2000.12016.4. The analysis tools used for this research data are: unit root test, integration degree test, cointegration test, error correction model / ECM. The results showed that all staioner research data at level 1 (first difference) based on cointegration test showed that the variables observed in this study co-integration or have long-term relationship. The ECM model used is valid, as indicated by the error correction term (ECT) coefficient is significant. In the short run the money supply, the exchange rate of rupiah (exchange rate) and the interest rate is not significant to the inflation rate, but in the long term is significant.

ANALISIS PENGARUH NILAI SAHAM YANG BEREDAR, STRUKTUR MODAL, RISIKO PASAR, DAN SUKU BUNGA TERHAD AP RETITRN SAHAM DI BEJ DENGAN PENDEKATAN MODEL DINAMIS (Studi Kasus Pada Sektor Aneka lndustri Tahun 1996-2002)

2005 ◽  
Vol 1 (1) ◽  
pp. 20
Author(s):  
Ari Christianti ◽  
Murti Lestari
Keyword(s):  
Capital Structure ◽  
Dynamic Model ◽  
Stock Return ◽  
Negative Impact ◽  
Short Term ◽  
Correction Model ◽  
Industry Sector ◽  
The Interest Rate ◽  
Model Approach

The study aims at empirically proving and analyzing the balance model of Capital Asset Pricing Model (CAPM with the multifactor of risks, consisting of: outstanding stocks value, capital structure represented by Debt EquiQ Ratio (DER), market risk as represented by stock market beta, and the interest rate on company return on stock.This research uses a dynamic model approach considering the existence of the weaknessesin a classic linear model. Since the investment is related to investors behavior that need a lag to market change, the use of the dynamic model approach will be better. It is because the dynamic model uses autoregressive approach containing the lag. The dynamic model used here is Partial Adjustment Model (PAM) and Error Correction Model (ECM).  Based on the estimation of the PAM model it is proven that the model is inefficient in finding the evidence confirming the hypothesis. Subsequently,based on the result of the examination of the ECM model it isconcluded that outstanding stocks value has a positive and signiJicant impact in short term and a negative impact in long term. It means that in the short term outstanding stocks value serves as the consideration for investors in making an investment. However in the long term they are likely to believe that the use of smaller internal capital proportion will be more beneficial for them. The capital structure has only a longierm impact on the return on stock. It means that the impact of DER on stock return on miscellaneous industry sector needs the quite long lag to influence the investors in determining stocks return. It indicates that in the long term they believ:e that the use of increasing number of loan will causes the decrease in company liquidity. Consequently, the opportunity for the company to go bankrupt is bigger Beta stock in the study has a negative impact in the long term. Theoretically, it is not consistent with the parameter direction and indicated that beta stock does notserve as an app;r,pviate prory in measuring the rislcs on. miscellaneous industry sector The interest rate has in the long term a negative impact on stocks return and needs the long lag to influence the investors in determining the return on stocks.Keywords: Stock return, outstanding stock value, DER (Debt Equity Ratio), beta, interest rote, ECM (Eruor Correction Model)

scholarly journals Pengaruh Ekonomi Global dan Domestik Terhadap Inflasi di Indonesia

2020 ◽  
Vol 5 (1) ◽  
pp. 64
Author(s):  
Dini Hariyanti ◽  
Soeharjoto Soekapdjo
Keyword(s):  
Interest Rate ◽  
Exchange Rates ◽  
Money Supply ◽  
Time Series Data ◽  
Oil Price ◽  
Series Data ◽  
Local Resources ◽  
The Stability ◽  
Determine Effect

One of the biggest obstacles for countries economic growth compound is inflation. Government attempted to have lower and stable inflation.  Purpose of this research is to determine effect of the global and domestic economy to inflation in Indonesia. Using quarterly time series data from 2009-2018 derived from the Indonesian Economic and Financial Statistics (SEKI), International Financial Statistics (IFS), and Investing. ECM regression model used for this research. For short term, interest rate and exchange rates have positive and significant effect to inflation. But money supply, GDP and oil price not significant, while in long term, interest rate and oil price have positive and significant to inflation, while money supply, GDP and exchange rates are not significant. Government policies are monitoring and anticipating global and domestic fluctuation, by  maintaining  the stability of interest rate and exchange rates, and also using environmentally friendly alternatives resources, in order to reducing dependence on oil. Besides that, government needs to undertake increasing of GDP to maintain people purchasing power and money supply distribution for productive sector which have biggest adding value by utilizing local resources.

scholarly journals Determinants Factors of Interest Rates on Three-Month Deposits of Bank Persero

JEJAK ◽  
2017 ◽  
Vol 10 (1) ◽  
pp. 90-102
Author(s):  
Tedy Kurniawan ◽  
Sucihatiningsih Dian Wisika Prajanti
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Money Supply ◽  
The State ◽  
Capital Adequacy ◽  
Short Term ◽  
Operating Income ◽  
Short And Long Term ◽  
The Interest Rate

This research aims at analyzing the influence of Capital Adequacy Ratio (CAR), Operating Expenses of Operating Income (BOPO), inflation, exchange rate, and the amount of money supply (M1) to the interest rate of three month deposits of the State-Owned Bank in Indonesia in 2007-2015. This research uses the error correction model analysis. The result obtained is the CAR that has a significant effect on the long term and has no effect on the short term, BOPO has a significant influence on the long term and short term, inflation has the significant effect on the long term and has no effect on the short term, the exchange rate has an influence on the short and long term, the money supply has no effects on the short and long-term on the interest rate on three month deposits of the State-Owned Bank.

scholarly journals EVALUATION OF THE RELATIONSHIP BETWEEN CREDIT DEFAULT SWAPS AND EURO AND USD EXCHANGE RATES: THE CASE OF TURKEY

2020 ◽  
Vol 8 (2) ◽  
pp. 1113-1130
Author(s):  
Turgay MÜNYAS
Keyword(s):  
Exchange Rates ◽  
Credit Default Swap ◽  
Cointegration Analysis ◽  
Causality Test ◽  
Vector Error Correction ◽  
Credit Default ◽  
Augmented Dickey Fuller ◽  
Stationarity Tests ◽  
The Relationship

The aim of this study is to evaluate the relationship between Turkey's Credit Default Swap (CDS) premiums and the USD and Euro exchange rates. In order to measure this relationship, time series analyses were used for the period January 3rd, 2005 to December 31st, 2019. Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) tests were performed for stationarity tests. Then, Johansen cointegration analysis was used to determine long-term relationships. The vector error correction model was used to determine short-term relationships, and the Granger causality test was used to determine causality directions. CDS was used as the dependent variable, and the USD and EURO exchange rates were used as the independent variables. As a result of the study, it was found that the USD rate and EURO rate variables have a long-term relationship with CDS. CDS increases by 38.8% when the USD rate increases by 1%, and CDS increases by 24.2% when the Euro rate increases by 1%. When we look at the coefficient values, it is seen that the effect of the USD rate on CDS is higher compared to that of the Euro rate. In addition, a bidirectional causality relationship was found between the variables.

scholarly journals Monetary and fiscal policy mix connectivity towards the business cycle in Indonesia

2021 ◽  
Vol 9 (2) ◽  
pp. 139-152
Author(s):  
Regina Niken Wilantari ◽  
Imro'atul Husna Afriani
Keyword(s):  
Fiscal Policy ◽  
Business Cycle ◽  
Exchange Rates ◽  
Money Supply ◽  
Series Data ◽  
Policy Mix ◽  
Short Term ◽  
The Business Cycle ◽  
Monetary And Fiscal Policy

This research is based on the magnitude of the influence of monetary and fiscal aspects, namely the money supply, exchange rates, government spending, and taxes on the business cycle in Indonesia. This study aims to examine the effect of the connection between the monetary and fiscal policy mix on the business cycle in Indonesia. For analysis purposes, secondary data was used in the form of time-series data from 1970–2017. The method used is the Vector Error Correction Model (VECM) to see long-term and short-term relationships. In the estimation results, it is found that in the long-term period, the monetary variables (money supply and exchange rates) and fiscal variables (government expenditures and taxes) have a significant positive effect on the business cycle in Indonesia.In contrast, the monetary variables that have a significant effect in the short-term period are only the amount variable money supply. There are no fiscal variables that have a significant effect on the business cycle in Indonesia. The interaction of monetary and fiscal policies is still effectively implemented in Indonesia.

scholarly journals Effect of Deposit Interest Regional Development Bank, Deposit Interest Rate Government Bank, Inflation, GDP and Money Supply Against Exchange Rate US Dollar

2016 ◽  
Vol 8 (1(J)) ◽  
pp. 79-86
Author(s):  
Elsyan Rienette Marlissa
Keyword(s):  
Economic Growth ◽  
Interest Rate ◽  
Regional Development ◽  
Money Supply ◽  
Random Effects ◽  
Negative Impact ◽  
Development Bank ◽  
Us Dollar ◽  
The Interest Rate ◽  
Regional Development Bank

The purpose of this study is to analyze the effect of Deposit Interest Rate Regional Development Bank, Bank Deposit Interest Rate Government, Inflation, Economic Growth (Real GDP), and the money supply of the rupiah per US dollar. The study uses panel data regression analysis with the model Random Effects Model (REM) method and Pooled EGLS (cross section random effects). The results show that factors of interest rate Regional Development Bank, the interest rate on deposits Bank government, the level of inflation, economic growth, money supply have the simultaneous and significant impact on the rupiah per US dollar. While the partial test results show that the interest rate on deposits BPD and the amount of money circulating have a significant negative effect on the rupiah per US dollar. While variable economic growth (GDP) has insignificant negative impact on the rupiah per US dollar.

scholarly journals The Dynamic Linkages among Sector Indices: The Case of the Egyptian Stock Market

2016 ◽  
Vol 8 (4) ◽  
pp. 23
Author(s):  
Walid M. A. Ahmed
Keyword(s):  
Equity Market ◽  
Cointegration Analysis ◽  
Portfolio Diversification ◽  
Causality Analysis ◽  
Short Term ◽  
Cointegrating Vector ◽  
Short Run ◽  
Investigation Period ◽  
The Empirical Analysis

<p>The main thrust of this study is to investigate both the long-term and short-term links among sectors of the Egyptian equity market. The empirical analysis is carried out using Johansen’s multivariate cointegration analysis and Granger’s causality analysis. The investigation period extends from 3 April 2011 to 31 May 2015. The results of cointegration analysis indicate that there exists a single cointegrating vector within the sample sector indices. The Granger’s causality analysis shows that the short-term causal relationships between the sector indices are substantially limited and, where they exist, practically unidirectional. By and large, an important implication of these findings is that there is still possibility to obtain gains from portfolio diversification in the short run. Nonetheless, investors with long-term horizon might not be able to benefit from diversifying into the various sectors of the Egyptian market.</p>

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