scholarly journals The Time - Varying Natural Rate of Interest and Its Fundamental Determinants: Time Series Evidence from Turkey

2016 ◽  
Vol 6 (2) ◽  
pp. 390
Author(s):  
Ilyas Siklar ◽  
Umit Yildiz ◽  
Sinan Cakan
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Interest Rate ◽  
Time Series Data ◽  
Series Data ◽  
Natural Rate ◽  
Output Price ◽  
Natural Rate Of Interest ◽  
Causality Relationship ◽  
The Interest Rate

In this study, by estimating the natural rate of interest, its relationship with key macroeconomic variables is analyzed using the time series data obtained from Turkey. As a first step, together with the natural rate of interest, the potential levels of output, prices and foreign exchange rate are estimated by using the Kalman Filter algorithm and then the related gap levels of each variable representing the deviations from their potentials are determined. As a second step of the study, the effects of output, price and exchange rate gaps on the interest rate gap are analyzed by using cointegration and error correction methodologies and the causality relationship among variables are examined. The main conclusion of the current study is that there is significant causality relationship between the interest rate gap, output, price and exchange rate gaps.

scholarly journals PENGARUH INFLASI, SUKU BUNGA, DAN NILAI TUKAR TERHADAP INDEKS HARGA SAHAM GABUNGAN PERIODE 2016 – 2018

2021 ◽  
Vol 6 (1) ◽  
pp. 50-59
Author(s):  
Irine Melyani ◽  
Martha Ayerza Esra
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Price ◽  
Time Series Data ◽  
Secondary Data ◽  
Series Data ◽  
Future Research ◽  
Time Range ◽  
Important Indicator ◽  
The Interest Rate

The movement of stock price index is the important indicator for investors to determine whether the investor would sell, buy, or hold shares. The movement of CSPI is affected by several factor like macroeconomy. The purpose of this study was to determine the effect of inflation, interest rate, and exchange rate against CSPI. Theoretically, the effect of inflation, interest rate, and exchange rate is based on efficient market hyphothesis and signalling theory which inflation, interest rate and exchange rate provide signal to investor which affect their decision that cause change to CSPI. The type of data used in this study is secondary data with quantitative approach. The sampling is based on time series data from 2016-2018 using purposive sampling methodso that 36 samples are obtained. This research uses multiple uses multiple regression analysis method using SPSS 2.2. The results of this study indicate that during the period 2016-2018 inflation does not affect CSPI, the interest rate have negative affect on CSPI and exchange rate have positive affect on CSPI. Future research is expected to add another independent variable and extend the time range of the research to obtain ore accurate and comprehensive results. Keywords: Inflation, Interest Rate, Exchange Rate, Composite Stock Price Indonesia

scholarly journals Tegar Prasetya Analysis of Macroeconomic Influence Return on Assets Banking Study on Conventional Commercial Banks in Indonesia for the Year 2018–2020

2021 ◽  
Vol 6 (5) ◽  
pp. 268-275
Author(s):  
Tegar Prasetya ◽  
Hakiman Thamrin
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Commercial Banks ◽  
Time Series Data ◽  
Series Data ◽  
Analysis Tool ◽  
Return On Assets ◽  
Macroeconomic Variables ◽  
The Exchange Rate ◽  
The Interest Rate

This study aims to analyze the effect of macroeconomic variables on the return on banking assets. The data processing method used by the researcher is using the Vector Error Correction Model (VECM) as a data analysis tool and this study confirms that the extent to which it examines the positive and significant influence between macroeconomic variables on the return on banking assets. The data obtained is secondary data based on financial statements within a period of 3 years using monthly time series data. The results of this study indicate that there is a positive and significant effect on the exchange rate and CPI variables while it is negative and significant on the inflation, interest rate and IPI variables resulting from the long-term VECM estimation. While the results show that there is a positive and significant effect on the interest rate and CPI variables and a significant negative on the inflation variable, positive and insignificant on the exchange rate variable, negative and insignificant on the IPI variable on the ROA of the short-term VECM estimation results. The results of the measurement of the composition or contribution of the influence of the independent variable on the dependent variable show the interest rate variable with a value of 4.11% in the 10th period obtained through the results of the decomposition variance (VD) test on the return on assets (ROA) of banking studies at Conventional Commercial Banks in Indonesia.

scholarly journals FAKTOR – FAKTOR YANG MEMPENGARUHI INVESTASI PEMERINTAH PADA SEKTOR PERTANIAN DI PROVINSI JAMBI

2017 ◽  
Vol 2 (2) ◽  
pp. 85
Author(s):  
Mulyani Mulyani
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Interest Rate ◽  
Linear Regression ◽  
Real Interest Rate ◽  
Agricultural Sector ◽  
Time Series Data ◽  
Series Data ◽  
Government Investment ◽  
Agriculture Sector

This research was conducted to analyse government investment in agriculture sector at Jambi Province. This research was held  on June - September 2017 by collecting data from several agencies. It used a time series data for 10 years (2006-2015).  This research  applied   multiple linear regression to  analyse the data. The results show that 95.9% of government investment in agriculture sector could  be  explained by  domestic  income variable, export-import growth of agriculture sector, real interest rate, rupiah exchange rate, previous government investment, and growth of agriculture sector. In fact the factors that had a significant effect were domestic  income variable, , export-import growth of agricultural sector, previous government investment and the growth of agriculture sector.Keywords: government investment, agricultural sector, growthPenelitian ini dilakukan untuk menganalisis investasi pemerintah pada sektor pertanian di Provinsi Jambi. Penelitian dilaksanakan di Provinsi Jambi dengan mengumpulkan data dari beberapa instansi terkait, yang dilaksanakan pada bulan Juni 2017 sampai September 2017. Dimana penelitian ini menggunakan data time series, dengan rentang waktu 10 tahun (2006-2015). Analisis data pada penelitian ini menggunakan regresi linear berganda. Hasil penelitian menunjukkan 95,9% penyerapan investasi pemerintah pada sektor pertanian dapat dijelaskan oleh variabel pendapatan asli daerah,pertumbuhan ekspor-impor sektor pertanian, tingkat suku bunga riil, nilai tukar rupiah, investasi pemerintah pada tahun sebelumnya, dan pertumbuhan sektor pertanian. Dari faktor-faktor tersebut yang berpengaruh signifikan adalah Pendapatan asli daerah, pertumbuhan ekspor impor sektor pertanian, investasi pemrintah pada tahun sebelumnya dan pertumbuhan sektor pertanian.Kata Kunci : investasi pemerintah, sektor Pertanian, pertumbuhan

scholarly journals The Effect of USD/IDR Exchange Rate, Interest Rate, and World Oil Price To Jakarta Composite Index (JCI)

2019 ◽  
Vol 3 (2) ◽  
pp. 191
Author(s):  
Ummu Salma Al-Azizah ◽  
Yusdi Daulay ◽  
Naufal Krisnanto
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Interest Rate ◽  
Time Series Data ◽  
Stock Exchange ◽  
Composite Index ◽  
Oil Price ◽  
Series Data ◽  
Macroeconomic Variables ◽  
The Exchange Rate

This research aims to investigate effect of selected macroeconomic variables, i.e., USD/IDR exchange rate, interest rate, and world oil price to indonesia composite index at the indonesia stock exchange (IDX). This paper examine the direct effect of selected macroecomonic variable on Indonesia Composite Index. The study used time series data from the 2012-2017. By using an regression technique analysis, the result from showed that simultaneously the exchange rate, interest rate, and world oil price have a significant effect on Indonesia Composite Index. Partially, only the exchange rate has a significant effect on Indonesia Composite Index, interest rate and world oil price have no significant effect on Indonesia Composite Iindex. The amount of influece caused by the three variables is 58% and the rest is explained by other variables.

scholarly journals FAKTOR-FAKTOR YANG MEMPENGARUHI INFLASI DI INDONESIA

2016 ◽  
Vol 5 (2) ◽  
pp. 137
Author(s):  
Chairannisa Arjunita
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Interest Rate ◽  
Linear Regression ◽  
Interest Rates ◽  
Money Supply ◽  
Inflation Targeting ◽  
Time Series Data ◽  
Multiple Linear Regression Model ◽  
Series Data

This study aims to  analyze the effect of interest rate, money supply,exchange rate and inflation targeting framework policy on inflation in Indonesia.The type of this research are descriptive and associative using time series data fromthe first quarter of 1997 until the fourth quarter of 2015 with documentation datacollected technique. Data were analyzed with multiple linear regression model, theprerequisite test (multicolinearity, autocorrelation and heteroscedasticity), t test, andF test. The result shows that (1) Interest Rates has positive and significant effect oninflation in Indonesia. (2) Money Supply has positive and not significant effect oninflation in Indonesia. (3) Exchange rate has negative and not significant effect oninflation in Indonesia.  (4) Inflation Targeting Framewrok Policy has positive andsignificant effect on inflation in Indonesia.

scholarly journals DAMPAK KEBIJAKAN INFLATION TARGETING TERHADAP BEBERAPA VARIABEL MAKROEKONOMI DI INDONESIA

2007 ◽  
Vol 9 (1) ◽  
Author(s):  
Yati Nuryati ◽  
Hermanto Siregar ◽  
Anny Ratnawati
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Inflation Targeting ◽  
Time Series Data ◽  
Policy Instrument ◽  
Series Data ◽  
Long Run ◽  
The Exchange Rate ◽  
The Interest Rate

This paper discusses the effects of the inflation targeting framework on a number of macroeconomic variabels in Indonesia, especially after the enactment of Law No. 23/1999. The objectives of the paper are: (1) to describe the independence aspect of the inflation targeting policy; and (2) to highlight the effects of the inflation targeting on a set of main macroeconomic variables.The anaysis uses the Vector Autoregression (VAR) approach, emploting the time series data during the periode of 1998:1 to 2003:6. The main results of this research are: (1) The Central Bank (BI) independence is not yet effective in the implementation of the inflation targeting; (2) the shock on the interest rate affects price level and the exchange rate trivially; and (2) the factors that influence price’s variability are the base money, the interest rate, and the exchange rate. In the long run, a shock to the base money is more important than to the interest rate and to the exchange rate. The study suggests to use base money as the policy instrument of the monetary policy, instead of the short term interest.Keywords: monetary policy, independence, inflation targeting, VARJEL Classification: C32, E31, E52

scholarly journals Determinasi Tingkat Suku Bunga Perbankan di Indonesia

2017 ◽  
Vol 4 (1) ◽  
pp. 122
Author(s):  
Arief Hadi Putra ◽  
Siswoyo Hari Santosa ◽  
Regina Niken Wilantari
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Interest Rates ◽  
Time Series Data ◽  
Trigger Factor ◽  
Series Data ◽  
Monthly Data ◽  
Negative Effect ◽  
The Exchange Rate ◽  
The Interest Rate

The interest rate has an important role to regulate the exchange rate affecting an economy and banking transactions betweencountries.The interest rate as a trigger factor of development of a country has a very important role to cope with the level ofinflation and the exchange rate in the country. In this study, several factors are considered to influence the interest ratesinclude inflation, and exchange rates. The method used is multiple linear regression with time series data. The study wasconducted using monthly data from July 2005 until December 2012. The results of the regression carried out showed thatindlasi positive and significant impact on interest rates. While the exchange rate and no significant negative effect on interestrates.

scholarly journals The Impacts of Interest Rate and Exchange Rate Volatilities on the Demand for Money in Developing Economies

2018 ◽  
Vol 10 (3) ◽  
pp. 56
Author(s):  
Felix S. Nyumuah
Keyword(s):  
Developing Countries ◽  
Exchange Rate ◽  
Interest Rate ◽  
Money Demand ◽  
Time Series Data ◽  
Developing Economies ◽  
Series Data ◽  
African Countries ◽  
Demand Functions ◽  
The Interest Rate

Volatilities in the interest rate and the exchange rate cause instability in money demand functions. This study investigates the effect of interest and exchange rates volatilities on money demand in developing countries using time series data of four African countries namely, Equatorial Guinea, Gambia, Nigeria and Uganda. The model used is a conventional log linear money demand function, with money demand specified as a function of income, interest rate, inflation rate, exchange rate, interest rate volatility and exchange rate volatility. The results show that on the whole the interest rate and exchange rate volatilities do not have significant effects on money demand in developing countries. However, the money demand functions of these economies prove unstable. These findings imply that the monetary authorities should resort to inflation targeting monetary policy and employ the interest rate as the policy instrument.

scholarly journals Assessment of Government Agriculture and Rural Development Expenditure Impact on the Malaysia’s Agriculture Production

2020 ◽  
Vol 29 (1) ◽  
Author(s):  
Hao Lian Zhi ◽  
Kelly Kai Seng Wong
Keyword(s):  
Time Series ◽  
Interest Rate ◽  
Time Series Data ◽  
Negative Relationship ◽  
Series Data ◽  
Monthly Bulletin ◽  
Agriculture Sector ◽  
Long Run ◽  
Integration Test ◽  
The Interest Rate

This study is focused on determination of the important factors that have affected the agriculture production in Malaysia. The data on interest rate (IR) and government agriculture expenditure (GE) were collected from Bank Negara Malaysia (BNM) monthly bulletin statistic. Besides that, the number of labor use in agriculture sector (LA) was collected from the World Development Indicator (WDI). All data collected were based on the time series (annually) from 1983 to 2016. In this study, the Augmented Dickey Fuller (ADF) and Philips Perron (PP) tests are used to determine the stationary of the time series data and the overall findings showed that the time series data are stationary at order one or I(1). In this study, the result of Engle Granger (EG) co-integration test was used and stated that all the factors were co-integrated with the agriculture productivity. However, the GE2 and interest rate (IR) are the only factors that showed a negative relationship. In the long run, all the factors are significantly affecting agricultural productivity, while the interest rate is insignificant to determine the agriculture production. Furthermore, the Error Correction Mechanism (ECM) model showed that all the factors are significantly influencing the agricultural production in Malaysia except the interest rate. In the nutshell, this study suggests that the policy maker  should take the precautions in the budget spending in agriculture sector, which should not exceed the threshold spending of RM3,057 million.

scholarly journals Analysis of the Influence of Interest Rate, Rupiah Exchange Value, Household Consumption, and Import on Inflation in Indonesia Period 2010.Q1 - 2018.Q4

2020 ◽  
pp. 81-91
Author(s):  
Jusmer Sihotang ◽  
Nancy Nopeline
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Time Series Data ◽  
Household Consumption ◽  
Series Data ◽  
Multiple Regression Equation ◽  
Exchange Value ◽  
The Government ◽  
The Interest Rate

This study aims to analyze the effect of the interest rest, the exchange rate of the rupiah, and imports on the inflation in Indonesia. The study used multiple regression equation by using secondary time series. Data from 2008.Q1-2018.Q4. The results showed that the interest rate of SBI, exchange rate of rupiah against US Dollar, private sector household consumption, and the total imports of Indonesia had a simultaneous impact on the inflation in Indonesia. However, partially only the interest rate of SBI and total imports of Indonesia had a significant impact on the inflation in Indonesia, respectivelyon the level ofα = 1% and α= 5%. These results mean that the increasing of interest rate of SBI and Indonesian import could impact the inflation rate in Indonesia. Based on the findings, the policy to control the inflation in Indonesia was Bank Indonesia as the holder of monetary policy needs to oversee the determination of business credit interest rate (micro, retail, and corporate), by commercial banks in order to maintain the rate on the stable and low levels. In addition, the government needs to compose the policy to reduce the dependence on imported goods by providing various facilities and incentives to increase the interest of entrepreneurs to invest in industries that produce imported substitute goods.

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