scholarly journals Estimation of VECM Parameter Using Bayesian Approach: An Application to Analysis of Macroeconomic Variables

2020 ◽  
Vol 9 (6) ◽  
pp. 113
Author(s):  
Meilina Retno Hapsari ◽  
Suci Astutik ◽  
Loekito Adi Soehono
Keyword(s):  
Parameter Estimation ◽  
Exchange Rate ◽  
Interest Rates ◽  
Money Supply ◽  
Bayesian Approach ◽  
Estimation Method ◽  
Likelihood Estimation ◽  
Macroeconomic Variables ◽  
Us Dollar ◽  
The Relationship

This study uses Bayesian approach to estimate Vector Error Correction Model (VECM). The aims of this study is to analyze the relationship between macroeconomic variables in Indonesia. To analyze the best method to influence government targets or policies on economic growth by studying the relationships of many macroeconomic variables. Previous studies in analyzing the relationship between macroeconomic variables with VECM analysis, using the Maximum Likelihood Estimation. However this estimation method cannot solve the problem of overparameterization in VECM model. The variables used in this study are six macroeconomic variables in Indonesia in 2010 quarter 1 to 2019 quarter 4 are GDP, the money supply, exchange rate of rupiah to US dollar, exports, imports and interest rates. The number of data in this study is less than the number of estimated parameters causing overparameterization problems. Therefore, this study uses the Bayesian parameter estimation method to avoid overparameterization problems in economic data. The model obtained from this study is the BVECM(3) and it has been proven that the model is suitable (the model diagnostic test). Based on the parameter estimation results of BVECM(3), the significant variables affecting GDP are GDP itself, the money supply, exchange rate of rupiah to US Dollar, exports, imports and the interest rate for Bank Indonesia Certificates. In addition, there is a two-way relationship that affects each other, namely the relationship between GDP and the money supply, exports and imports, exports and interest rates, and between imports and interest rates.

scholarly journals ANALISIS PENGARUH FAKTOR VARIABEL MAKROEKONOMI TERHADAP JAKARTA ISLAMIC INDEX (JII) PERIODE 2010 – 2013

2014 ◽  
Vol 3 (2) ◽  
Author(s):  
Herni Ali
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Regression Models ◽  
Secondary Data ◽  
Macroeconomic Variables ◽  
Multiple Regression Models ◽  
Negative Effect ◽  
The Exchange Rate ◽  
The Relationship ◽  
Positive Effect

The aim of this study is examining the relationship between cointergration and causality levels of Exchange Rate, GDP, BI interest rates and inflation on Islamic Capital Markets. The data used in this study is a quantitative secondary data in the form of time series of the period January 2010 to December 2013. The test were conducted with the approach of multiple regression models with variable index research JII (Y), the exchange rate (X1), GDP (X2) , BI rate (X3) and inflation (X4) as for hypothesis testing performed using SPSS statistical software. From the results obtained by testing the hypothesis that: a positive effect on the exchange rate, positive effect on GDP, interest harga sewa rates BI negative effect and inflation positive effect on JII. Simultanious testing into four macroeconomic variables affect the JII.DOI: 10.15408/sjie.v3i2.2061   

scholarly journals PEMODELAN JUB DAN BI RATE TERHADAP INFLASI DAN KURS RUPIAH MENGGUNAKAN REGRESI SEMIPARAMETRIK BIRESPON BERDASARKAN ESTIMATOR PENALIZED SPLINE

2020 ◽  
Vol 9 (2) ◽  
pp. 204-216
Author(s):  
Siti Fadhilla Femadiyanti ◽  
Suparti Suparti ◽  
Budi Warsito
Keyword(s):  
Exchange Rate ◽  
Money Supply ◽  
Semiparametric Regression ◽  
Least Square ◽  
Penalized Spline ◽  
R Program ◽  
Us Dollar ◽  
The Exchange Rate ◽  
The Right ◽  
The Relationship

Some indicators of the Indonesian economy are inflation and the exchange rate of rupiah against US dollar. Inflation and the rupiah exchange rate are thought to be influenced by the money supply (JUB) and the BI Rate. The money supply has a nonparametric relationship pattern to inflation and the rupiah exchange rate, while the BI Rate has a parametric relationship pattern  to inflation and the rupiah exchange rate. The right method for detecting the relationship between inflation and the exchange rate with JUB and BI Rate is birespon semiparametric regression with a splined penalized estimator. The semiparametric regression coefficient of birespon spline penalized is estimated using the Weighted Least square (WLS) method which is determined based on the degree of polynomials, the number and location of the optimal knot points, and the optimal lambda determined based on the minimum of Generalized Cross Validation (GCV). This research uses the R Program. Based on the results of the analysis, the best spline penalized birespon semiparametric regression model is located in the number of knots is 5 at the knot points of 5257,783; 6649,469; 8976,871; 11099,19 and 13535,51 found in the first degree of response is 1 and the second degree of response is 2 with an optimal lambda of 99,99. The results of the performance evaluation of the model produce value of  is 99,9007%, meaning that the model's performance is very good for out samples of the data and the MAPE value of 2.89169% is less than 10% which means the model's performance is very good.  

scholarly journals Money supply, interest rate, exchange rate and oil price influence on inflation in South Africa

2011 ◽  
Vol 8 (3) ◽  
pp. 594-605 ◽  
Author(s):  
Raphael Tabani Mpofu
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Interest Rates ◽  
Money Supply ◽  
Development Strategy ◽  
Consumer Price Index ◽  
Negative Relationship ◽  
Oil Price ◽  
Policy Framework ◽  
Macroeconomic Variables

Price stability is critical for South Africa’s economic development strategy, and, based on previous studies, to effectively achieve this, requires a good understanding of the relationship between inflation and selected macroeconomic variables of broad money supply, interest rate, exchange rate and oil price. Monthly data are employed from January, 1999 through September, 2010. To determine this relationship, the independent variables were tested for multicollinearity, and thereafter a multiple regression model was developed. The findings from the study show that approximately 97% of the consumer price index movement is explained by the four macroeconomic variables. The study confirms that money supply and exchange rates have a strong positive relationship with inflation and have to be managed. Interest rates and oil price, on the other hand, have a significant negative relationship with inflation and should be part of a macroeconomic policy framework. This requires managing the delicate balance between a desirable level of inflation in support of economic growth and development and an unacceptable level of inflation that leads to price instability.

scholarly journals ANALISIS PENGARUH KEBIJAKAN PEMERINTAH TERHADAP NILAI TUKAR RUPIAH SETELAH KRISIS EKONOMI GLOBAL 2008

2020 ◽  
Vol 7 (2) ◽  
Author(s):  
Dwita Sakuntala
Keyword(s):  
Interest Rates ◽  
Money Supply ◽  
Significant Influence ◽  
Global Economy ◽  
Estimation Method ◽  
Likelihood Estimation ◽  
Analysis Model ◽  
Real Gdp ◽  
The Us ◽  
Approach Theory

At the end of 2008 there was a financial crisis in America that impacted the global economy including Indonesia. This condition causes the movement of the rupiah to weaken following the global economy. The weakening of the rupiah causes, the economic conditions in Indonesia participate weakened. This study aims to determine the effect of money supply, gross domestic income, inflation and interest rates on the rupiah against the US dollar after the 2008 global economic crisis.The basic theory used in this research is the monetary approach theory was developed by Frenkel (1984). The analysis model used is ARCH/GARCH model with Maximum Likelihood estimation method. The empirical result of these research shows that the variable which have positive and significant influence is variable of money supply, and interest rates. Real GDP have negative and significant influence to the exchange rate. While inflation has no effect.

scholarly journals Pendekatan Model Nonparametrik untuk Memodelkan Hubungan Antara Jumlah Uang Beredar dan Indeks Harga Konsumen di Indonesia Tahun 1969-2017

2020 ◽  
Vol 3 (1) ◽  
pp. 24
Author(s):  
Pardomuan Robinson Sihombing
Keyword(s):  
Money Supply ◽  
Parametric Method ◽  
Consumer Price Index ◽  
Likelihood Estimation ◽  
Optimization Method ◽  
Least Square ◽  
Macroeconomic Variables ◽  
The Government ◽  
The Relationship ◽  
Non Parametric

<p class="Abstract-Title">Inflation is one of the macroeconomic variables of concern to the government in addition to economic growth, unemployment and poverty. Inflation is measured by the Consumer Price Index (CPI). According to the quantity theory of the classics, argues that the price level is determined by the amount of money in circulation, prices will rise if there is an increase in the money supply, assuming the amount of goods offered is fixed, while the amount of money is doubled, sooner or later the price will doubled. Often the relationship between macroeconomic variables is not always linear, it can be exponential, logarithmic, or highly fluctuating patterns. This nonlinear relationship cannot be forced using parametric regression which generally uses the Ordinary Least Square (OLS) or Maximum Likelihood Estimation (MLE) which often implies the existence of certain distributions and linear data patterns. In some literatures, researches using a linear model with OLS, for describing the relationship between CPI and money supply. This research uses several non parametric approaches, namely kernel and <em>spline</em> functions. The results obtained are a strong positive relationship between money supply and CPI, where money supply has a significantly positive effect on CPI. The most suitable non parametric method to describe the relationship pattern between CPI and money supply is the smoothing <em>spline</em> method with Generalized Cross Validation (GCV) parameter optimization method with the smallest RMSE and MAPE criteria and functions that can follow data patterns smoothly.</p><p class="Abstract-Title"><strong>Keywords</strong>: CPI, money supply, non parametric, kernel, <em>spline</em>.</p>

Relationship of Macroeconomics Variables in Indonesia Using Vector Error Correction Model

2020 ◽  
Vol 9 (4) ◽  
pp. 374-390
Author(s):  
Meilina Retno Hapsari ◽  
Suci Astutik ◽  
Loekito Adi Soehono
Keyword(s):  
Interest Rates ◽  
Short Term ◽  
Correction Model ◽  
Vector Error Correction ◽  
Macroeconomic Variables ◽  
Vector Error ◽  
Us Dollar ◽  
Relationship Of ◽  
The Relationship

This study aims to analyze the relationship between macroeconomic variables in Indonesia, namely GDP with money supply, exchange rate of rupiah to US Dollar, exports, imports and interest rates. The background problem is to analyze the best method to influence government targets or policies on economic growth by studying the relationship of macroeconomic variables. Previous studies analyzing the relationship between macroeconomic variables in Indonesia have used multiple linear regression analysis. Using VECM analysis we can find out the short-term and long-term effects on the relationship between macroeconomic variables in Indonesia. The analysis used in this study is the Vector Error Correction Model with Maximum Likelihood estimation. Based on the result, the cointegration test found that there is a long-term relationship. Based on the VECM model (3), in the short term there is a relationship between macroeconomic variables and in the long run there is a long-term causality relationship in the GDP and export models. It is expected that the Government and the Central Bank will work together cooperatively in making policies to keep control of the money supply, exchange rate of rupiah to US Dollar and interest rates to enable to stimulate the economy.

Testing Structural Break in the Relationship Between Exchange Rate and Macroeconomic Variables

2019 ◽  
Vol 23 (4) ◽  
pp. 442-453 ◽  
Author(s):  
Saidia Jeelani ◽  
Joity Tomar ◽  
Tapas Das ◽  
Seshanwita Das
Keyword(s):  
Exchange Rate ◽  
Structural Breaks ◽  
Time Series Data ◽  
Structural Break ◽  
Series Data ◽  
Ripple Effect ◽  
Macroeconomic Factors ◽  
Parameter Instability ◽  
Macroeconomic Variables ◽  
The Relationship

The article aims to study the relationship between those macroeconomic factors that the affect (INR/USD) exchange rate (ER). Time series data of 40 years on ER, GDP, inflation, interest rate (IR), FDI, money supply, trade balance (TB) and terms of trade (ToT) have been collected from the RBI website. The considered model has suggested that only inflation, TB and ToT have influenced the ER significantly during the study period. Other macroeconomic variables such as GDP, FDI and IR have not significantly influenced the ER during the study period. The model is robust and does not suffer from residual heteroscedasticity, autocorrelation and non-normality. Sometimes the relationship between ER and macroeconomic variables gets affected by major economic events. For example, the Southeast Asian crisis caused by currency depreciation in 1997 and sub-prime loan crisis of 2008 severely strained the national economies. Any global economic turmoil will affect different economic variables through ripple effect and this, in turn, will affect the ER of different economies differently. The article has also diagnosed whether there is any structural break or not in the model by applying Chow’s Breakpoint Test and have obtained multiple breaks between 2003 and 2009. The existence of structural breaks during 2003–2009 is explained by the fact that volume of crude oil imported by India is high and oil price rise led to a deficit in the TB alarmingly, which caused a structural break or parameter instability.

Determinants of Workers’ Remittances in Nepal: An Empirical Study

2021 ◽  
Vol 3 (1) ◽  
pp. 126-140
Author(s):  
Naw Raj Bhatt ◽  
Melina Kharel
Keyword(s):  
Exchange Rate ◽  
Poverty Eradication ◽  
Exogenous Variables ◽  
Long Run ◽  
Ardl Approach ◽  
Short Run ◽  
Us Dollar ◽  
The Exchange Rate ◽  
External Sector ◽  
The Relationship

Background: Remittance has a crucial role in external sector stability, poverty eradication, and social as well as the human development of developing countries like Nepal. The determinants of remittance are widely discussed in the existing works of literature from altruism and portfolio approaches. Since the share of remittance in the current account, current transfer income, and forex reserve is significantly high, the study of major determinants of increasing remittance inflow is necessary. In this regard, this paper examines the relationship between remittance inflow, exchange rate, and workers outflow in Nepal. Objective: The main objective of this study was to examine the effect of the exchange rate and workers outflow on the remittance inflow of Nepal. Methods: This study employs the ARDL approach to co-integration to examine the relationship between remittance inflow as an endogenous variable and exchange rate and workers outflow as exogenous variables. Results: The coefficients of the exchange rate and workers outflow are significant and positive in long run as well as in the short-run whereas coefficients of the first lag value of workers outflow and remittance inflow itself are significant but negative. Conclusion: The significant and positive coefficient of exchange rate indicates that depreciation of Nepalese currency with US dollar (or rise in the exchange rate) rises the remittance inflow. Further, the remittance inflow also increases with an increase in workers outflow. The effect of the exchange rate on remittance is greater than that of workers outflow in both the long-run and short-run.

scholarly journals Asymmetric Macroeconomic Shocks and Asset Price Behaviors in Selected African Countries

2021 ◽  
Vol 11 (2) ◽  
pp. 90
Author(s):  
Saliu Mojeed Olanrewaju ◽  
Ogunleye Edward Oladipo
Keyword(s):  
Real Estate ◽  
Interest Rates ◽  
Asset Prices ◽  
Asset Price ◽  
Panel Cointegration ◽  
African Countries ◽  
Vector Autoregressive ◽  
Macroeconomic Variables ◽  
Real Estate Prices ◽  
The Relationship

This study examines the relationship between Asset prices (Stock and Real estate prices) and Macroeconomic variables in four selected African countries. The study employs the Westerlund Error Correction Based Panel Cointegration test and Eight-variable Structural Vector Autoregressive model to examine the relationship between asset prices and macroeconomic variables. Findings from the study confirm that no long-run relationship exists between both Asset prices and macroeconomic variables. The study equally reveals that portfolio diversification benefits of both stock and real estate markets are more pronounced in the period of a boom than the recession period in Africa. The results also show that GDP growth rate shock exerts a significant impact on both asset prices during expansion and recession periods. The study reveals that foreign interest rates and World oil price shocks are better predictors of both stock and real estate prices during the crisis period than in the expansion period.

scholarly journals Macro Economic Challenges and Third Party Funds of Islamic Commercial Banks in Indonesia

2019 ◽  
Vol 3 (1) ◽  
Author(s):  
Anik Anik ◽  
Iin Emy Prastiwi
Keyword(s):  
Exchange Rate ◽  
Money Supply ◽  
Time Series Data ◽  
Data Gathering ◽  
Third Party ◽  
Series Data ◽  
Monthly Data ◽  
The Us ◽  
Us Dollar ◽  
Gathering Data

This article aims to determine the effect of inflation, the BI Rate, the exchange rate of the rupiah to the US dollar, and the amount of money supply for Third Party Funds (TPF) in Indonesians’ Islamic Banks during 2013-2016. This research method uses multiple regression analysis with time series data; gathering data from 48 samples of which are monthly data on the variables.  The result of this research find that the inflation and exchange rate variables have no significant effect on TPF, while the BI Rate variable and the money supply have a significant effect on TPF. In doing so, Islamic banking can pay serious attention to the BI rate and the money supply and in this study the BI rate on the direction of TPF. Keywords: inflation, BI rate, exchange rate, Third Party Funds

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