scholarly journals The effect of macro factors on bank credit activity in the Republic of Serbia

Skola biznisa ◽  
2020 ◽  
pp. 39-54
Author(s):  
Dejan Živkov ◽  
Simo Poparić ◽  
Miloš Ilić
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Regression Models ◽  
Main Idea ◽  
Bank Loans ◽  
Short Term ◽  
The Republic ◽  
Exchange Rate Changes ◽  
Civil Sector

This paper investigates whether and how key macro-fundamentals in Serbia affect the volumes of issued loans of Erste bank to public and business sector in Serbia. We made an effort to determine which particular macro factor has the highest influence on issued credits of Erste bank, and to measure the exact average magnitude of these influences. The main idea is to find out how GDP, inflation, central bank referent interest rate, exchange rate changes and Euribor affect short-term and long-term credit activity of Erste bank in Serbia. The computations are done by applying several multivariate regression models in which dependant variables are the volume of issued credits towards civil sector and enterprises. Based on the results, we can report that Euribor is the most important factor of all scrutinized macro-aggregates, since it affects most of the analysed bank loans. Besides Euribor, we find that other macro fundamentals influence the issued loans only sporadically. In other words, the level of GDP and inflation affect only long-term loans for businesses, while referent interest rate influences only short-term loans for public. We find that exchange rate changes have no effect on any loan of Erste bank, whatsoever, which clearly indicates that the bank protects itself very successfully against this type of macro risk.

scholarly journals PENGARUH INFLASI, JUB, SBI, SERTA CADANGAN DEVISA TERHADAP NILAI TUKAR RUPIAH TAHUN 2017-2020

2021 ◽  
Vol 6 (2) ◽  
pp. 60-72
Author(s):  
Duwik Tri Utami ◽  
Fitrah Sari Islami
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Money Supply ◽  
Foreign Exchange ◽  
Open Economy ◽  
The United States ◽  
Foreign Exchange Reserves ◽  
Short Term ◽  
The Exchange Rate

Indonesia's economy refers to an open economy. In conducting international trade, countries must compare their currencies with currencies belonging to other countries. Where, the United States currency, namely the dollar, is still the standard of world exchange rates and is used in international transactions. The effect of fluctuations in the exchange rate of the rupiah with the dollar is the occurrence of depreciation or appreciation which will affect Indonesia's economic activities. The purpose of this study is to determine the effect of inflation, the money supply (M2), the SBI interest rate, and foreign exchange reserves on the rupiah exchange rate in the short and long term. The variables that are thought to be able to influence changes in the rupiah exchange rate are the inflation rate, the money supply (M2), the SBI interest rate, and foreign exchange reserves. This research was conducted during January 2017 to December 2020, using the Error Correction Model (ECM). The result is a long-term and short-term relationship. In the short term, foreign exchange reserves and the money supply (M2) significantly affect the exchange rate. Meanwhile, in the long term, the SBI interest rate, money supply (M2), and foreign exchange reserves significantly affect the exchange rate.

scholarly journals A VECM Analysis of the Relations the CPI, PPI, GDP Per Capita, Exchange Rate in the Republic of Azerbaijan

2020 ◽  
pp. 22-46
Author(s):  
Revana I. Davudova
Keyword(s):  
Exchange Rate ◽  
Causal Relationship ◽  
Oil Prices ◽  
Economic Research ◽  
Gdp Per Capita ◽  
National Academy Of Sciences ◽  
Short Term ◽  
Per Capita ◽  
The Republic

Aims:  The study focuses on an empirical analysis of a macroeconomic indicators system,  that reflect the level and pace of a country's socio-economic development, such as CPI, PPI, GDP per capita, exchange rate, taking into account the consequences of the COVID19 pandemic and oil prices  on the example Republic of Azerbaijan. Study Design:  The study consists of four sections. It includes Introduction, Literature Review, Methodology, Results and Discussion and Conclusion. Place and Duration of Study: The study was conducted for 4 months of 2020 in the department of "Mathematical support of economic research" of the Institute of Economics of Azerbaijan National Academy of Sciences. Methodology: Within the dynamic VEC model, taking into account the COVID19 pandemic and oil prices, the long-run and short-run effects of macro indicators system on each other were studied by means of causality, impulse responses and variance decomposition on the monthly statistics covering the period 2015M01-2020M07 for the Republic of Azerbaijan. Results: Calculations based on the established stable VEC (5) model revealed that there is a long-term causal relationship from the triad (CPI, PPI, Ex_Rate) to all endogenous variables. There are a short-term bi-directional causal relationship between CPI and GDP_Per_Capita and between PPI and Ex_Rate. From PPI and Ex_Rate to GDP_Per_Capita; from Ex_Rate to CPI, there are a unidirectional short-term causal relationship. Conclusion: Summarizing the results, we can write the following long-term expressions: the change   a) in the GDP_per_Cap is influenced by the PPI and CPI variables negatively, and Ex_Rate – positively; b) in the CPI is influenced by the GDP_per_Cap and PPI variables negatively, and Ex_Rate – positively; c) in the PPI is influenced by the Ex_Rate and CPI variables negatively, and GDP_per_Cap – positively, so that the negative influence of the CPI is greater; d) in the Ex_Rate is influenced by the PPI and CPI variables negatively, and GDP_per_Cap – positively. Has been also identified that the indicator PPI has a more negative effect on changes in GDP_per_Cap, CPI and Ex_Rate.

scholarly journals Analisis Faktor-Faktor yang Mempengaruhi Nilai Tukar Rupiah Periode 1999Q1-2019Q2

2020 ◽  
Vol 11 (2) ◽  
pp. 197-209
Author(s):  
Erric Wijaya
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Interest Rates ◽  
Inflation Rate ◽  
Oil Prices ◽  
Short Term ◽  
Long Run ◽  
The Exchange Rate ◽  
The Interest Rate

The exchange rate plays an important role in influencing the level of Indonesia's international trade towards trading partner countries. This study discusses the factors that influence the exchange rate of the rupiah against dollar both in the short and long term. The variables that are suspected to influence changes in exchange rates are the inflation rate, the interest rate (SBI), world oil prices, the value of exports, and the value of imports. This research was conducted during 1999 quarter 1 to 2019 quarter 2. The results showed that there was a long-term and short-term relationship between inflation rates, interest rates, world oil prices, exports and imports to the exchange rate. In the short term, the interest rate and world oil prices have a significant effect on the exchange rate. In the long run, the inflation rate, world oil prices and imports have a significant effect on the exchange rate.

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 Impact of Infaltion, Exchange Rate and Interest Rate on the Private Sector Credit of Pakistan

2020 ◽  
Vol 6 (4) ◽  
pp. 1133-1138
Author(s):  
Muhammad Umair Ali ◽  
Saliha Gul Abbasi ◽  
Mazhar Abbas ◽  
Ghulam Dastgeer
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Private Sector ◽  
Negative Impact ◽  
Positive Impact ◽  
Short Term ◽  
Short Run ◽  
Auto Regressive ◽  
Adf Test

The paper analyzed the long-term and short-term impact of interest rate, exchange rate and inflation on the private sector credit of Pakistan during the period from 1975 to 2018. To test the stationarity of data Augmented Dick Fuller (ADF) Test was applied. While the main model to explore the long-term and short-term dependence was based on Auto Regressive Distribution Lag (ARDL) Model. The results suggested no effect of exchange rate on private sector credit, while inflation has significant as well as positive impact on Private Sector Credit (PSC) in long as well as short run. Lastly, the most important dependence i.e. interest effect on PSC; depicted negative impact in both short and long term.

Pengaruh Nilai Tukar dan Suku Bunga Acuan Terhadap Neraca Transaksi Berjalan di Indonesia Periode 2005:1 – 2015: 1 (Pendekatan Error Correction Model)

MODUS ◽  
2016 ◽  
Vol 28 (1) ◽  
pp. 105
Author(s):  
Toni Saputra ◽  
R Maryatmo
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Current Account ◽  
Secondary Data ◽  
Analysis Tool ◽  
Short Term ◽  
Correction Model ◽  
The Exchange Rate ◽  
The Current Account

AbstrakPenelitian ini bertujuan untuk mengetahui dan menganalisis pengaruh nilai tukar dan suku bunga acuan terhadap neraca transaksi berjalan di Indonesia periode 2005:1- 2015:1. Data yang digunakan merupakan data sekunder. Data sekunder bersumber dari website Bank Indonesia. Alat analisis yang digunakan adalah Errror Correction Model (ECM). Selanjutnya analisis deskriptif digunakan untuk menjelaskan hasil penelitian.Penelitian ini menghasilkan dua hal. Pertama, dalam jangka pendek nilai tukar tidak berpengaruh terhadap neraca transaksi berjalan Indonesia. Dalam jangka panjang nilai tukar memiliki pengaruh positif dan signifikan terhadap neraca transaksi berjalan. Kedua, dalam jangka pendek suku bunga acuan tidak berpengaruh terhadap neraca transaksi berjalan Indonesia. Dalam jangka panjang suku bunga acuan memiliki pengaruh negatif terhadap neraca transaksi berjalan. Kata Kunci: neraca transaksi berjalan Indonesia, nilai tukar, suku bunga acuan, Errror Correction Model AbstractThis study aims to determine and analyze the effect of exchange rates and interest rates on current account in Indonesia from 2005: 1 to 2015: 1. The data used is secondary data. Secondary data is sourced from the website of Bank Indonesia. The analysis tool used is Errror Correction Model (ECM). Further descriptive analysis is used to explain the study results.This research resulted in two things. First, in the short term exchange rate has no effect on the current account in Indonesia. In the long term the exchange rate has a positive and significant impact on the current account. Second, in the short-term benchmark interest rate has no effect on the current account in Indonesia. In the long-term benchmark interest rate has a negative effect on the current account. Keywords: current account in Indonesia, the exchange rate, the benchmark interest rate, errror Correction Model

scholarly journals Analisis Pengaruh Likuiditas, Faktor Fundamental Ekonomi Makro Dan Faktor Eksternal Terhadap Imbal Hasil Surat Utang Negara (Seri FR0031)

2019 ◽  
Vol 2 (1) ◽  
pp. 46
Author(s):  
Deandra Aulia
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Sovereign Debt ◽  
Secondary Data ◽  
Debt Management ◽  
Short Term ◽  
Fixed Rate ◽  
Negative Effect ◽  
The Government

The government reopened the series FR0031 sovereign debt at the beginning of January 2010 through the Bank Indonesia auction system. The offered interest rate same as the beginning when the government issued FR0031 series debt securities, fixed rate of 11% but over time yield or yield in the form of coupons received by investors are fluctuating.               The aims of this research is to analyze the short term and long term influence of liquidity, interest rate, inflation, GDP, and exchange rate to imbal hasil National Bond (SUN) in the year of 2010 – 2017. This research using quarterly data of 2010 – 2017 for each variable. Data in this study is secondary data time series which provide by Bloomberg, Bank Indonesia, BPS and publication of Directorate General of Debt Management. The methode which used in this research is Error Correction Model. The result shows that variable inflation, GDP and exchange rate significantly positive effect in otherhand liquidity and interset rate significantly negative effect on Imbal hasil Curve SUN in long term. Judging by the value of the R square was 0.906314 it means 90.63% of imbal hasil explainable by independent variables used in this research the rest 9.37% explained by other factors. Based on the regression results there is no variable that significant in the short term with R square of 0.341939 which means the independent variable is able to explain 34.19% and 65.81% variation of the dependent variable

scholarly journals FAKTOR-FAKTOR YANG MEMPENGARUHI NILAI TUKAR RUPIAH TERHADAP DOLAR AMERIKA DENGAN MODEL KOREKSI KESALAHAN ENGLE-GRANGER (PENDEKATAN MONETER)

2017 ◽  
Vol 4 (2) ◽  
pp. 162
Author(s):  
Eni Setyowati
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Gross Domestic Product ◽  
Money Supply ◽  
Foreign Exchange ◽  
Domestic Product ◽  
Short Term ◽  
Demand And Supply ◽  
Real Gross Domestic Product

Exchange rate measures the value of a certain foreign exchange from other foreign exchange's perspective. As the condition of economic changes, the exchange rate ma change substantially. The decrease of the value of a foreign exchange is called depreciation and the increase value of a foreign exchange is called appreciation.The equilibrium exchange rate will change along with the change of demand and supply. Factors causing the change of demand and supply curve among others are the amount of money supply, relative gross domestic product (GDP) and the level of relative interest rate.The research is aimed to analyze the influence of variables of Indonesian money supply, American money supply, Indonesian real Gross Domestic Product, American real Gross Domestic Product, deposits interest rate and LIBOR (London Interbank Offer Rates on SDR Deposit) both in short and long terms.One of the ways to analyze the influence of short term and long term is by developing the dynamic model. In this research, the analyzes of dynamic model was conducted with ENGEL-GRANGER ERROR CORRECTION MODEL approach which was developed by ENGEL-GRANGER (1987) based on GRANGER REPRESENTATION THEOREM.The ECM analyzes was chosen not only because of its ability to solve the problem of time series which is not stationer, and spurious regression and spurious correlation in the economic analyses but also its ability to discuss the consistence of empiric model with economic theory. Beside, ECM concept is also thought to be more realistic in observing the development of economics variables from the result of the analyzes during the time of observation. It was known that long-term exchange rate is influenced by Indonesia real Gross Domestic Product and the number of Indonesian money supply. The variable of Indonesian real Gross Domestic showed the significant result and the signal test was convenient with the theory. The variable which influence" short term exchange rate are the amount of Indonesian money supply, Indonesian real Gross Domestic Product, and Indonesian deposit interest rate. The three variables showed the significant result and the signal test was convenient with the theory.

scholarly journals Pengaruh Faktor Internal dan Eksternal Terhadap Penentuan Suku Bunga Bank Indonesia

2019 ◽  
Author(s):  
samsul arifin
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Interest Rates ◽  
External Factors ◽  
Short Term ◽  
The Us ◽  
Us Dollar ◽  
The Exchange Rate ◽  
Internal And External Factors

This research discusses the influenced interest rate of Bank Indonesia by internal and external factors . The internal factors include investment , inflation and money supply. However, the external factors include the exchange rate of Rupiah on the US Dollar, the SIBOR , the PboC (People Bank of China) interest rate and The FED interest rate. This research is aimed to know what the effect of internal and external factors in the determination of interest rate of Bank Indonesia’s policy on 2008:Q4 – 2015:Q4 periods. This research uses Error Correction Model ( ECM ) method . The result of this research shows that in partial test (t-test) all variabel which is have an significant influence on interest rates of Bank Indonesia for a long term. Meanwhile, the variable of investment, inflation, the exchange rate of Rupiah on the US Dollar , and sibor have an significant influence on interest rates of bank Indonesia for a short term . The variable of investment , inflation , money supply ,the exchange rate of Rupiah on the US Dollar , the FED interest rates, Pboc interest rates and sibor variable simultaneous have an influence significant on interest rates of bank Indonesia variable for a short term and a long term.

scholarly journals A Neutral Real Interest Rate in the Case of a Small Open Economy: Application to Ukraine

2018 ◽  
pp. 4-20 ◽  
Author(s):  
Anton Grui ◽  
Volodymyr Lepushynskyi ◽  
Sergiy Nikolaychuk
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Real Exchange Rate ◽  
Open Economy ◽  
Risk Premium ◽  
Real Interest Rate ◽  
Small Open Economy ◽  
National Bank ◽  
Exchange Rate Changes

This paper measures a neutral interest rate in Ukraine by means of applying a Kalman filter to a semistructural model with unobserved components. We rely on a medium-term concept of a neutral interest rate, where it is defined as a real interest rate consistent with output at its potential level and inflation at its target level after the effects of all cyclical shocks have disappeared. Under this concept, and accounting for the small open nature of Ukrainian economy, the neutral interest rate is determined by the global economy’s cost of capital and domestic long-term factors that influence risk-premium and changes in the real exchange rate. Conditional on long-term forecasts for output, demographic trends, real exchange rate changes, and risk premium, the neutral rate is projected to decrease gradually from its 2.5% level as of the beginning of 2018 to 2% in real terms, or to 7% in nominal terms under a 5% inflation target. However, in the following years, the gap between the National Bank of Ukraine’s policy rate and the neutral rate should remain positive – reflecting the tight monetary stance needed to ensure stable disinflation.

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