Macroeconomics Commons^™

Exchange Rate Responses And Volatility Spillover Effects During The Covid-19 Pandemic In Indonesia, Panky Tri Febiyansah

Economics and Finance in Indonesia

This paper aims to assess the impact of the confirmed COVID-19 cases, the timing of the outbreak, and physical measures on the returns and spillover effects of exchange rate in Indonesia. The model will be tested by the exponential generalized autoregressive conditional heteroskedastic (EGARCH) process and the spillover volatility index. The study discovers that the confirmed cases, outbreak news, and the implementation of large-scale social restrictions simultaneously contribute to a leverage effect on the volatility of a direct quote of Indonesian Rupiah to Australian Dollar, Euro, US Dollar, Singapore Dollar, and Great British Pound. To a certain extent, the heatwave …

Regresi Ambang Untuk Mendalami Pengaruh Nonlinier Kekuatan Pasar Terhadap Pinjaman Bank Di Asean-5, Mahjus Ekananda

Jurnal Ekonomi dan Pembangunan Indonesia

Credit distribution has developed rapidly in the ASEAN region and it is largely dominated by the banking sector compared to other financial institutions. This study explores the effects of various changes to the GDP growth regime, firm size, and monetary policy. The objects of this research are commercial banks in ASEAN-5 from year 2010 to 2019. This study utilises the threshold regression method and a single proxy to measure market power. Results of this study found that monetary policy and market forces affect productive credit. Changes in impact that occur are mostly due to different behavior between banks in response …

Vector Autoregression Analysis Of The Relationship Between Inflation Rate, Interest Rate, And Exchange Rate To The Jakarta Islamic Index, Ajeng Qurrota A'Yun, Nur Fatwa

Journal of Strategic and Global Studies

ABSTRACT

The Indonesian Sharia Capital Market is an interesting thing to study because based on the 2019 Global Islamic Finance Report (GIFR) report, Indonesia is ranked first in the Global Sharia Financial Market. The Jakarta Islamic Index (JII) is the sharia stock index that was first launched on the Indonesian capital market on July 3, 2000 and only consisted of the 30 most liquid Islamic shares listed on the Indonesia Stock Exchange. This study will try to uncover how the relationship between macroeconomic variables in Indonesia by using Vector Autoregression (VAR) analysis and using monthly secondary data from 2012-2019. VAR …