Open Access. Powered by Scholars. Published by Universities.®
- Discipline
- Keyword
-
- Exchange rate (3)
- System GMM (3)
- Economic growth (2)
- India (2)
- Indonesia (2)
-
- Inflation (2)
- APEC countries (1)
- ASEAN (1)
- Age structure (1)
- Armey curve (1)
- Balance sheet (1)
- Bank account (1)
- Banking sector performance (1)
- CBDC (1)
- COVID-19 (1)
- COVID-19 Pandemic (1)
- COVID-19 measures (1)
- Coincident Economic Activity Index (1)
- Cointegrated VAR (1)
- DOLS (1)
- Digital Payments (1)
- Digital payments; GST revenue; Tax collections; India (1)
- Digital rupiah (1)
- Dominant currency paradigm (1)
- Dynamic Factor (1)
- Dynamic common correlated errors (1)
- Economic complexity (1)
- Economic policy uncertainty (1)
- Economics fluctuation (1)
- Eurozone Debt Crisis (1)
Articles 1 - 17 of 17
Full-Text Articles in Econometrics
Fiscal Decentralization, Local Government Size, And Regional Economic Growth: Evidence From Indonesia, Faizul Mubarok, Hasta Dwi Pradana, Etty Puji Lestari
Fiscal Decentralization, Local Government Size, And Regional Economic Growth: Evidence From Indonesia, Faizul Mubarok, Hasta Dwi Pradana, Etty Puji Lestari
Bulletin of Monetary Economics and Banking
This study investigates the dynamic relationship between fiscal decentralization, local government size, and regional economic growth in Indonesia. Integrating fiscal federalism theory with the Armey curve framework, the study examines whether decentralization reshapes the scale of subnational governments and how this influences growth outcomes. Using balanced panel data from 26 Indonesian provinces over the period 1995–2020, the analysis employs dynamic panel estimators based on the Generalized Method of Moments (GMM) to address endogeneity, persistence, and unobserved heterogeneity. The results reveal a nuanced relationship between fiscal decentralization and government size. Greater revenue autonomy is associated with a contraction in government size …
Passed Through Or Pushed Back? Exchange Rate Effects On Manufacturing Trade Prices In Indonesia And The Asean Plus Three, Fatikha Rizky Kurnia, Miguel Angel Esquivias, Wee-Yeap Lau, Unggul Heriqbaldi
Passed Through Or Pushed Back? Exchange Rate Effects On Manufacturing Trade Prices In Indonesia And The Asean Plus Three, Fatikha Rizky Kurnia, Miguel Angel Esquivias, Wee-Yeap Lau, Unggul Heriqbaldi
Bulletin of Monetary Economics and Banking
This study analyzes the Exchange Rate Pass-Through (ERPT) on export and import prices in Indonesia’s manufacturing trade with ASEAN Plus-three countries (China, Japan, and South Korea) using monthly data from 2016 to 2022. Employing the Nonlinear (NARDL) models, we examine the degree and asymmetry of ERPT across five key manufacturing sectors for each partner. The NARDL model confirms asymmetric price responses to currency appreciation and depreciation in several sectors. The findings reveal significant sectoral and country-specific variations. Some export sectors experience complete pass-through in the short term but shift to negative complete passthrough in the long run. Meanwhile, imports from …
Hierarchical Bayesian Evidence On Cbdc Adoption: The Case Of Indonesia’S Digital Rupiah, Akbar Syahid Rabbani, Jongsu Lee
Hierarchical Bayesian Evidence On Cbdc Adoption: The Case Of Indonesia’S Digital Rupiah, Akbar Syahid Rabbani, Jongsu Lee
Bulletin of Monetary Economics and Banking
This study analyzed accessibility, privacy, transferability, and interest rates related to the adoption of Digital Rupiah, Indonesia’s Central Bank Digital Currency (CBDC), among rural and urban consumers. Findings from a hierarchical Bayesian model show that mobile applications are the main acquisition channel, and enhanced transferability with bank accounts and electronic money boosts consumer utility. However, there are concerns about fully anonymous transactions, differentiated by socio-demographic profiles (age, income, education, and knowledge). Scenario analysis suggests the potential CBDC adoption rate in Indonesia could range from 38% to 55%, influenced by privacy levels and the central bank’s interest rates.
Is Fdi A Panacea? Unveiling Spillover Effects On Efficiency And Risk In Indonesian Manufacturing, Fichrie Fachrowi Adli, Dyah Wulan Sari, Dian Enggar Lintang Pertiwi, Mohammad Zeqi Yasin
Is Fdi A Panacea? Unveiling Spillover Effects On Efficiency And Risk In Indonesian Manufacturing, Fichrie Fachrowi Adli, Dyah Wulan Sari, Dian Enggar Lintang Pertiwi, Mohammad Zeqi Yasin
Bulletin of Monetary Economics and Banking
This study builds on Javorcik (2004), who argues that countries attract Foreign Direct Investment (FDI) with the expectation that spillovers will benefit local firms. However, empirical evidence on this effect remains inconsistent. This research addresses the gap by examining the impact of horizontal spillovers not only on production efficiency but also on production risk. It also accounts for firm heterogeneity in the manufacturing sector by classifying technological intensity using unsupervised machine learning, specifically K-means clustering, into three categories based on OECD (2011): High Technology (HT), Medium Technology (MT), and Low Technology (LT). The study uses data from Statistik Industri (SI) …
Age Structure And Inflation Dynamics In Pacific Island Economies, August Letlet, Karan Rai, Bhavesh Garg
Age Structure And Inflation Dynamics In Pacific Island Economies, August Letlet, Karan Rai, Bhavesh Garg
Bulletin of Monetary Economics and Banking
This study uses the panel of six Pacific Island Countries (PICs) to investigate the relationship between changing age structures and inflation. The findings suggest that both aggregated and disaggregated shares of the working-age population exert disinflationary pressure. This supports the life cycle hypothesis, which postulates that people in their productive years tend to save and produce more than they consume, fostering economic stability and managing inflation. Conversely, the findings indicate that old-age dependency contributes to inflationary pressures. These insights underscore the importance of demographic dynamics in shaping inflation trends and provide valuable guidance for policymakers aiming to maintain price stability.
Disaggregated Economic Complexity And Inflation In Oecd Countries, Raymond L. Aor, Afees A. Salisu
Disaggregated Economic Complexity And Inflation In Oecd Countries, Raymond L. Aor, Afees A. Salisu
Bulletin of Monetary Economics and Banking
This study probes the intricate relationship between economic complexity and inflation dynamics, an area that has been relatively under-researched despite the potential for economic complexity to predict inflation. We focus on selected OECD countries and use panel data from 1998 to 2021. Utilizing a Panel Autoregressive Distributed Lag (PARDL) model, we analyze both short- and long-term dynamics across various components of inflation. Our analysis encompasses both aggregate and disaggregated indicators of complexity, including ECI-Trade, ECI-Technology, and ECI-Research. The results indicate that the impact of economic complexity on inflation differs depending on the type of inflation and the time frame considered. …
Evaluating The Role Of Bank Specific, Macroeconomic, And Institutional Factors In Determining Banking Sector Performance: Evidence From South Asian Economies, Samia Nasreen, Mehwish Gulzar, Xuan-Hoa Nghiem, Saira Arsh
Evaluating The Role Of Bank Specific, Macroeconomic, And Institutional Factors In Determining Banking Sector Performance: Evidence From South Asian Economies, Samia Nasreen, Mehwish Gulzar, Xuan-Hoa Nghiem, Saira Arsh
Bulletin of Monetary Economics and Banking
This study investigates the bank-specific, macroeconomic, and institutional factors affecting the performance of the banking sector specifically profitability and stability in South Asian countries from 2011 to 2020. Using a two-step system GMM estimation method on a balanced panel dataset, the study identifies key determinants, including bank size, operating expenses, economic growth, exchange rates, and economic freedom. Institutional factors, particularly corruption, significantly influence banking sector profitability and stability. The findings offer several policy recommendations to enhance banking sector performance in the region.
Testing Fractional Inflation Persistence In The West African Monetary Zone, Afees A. Salisu, Nuruddeen Usman, Godday Uwawunkonye Ebuh
Testing Fractional Inflation Persistence In The West African Monetary Zone, Afees A. Salisu, Nuruddeen Usman, Godday Uwawunkonye Ebuh
Bulletin of Monetary Economics and Banking
Understanding inflation persistence is of utmost significance for monetary policymakers in an era of heightened global economic interdependence and increased susceptibility to external shocks. Thus, this study examines the dynamics of inflation within the West African Monetary Zone (WAMZ), employing both conventional and innovative econometric methods, notably Fractional integration and Fractionally Cointegrated Vector AutoRegressive (FCVAR) models. Our analysis reveals a compelling paradox in the persistence of inflation. Conventional methodologies suggest a robust inertia with high persistence levels nearing unity. Conversely, Fractional Integration paints a more intricate portrait, indicating a dynamic, less persistent behavior with persistence values notably below 0.5. Crucially, …
Triple Shock On External Sustainability In Indonesia, Aloysius Deno Hervino, Insukindro Insukindro, Sekar Utami Setiastuti, Amirullah Setya Hardi
Triple Shock On External Sustainability In Indonesia, Aloysius Deno Hervino, Insukindro Insukindro, Sekar Utami Setiastuti, Amirullah Setya Hardi
Bulletin of Monetary Economics and Banking
This study evaluates Indonesia’s external sustainability by analyzing exports, imports, and net unilateral transfer payments. The study utilizes Indonesia’s data from the third quarter of 2005 to the fourth quarter of 2019, applying both a long-run dynamic model and a short-run forward-looking model incorporating triple shocks. This research excludes the period from 2020 onwards due to the economic upheaval in Indonesia resulting from the COVID-19 outbreak. This study concludes that Indonesia’s current account is unsustainable, as neither export nor import variables exhibit a long-term link, hence failing to meet intertemporal budget constraints. Furthermore, imports substantially influence long-term exports, which increase …
Exchange Rate And Indonesia Economic Growth, Ayi Supriyadi, Yanfitri Yanfitri, Trinil Arimurti, Sinta Atharinanda
Exchange Rate And Indonesia Economic Growth, Ayi Supriyadi, Yanfitri Yanfitri, Trinil Arimurti, Sinta Atharinanda
Bulletin of Monetary Economics and Banking
We examine the effect of the exchange rate on the economy and the impact of the Dominant Currency Paradigm (DCP) on Indonesia’s export volume. This study employs multiple methodologies, namely the Auto Regressive Distributed Lag (ARDL) model, the non-linear version of ARDL, and panel regressions. The findings indicated that the depreciation of the exchange rate influenced economic expansion. The beneficial effect was mitigated by the influence of finance as seen in the company’s financial sheet. The findings also indicate the influence of DCP on the volume of international trade in Indonesia.
Health Crisis And Currency Risk: Fresh Evidence From New Data Sets, Afees A. Salisu, Dinci J. Penzin, Yinka S. Hammed
Health Crisis And Currency Risk: Fresh Evidence From New Data Sets, Afees A. Salisu, Dinci J. Penzin, Yinka S. Hammed
Bulletin of Monetary Economics and Banking
With the aid of a method of predictability analysis that involves a feasible quasigeneralized least squares estimator, we examine the predictive power associated with the newly computed COVID-19 indices, which are disaggregated into six indices for currency market risks (realized volatility of exchange rate). Our sample size covers the period between December 31, 2019, and December 28, 2021. We note mixed outcomes for the major currency markets considered. On average, while the health crisis seems to have heightened the risks associated with Pounds Sterling, Australian Dollar and Canadian Dollar against USD, it exerts a moderating effect on the Euro, Yen …
Twitter Based Uncertainty And Stock Returns Connectedness In Case Of Selected Apec Countries, Badri Narayan Rath, Chinmaya Behera
Twitter Based Uncertainty And Stock Returns Connectedness In Case Of Selected Apec Countries, Badri Narayan Rath, Chinmaya Behera
Bulletin of Monetary Economics and Banking
The aim of the paper is to unravel evidence of non-linear causality and connectedness between Twitter-based uncertainty and stock market returns for selected APEC countries. By using a non-linear Granger causality test, the study finds that Twitterbased uncertainty causes stock returns of Japan and Singapore. Further, the results also confirm the presence of volatility spillover between Twitter uncertainty and stock returns. Thus, volatility spillover from Twitter-based uncertainty and financial market returns provides insights to investors on adjusting their investments between the countries.
Do Digital Payments Spur Gst Revenue: Indian Experience, Surender Kumar
Do Digital Payments Spur Gst Revenue: Indian Experience, Surender Kumar
Bulletin of Monetary Economics and Banking
This paper measures the effect of digital payments on enhancing goods and services tax (GST) revenue in India using monthly time-series information on tax collections and digital payments. By employing an autoregressive distributed lag cointegration framework, we find that the GST elasticity concerning digital transactions is about 0.54. The implication is that a one-standard-deviation increase in the value of digital transactions spurs GST revenue of about INR 62 billion, and a one-standard-deviation increase in index of industrial production (IIP) enhances GST revenue by about INR 8 to 12 billion. These results suggest that enhancing digital transactions is an effective way …
Impact Of Crises On Indian Financial Markets, Pami Dua, Divya Tuteja
Impact Of Crises On Indian Financial Markets, Pami Dua, Divya Tuteja
Bulletin of Monetary Economics and Banking
We investigate the effect of crises on Indian financial markets including the short-term and medium-term money, government securities segments, equity and currency markets. Specifically, we study the effects of the COVID-19 pandemic, the Eurozone Sovereign Debt Crisis and the Global Financial Crisis on market returns, volatility and cross-correlations. We employ a (a) vector autoregressive model to analyse the effects of those shocks on returns and (b) multivariate ADCC-GARCH specification to examine the impact on conditional volatility and dynamic conditional correlation in the markets. We find significant effect of the Global Financial Crisis and the pandemic on the dynamics of the …
India And The Rest Of The World: Analyses Of International Monetary Policy Spillovers, Afees A. Salisu
India And The Rest Of The World: Analyses Of International Monetary Policy Spillovers, Afees A. Salisu
Bulletin of Monetary Economics and Banking
The US is India's largest trading partner, followed by the European Union. Our study, using the GVAR model, shows that a US monetary policy (MP) shock results in a depreciation of the Indian currency vis-a-vis the dollar. This is due to Indian investors preferring to invest in the US, which provides higher returns during a US MP shock. The Eurozone MP shock does not have a significant impact due to the increasing dollarization of the Indian economy. However, the US MP shock propagation diminishes when there is economic policy uncertainty. Our findings have implications for monetary policy conduct in India.
Reinvigorating Gva Nowcasting In The Post-Pandemic Period: A Case Study For India, Kaustubh Na, Soumya Suvra Bhadury, Saurabh Ghosh
Reinvigorating Gva Nowcasting In The Post-Pandemic Period: A Case Study For India, Kaustubh Na, Soumya Suvra Bhadury, Saurabh Ghosh
Bulletin of Monetary Economics and Banking
We reinvigorate nowcasting models considering structural changes caused by the COVID-19 pandemic. It emphasizes the need to understand the heterogeneous impact of shocks on agriculture, industry, and services sectors in an emerging market economy (e.g., India). Our findings advocate a bottom-up approach that tracks sectors separately rather than a headline number. Our results suggest including digital-activity index and supply-side disruption index in the post-pandemic period could improve nowcast performance. Expectation-Maximization (E-M) algorithm is used to combine data series based on their availability. Among bridging methods, the averaging method is preferred due to its simplicity and flexibility.
How Global Value Chains Affect Economic Output And Unemployment: An Empirical Evidence From Asean Countries, Sri Juli Asdiyanti Samuda
How Global Value Chains Affect Economic Output And Unemployment: An Empirical Evidence From Asean Countries, Sri Juli Asdiyanti Samuda
Bulletin of Monetary Economics and Banking
This paper examines the effects of Global Value Chains on economic output and unemployment in ten ASEAN countries from 1999 to 2018. This study provides estimation using the system GMM and panel causality test to determine the effect of GVC thoroughly. The results indicate a positive and significant effect of global value chains on economic output in ASEAN countries. However, the findings also show that global value chains increase unemployment during the observation period. Heterogenous panel non-causality findings suggest that economic output does not affect the level of participation of GVC, but unemployment affects the level of participation in ten …