scholarly journals Portfolio Flows into Indonesia: Push or Pull?

2016 ◽  
Vol 62 (2) ◽  
pp. 121
Author(s):  
Chaikal Nuryakin ◽  
Edith Zheng Wen Yuan ◽  
I Gede Putra Arsana
Keyword(s):  
Stock Market ◽  
Vector Autoregression ◽  
Negative Impact ◽  
Credit Default Swap ◽  
Structural Vector Autoregression ◽  
Stock Market Index ◽  
Pull Factors ◽  
Portfolio Flows ◽  
Stock Market Performance ◽  
Structural Vector

This paper focuses on the dynamic of the portfolio flows into Indonesia. The result of Structural Vector Autoregression (SVAR) model reveals that push factors is more dominant than pull factors in explaining portfolio flows into Indonesia. Portfolio flows into Indonesia are positively correlated with regional’s stock market performance and negatively correlated to the federal funds rate. On the pull factors, domestic risk (the Credit Default Swap spread) is more dominant than domestic return (the BI rate) in explaining the flows. Thus, it is important for authorities to have more focus on domestic risk–relative to rate of return–in managing portfolio flows. In addition, the negative impact of the lagged Indonesia stock market index to the capital flows indicates a counter cyclical investment behavior of global investors. AbstrakStudi ini mengkaji dinamika arus investasi portofolio Indonesia. Hasil dari model Structural Vector Autoregression (SVAR) menunjukkan bahwa "faktor pendorong" lebih dominan dibandingkan "faktor penarik" dalam menjelaskan pergerakan arus investasi portofolio. Arus investasi portofolio ini berkorelasi positif dengan kinerja pasar saham regional dan berkorelasi negatif dengan tingkat suku bunga the Fed. Untuk faktor penarik, risiko domestik (CDS) menjadi faktor yang dominan dibandingkan imbal hasil (BI rate) yang menguatkan pentingnya manajemen risiko perekonomian domestik dalam stabilisasi arus investasi portofolio. Lebih lanjut, studi ini juga mengindikasikan adanya perilaku kontra siklikal dari investor global.Kata kunci: Arus Investasi Portofolio; SVARJEL classifications: F32; G11

scholarly journals Inflasi Makanan dan Implikasinya terhadap Kebijakan Moneter di Indonesia

2016 ◽  
Vol 17 (1) ◽  
pp. 58-74
Author(s):  
Rulyusa Pratikto ◽  
Mohamad Ikhsan
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Vector Autoregression ◽  
Spillover Effect ◽  
Structural Vector Autoregression ◽  
Inflation Stabilization ◽  
Effect Of Food ◽  
Food Inflation ◽  
Structural Vector ◽  
Effectiveness Of Monetary Policy

Food Inflation and Monetary Policy Implication in IndonesiaControlling food inflation in Indonesia is essential mainly caused by its persistent and relatively significant impact on the poor’s purchasing power compare to other commodities. Thus, the main purpose of this study is to determine the effectiveness of monetary policy on food inflation stabilization in Indonesia. By utilizing Structural Vector Autoregression, the empirical results provided here show that monetary policy does eectively prevent the spillover effect of food to non-food inflation. In addition to that, the exchange rate may play some role in the longer period to affect the volatility of food inflation.Keywords: Monetary Policy; Food Inflation; Structural Vector Autoregression AbstrakPengendalian inflasi makanan penting untuk dilakukan di Indonesia terutama karena dua hal, yaitu sifat inflasi makanan yang persisten dan dampaknya terhadap penurunan daya beli keluarga miskin yang relatif tinggi dibandingkan dengan komoditas lainnya. Dengan demikian, tujuan utama penelitian ini adalah untuk mengetahui efektivitas dari kebijakan moneter terhadap pengendalian inflasi makanan di Indonesia. Dengan menggunakan metode Structural Vector Autoregression, hasil empiris menunjukkan bahwa kebijakan moneter secara efektif dapat mencegah dampak spillover inflasi makanan ke inflasi non-makanan. Selain itu, stabilitas nilai tukar dapat memiliki peran untuk mengurangi volatilitas inflasi makanan terutama pada jangka panjang.

The impact of media campaigns on smoking cessation activity: a structural vector autoregression analysis

Addiction ◽  
2012 ◽  
Vol 107 (11) ◽  
pp. 2043-2050 ◽  
Author(s):  
Tessa E. Langley ◽  
Ann McNeill ◽  
Sarah Lewis ◽  
Lisa Szatkowski ◽  
Casey Quinn
Keyword(s):  
Smoking Cessation ◽  
Vector Autoregression ◽  
Structural Vector Autoregression ◽  
Media Campaigns ◽  
The Impact ◽  
Structural Vector

scholarly journals STOCK MARKET PERFORMANCE AND THE AUGMENTATION OF FRONTIER ECONOMIES: A Comparative Scrutiny of Nigeria & Mauritius

2016 ◽  
Author(s):  
Edesiri Godsday Okoro
Keyword(s):  
Stock Market ◽  
Financial Services ◽  
Negative Impact ◽  
Market Performance ◽  
Modus Operandi ◽  
Market Capitalization ◽  
Paired Samples ◽  
Economic Progress ◽  
Stock Market Performance ◽  
Fail Safe

<p><em>This paper provides a comparative analysis on stock market performance and augmentation of frontier economies: Nigeria and Mauritius. Using a Paired-Samples T-test statistical modus-operandi, data of Market Capitalization and Gross Domestic Product were obtained from the Central Bank of Nigeria Statistical Bulletin and Annual Financial Services Commission Statistical Bulletin of Mauritius during 2006-2010. The findings revealed that stock market performance for Mauritius was superior to Nigeria and same for GDP. In addition, the negativity shows that stock market performance has a negative impact on economic progress in Nigeria and Mauritius. This may be due to the fact that frontier markets give attention to money market while relegating stock market to the background. </em><em>On this note, since stock market contributes significantly to economic growth, efforts by both governments should be that of developing policies aimed at further strengthening stock market. These policies should not be ‘written-policies’ but policies that can be put into practice. Also, market capitalization can be stimulated by encouraging investments in stock market. This can be done by ensuring investors are fail-safe of their investments. When investors perceive a safety of their investment, they may want to commit their resources and in turn make the economy to flourish.</em></p>

scholarly journals Examination of the Exchange Rate and Import Price Pass-through to Inflation: A View from Nigeria

2020 ◽  
Author(s):  
Samuel F Onipede ◽  
Nafiu A Bashir ◽  
Kodili N Nduka ◽  
Nuruddeen Usman
Keyword(s):  
Exchange Rate ◽  
Vector Autoregression ◽  
Import Price ◽  
Domestic Currency ◽  
Structural Vector Autoregression ◽  
Vector Autoregression Model ◽  
Autoregression Model ◽  
Pass Through ◽  
Structural Vector ◽  
Domestic Inflation

Abstract We examine the effect of exchange rate and import price pass-through to inflation in Nigeria using headline inflation and import price data, with the aid of a non-recursive Structural Vector Autoregression model. Our results indicate mostly incomplete ERPT and IPPT to inflation. Specifically, we found that (i) the ERPT to the INF is incomplete at all horizons. (ii) IPPT to the INF is incomplete at all horizons. (iii) IPPT to inflation is relatively more rapid than the ERPT to inflation. The findings further suggest that the monetary authority should be wary of using devaluation of the domestic currency as a way of propping up the economy as that would not only aggravate domestic inflation but likely to also increase the ERPT. Similarly, harmonizing the disparate exchange rate windows in the economy might reduce import price pass-through to domestic inflation. Also, the size and speed of both ERPT and IPPT from the study suggest that relevant authorities need to strengthen domestic industries and instill confidence in consumers, to reduce reliance on imports.JEL Classification: C32; E31; F31; 055

scholarly journals Peramalan Dengan Model SVAR Pada Data Inflasi Indonesia Dan Nilai Tukar Rupiah Terhadap Dolar Amerika Dengan Menggunakan Metode Bootstrap

d'CARTESIAN ◽  
2016 ◽  
Vol 5 (1) ◽  
pp. 28
Author(s):  
Daivi Wardani ◽  
Adi Setiawan ◽  
Didit Nugroho
Keyword(s):  
Vector Autoregression ◽  
Structural Vector Autoregression ◽  
Structural Vector

Model Structural Vector Autoregression (SVAR) pada data inflasi Indonesia dan nilai tukar rupiah terhadap dolar Amerika telah dikaji dan dihasilkan estimasi untuk parameter model. Dalam studi ini, metode bootstrap diaplikasikan untuk mengestimasi parameter-parameter dari model. Metode bootstrap merupakan metode resampling dari data asli untuk mendapatkan data baru dengan banyak pengulangan yang terjadi. Dengan bantuan Software R i386 3.0.1, dari metode bootstrap diperoleh estimasi titik (median bootstrap) dan interval konfidensi bootstrap persentil yang mengandung hasil prediksi dengan metode klasik. Hasil peramalan menunjukkan bahwa, hasil darimetode langsung yang diperoleh dalam kajian sebelumnya lebih baik daripada dengan menggunakan metode bootstrap. Kata kunci : Inflasi, Metode Bootstrap, Nilai Tukar Rupiah Terhadap USD, SVAR.

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