Pengaruh Instabilitas Makroekonomi Terhadap Non-Performing Financing Perbankan Syariah di Indonesia

This study aims to identify the determinants of non-performing financing (NPF) in Islamic banks in Indonesia. The study objects are the Islamic banking industry during the first quarter of 2008 until the third quarter of 2019. The variables in this study are inflation, growth of Gross Domestic Product (PDB), and Bank Indonesia rate. The statistic method used is the Vector Error Correction Model (VECM). The result shows that inflation shock significantly affects the trend of NPF, while others do not give significant effect to NPF of Islamic Banking.

Impact of fiscal and monetary policy on economic growth in Vietnam

This paper uses the Johansen cointegration test and the Vector Error Correction Model (VECM) to study the impact of fiscal and monetary policy on economy growth in Vietnam during the period from quarter I/2004 to quarter II/2013. The results showed the cointegration relation between the macroeconomic policies and economic growth. Besides, the variance decomposition and impulse response functions from VECM model showed the impact of the two policies on economic growth were limited, in which the impact of the monetary policy on growth is greater than that of the fiscal policy on growth. Subsequently, the paper provides some recommendations to improve the efficiency of the implementation of these policies in Vietnam.

Analysis of Integration of the Indonesian Sharia Stock Index with Developing Countries

<p><em>Globalization is rapidly causing an integration of economic and financial systems worldwide, resulting in shocks to the Islamic stock index and reducing the benefits of diversification for investors. Therefore, this study analyzes the integration, influence, response, and contribution of shocks to each developing country’s Islamic stock index. Specifically, analyzing the effect of developing country sharia stock index shocks on Indonesia's sharia stock index. The study uses monthly time series data for 2011-2021 with samples from Indonesia, Turkey, Malaysia, Pakistan, Kuwait, and India using the Vector Error Correction Model (VECM) method. The results showed cointegration or a long-term relationship in the developing countries’ sharia stock index. The Malaysian Islamic Stock Index and the Indian Islamic Stock Index influence the Indonesian Islamic Stock Index. Furthermore, the Indonesian Islamic Stock Index stabilized the fastest in response to the Turkish Islamic Stock Index shocks. However, the Malaysian Islamic Stock Index shock contributes the most to the Indonesian Islamic Stock Index. Developing countries could improve the infrastructure of the Islamic stock index and policy reforms. This would minimize the impact of international stock index shocks and accelerate integration. Investors should consider the dominant economic strength, geographical factors, and trade relations in determining portfolio diversification in global economic conditions.</em></p><div class="notranslate" style="all: initial;"> </div>

The Impacts of Government Spending and Monetary Policy Rate in Indonesia

This study reviews the impacts of government policies on the economy. The period of analysis starts from early banking sector reform until the current Covid-19 pandemic crisis. We apply Vector Error Correction Model based on the theory of money demand and inflation to analyze the relationships among income, inflation, money balance, government spending, and policy interest rate. The impacts of money balance and policy interest rate on income are as predicted by money demand. Financial sector growth and different expectation on inflation affect the efficacy of monetary policy. On the other hand, government spending might not be fully growth-enhancing. The need emerges to classify and distinguish the classes of government spending which increase growth.

LA (IN)ESTABILIDAD DE LA DEMANDA DE DINERO EN COLOMBIA, 2003-2020

<p>En este trabajo realizamos un análisis empírico de la evolución del agregado monetario M3 y de sus componentes en Colombia, con el propósito de evaluar las propiedades de estabilidad de cada uno de los activos que forman M3. El análisis se realiza con base en pruebas de raíces unitarias y cointegración. La estacionariedad de las series se estudia mediante las pruebas de ADF-GLS y M-type test, así como con pruebas que consideran la posibilidad de cambio estructural. El estudio prosigue empleando el modelo de vectores de corrección de errores (VECM) y mínimos cuadrados ordinarios totalmente modificados (FMOLS) para estimar la relación de largo plazo entre los componentes de M3 y las variables macroeconómicas determinantes. Los resultados obtenidos nos permiten afirmar que la estabilidad de la demanda de los diferentes componentes de M3 se mantiene, a pesar de distintos shocks que han afectado a la economía colombiana durante estos años.</p><p align="center"><strong> </strong></p><p align="center">THE (IN)STABILITY OF MONEY DEMAND IN COLOMBIA, 2003-2020</p><p align="center"><strong>ABSTRACT</strong></p><p>An empirical analysis is made of the evolution of M3 and its components in Colombia during the period 2003-2020. The purpose is to evaluate the stability of each of the assets that make up the aggregate M3. Unit-root and co-integration tests are used. The stationarity of the series is studied by ADF-GLS and M-type tests, as well as with tests that incorporate the possibility of structural change. In the following we implement two different methodologies to estimate the long-run relationship between M3 components and the macroeconomic determinant variables [Vector Error Correction Model (VECM) and Fully Modified Ordinary Least Squares (FMOLS)]. The results obtained allow us to affirm that the stability of the demand of the different components of M3 is maintained, in spite of different shocks that have affected the Colombian economy over these years.</p>

Does Financial Deepening Cause Liquidity Problems for Banks? Evidence from Nigeria

Attempt to facilitate economic growth makes the Central Banks to formulate monetary policies that seek to deepen the provision of financial resources to target sectors. Since Banks are the main channels through which monetary policies are executed, we attempted to examine whether financial deepening cause liquidity problem among Nigerian banks in this study. We employed time series analytical techniques to analyze selected financial deepening indicators and data for banking system liquidity between 1981 and 2019. The financial deepening variables used include of broad money to the gross domestic product (GDP) ratio; credit to private sector to the GDP ratio; ratio of commercial banks liabilities to the GDP; financial sector contribution to the GDP and ratio of market capitalization to the GDP. On the other hand, the liquidity of the banking system is proxy by its loan/deposit ratio for the period under study. We estimated the statistical properties of the variables examined and conducted some pre-estimation tests (stationarity and co-integration) to ascertain choice estimation techniques. We used a vector error correction mechanism to investigate long and short-run effects of financial deepening on Nigerian banking system liquidity. Both the long run vector autoregressive (VAR) and the short run and vector error correction (VEC) models results showed that there is a positive but statistically insignificant relationship between banking system liquidity and financial deepening variables. In addition, the results of the Granger causality between the dependent and independent variables revealed that there exists no causal relationship between the liquidity of the banking system and financial deepening. These findings imply that financial deepening did not impair banks’ liquidity position in Nigeria during the years under review. The study concluded that financial deepening does not cause liquidity problem for banks in Nigeria; rather, if well managed, can have positive effect on it. In the light of this, the study recommends that banks should re-strategize in the implementation of financial deepening policies that are liquidity friendly and that the Central Bank of Nigeria, should formulate policies that will not only focus on credit and loan beneficiaries, but also on the banks.

Dynamic Linear Interdependence between International Trade and Macroeconomic Stability in Nigeria: A Vector Error Correction Modelling.

Causal relationships are often treated erroneously in isolation as a single equation without the consideration of the endogeneity of right-hand side variables and also without recourse to the presence of coco-integration. This study modelled and estimated the dynamic linear interdependence between international trade and macroeconomic stability in Nigeria. The specific objectives were to, establish the trend of the study variables, model and estimate the interdependence existing among total export, total import, exchange rate, and inflation rate, determine the significant causalities and summarize the causal channels among the study variables. The study used the quasi-experimental design. The study used monthly time series data which span from January, 2000 to June, 2019. The data on all the variables were sourced from the Central Bank of Nigeria Statistical Bulletin. Appropriate models were specified in line with the objectives. The study used the Vector Error Correction Models, the pre and post-diagnostic tests were also conducted. The unit root test results showed that the variables were integrated of order one [I(1)]. The co-integration test results showed 1 co-integrating equation and VAR lag length selection criteria choose lag 2. The Vector Error Correction Result showed that inflation rate was the most explained by variations in the independent variables (R2 =73.4%) while exchange Rate was the least explained (R2 =18.8%), the total export model had R2 =53.8% and total import model had (R2 =59.2%. Significant bi-directional causality was found between total export and inflation rate, and also between total import and inflation rate. There was also significant joint causality on total import and also on exchange rate. The post test showed that the models were stable. It was recommended that the right-hand side variables should be tested for endogeneity before concluding on single or system equation. It was also recommended that policies to check inflation rate should consider possibility of shocks to international trade.

PERFORMA SUKUK RITEL: SEBELUM DAN SAAT TERJADI PANDEMI COVID-19

Sukuk merupakan suatu instrumen keuangan yang diterbitkan baik oleh swasta maupun pemerintah yang nantinya akan digunakan untuk membantu operasional perusahaan atau proyek. Sukuk negara ritel merupakan jumlah lembar sukuk negara ritel yang diperdagangkan di bursa. Sukuk negara ritel diterbitkan untuk membiayai defisit Anggaran Pendapatan dan Belanja Negara (APBN). Tujuan dari penelitian ini adalah untuk mengetahui apakah variabel harga sukuk SR-008 dan SR-010 serta variabel makro ekonomi seperti BI Rate, Inflasi dan Nilai Tukar (Kurs) berpengaruh terhadap keputusan investor dalam meningkatkan performa Sukuk Ritel Negara pada sebelum dan saat terjadi pandemi. Analisis data yang digunakan dalam penelitian ini adalah menggunakan analisis model VAR (vector autoregressive) dan VECM (vector error correction model) yang di olah dengan program Eviews 10. Metode analisis yang digunakan dalam penelitian ini adalah analisis regresi data time series.Hasil penelitian ini menunjukan bahwa performa sukuk ritel negara memiliki hubungan jangka panjang antar variabel Harga Sukuk Ritel, BI Rate, Inflasi dan Kurs terhadap performa sukuk negara ritel ini. Pada hubungan jangka panjang diketahui bahwa variabel BI Rate memberikan pengaruh positif terhadap performa sukuk ritel negara. Sedangkan dalam jangka panjang variabel Inflasi, Harga Sukuk Ritel Negara dan Kurs memiliki pengaruh negatif terhadap performa sukuk ritel negara. Hasil penelitian yang telah dilakukan menunjukan bahwa variabel harga memiliki pengaruh yang cukup signifikan dalam jangka pendek maupun jangka panjang antar variabel harga terhadap performa sukuk ritel negara itu sendiri. Sedangkan untuk variabel kurs, terdapat pengaruh jangka panjang terhadap sukuk ritel negara, tetapi tidak terlalu berdampak signifikan artinya variabel kurs mempengaruhi keputusan dan jika nilai kurs turun makan dapat mendorong investor untuk berinvestasi dalam sukuk negara ritel, sehingga performa sukuk ritel negara akan meningkat. Pada hasil uji Beda atau Paired Sample T-Test bahwa tidak terdapat perbedaan yang signifikan antara performa sukuk ritel negara sebelum dan saat terjadi pandemi.