Macroeconomics Commons^™

Effect Of Monetary Policy Rate On Market Interest Rates In Nigeria: A Threshold And Nardl Approach, Oluwafemi E. Awopegba, Joseph O. Afolabi, Lydia T. Adeoye, Godwin O. Akpokodje

CBN Journal of Applied Statistics (JAS)

This study examines the effect of monetary policy rate (MPR) on market interest rates in Nigeria. For parsimony, we develop two indexes called the short-term interest rate (SINT) and Lending interest rate (LINT) to represent deposit and lending rates respectively. The nonlinear autoregressive distributed lag (NARDL) and threshold regression models are adopted. The study uses monthly data from 2002:M1 to 2019:M12. The results of the threshold regression model indicate that the degree of the effect of MPR on SINT and LINT above the estimated threshold of 11 and 13 percent respectively is greater and significant than if MPR were to …

Social Dimension Of Inclusive Growth In Ecowas: Implication For Poverty Reduction, Toriola K. Anu, Goerge O. Emmanuel, Ajayi O. Felix

CBN Journal of Applied Statistics (JAS)

This study investigates the implication of the social dimension of inclusive growth on poverty reduction in Economic Community of West African States (ECOWAS) countries. It specifically examines how social indices of inclusive growth comprising of income inequality, education, and health outcomes affect poverty reduction. The study uses a panel dataset of the six (6) lower-middle income countries in ECOWAS which was analysed via panel Difference Generalised Method of Moment (D-GMM). The results show that GDP per capita exerts significant negative effect on poverty while inequality, education and health outcomes do not show significant effect on poverty. Although, the estimates of …

Effect Of Fdi Inflows On Employment Generation In Selected Ecowas Countries: Heterogeneous Panel Analysis, Timothy A. Aderemi, Olawunmi Omitogun, Bukonla G. Osisanwo

CBN Journal of Applied Statistics (JAS)

The aim of this study is to examine the effect of FDI on employment in ECOWAS sub region between 1990 and 2019. The study utilizes a panel autoregressive distributed lag model to analyse the short run and long run relationship between FDI and employment across ECOWAS sub region. In the short run, the impact of FDI on employment is negative and statistically not significant. Meanwhile, in the long run FDI has a positive and statistically significant impact on employment rate. This implies that FDI has the capacity to generate employment in countries in ECOWAS sub region. Therefore, this study recommends …

Impact Of Covid-19 Pandemic On The Nigeria Stock Market: A Sectoral Stock Prices Analysis, Peter A. Adekunle, Yakubu A. Bello, Udochukwu G. Nwachukwu

CBN Journal of Applied Statistics (JAS)

This study examines the impact of the COVID-19 pandemic on sectoral stock prices in Nigeria stock market using daily data covering from February 28, 2020 to June 26, 2020. Applying the autoregressive distributed lag (ARDL) bounds test, the study finds that COVID-19 pandemic had adverse impact on the stock market indices in the short run. Furthermore, the study documents negative response of sectoral stock prices to the pandemic while the stock prices of the banking sub-sector are the worst hit. Compared to the consumer goods, and industrial subsector indices, the speed of adjustment to long run equilibrium is faster for …

A Garch Approach To Modeling Chilean Long-Term Swap Yields, Tanweer Akram, Khawaja Mamun

WCBT Working Papers

This paper econometrically models the dynamics of the Chilean interbank swap yields based on macroeconomic factors. It examines whether the month-over-month change in the short-term interest rate has a decisive influence on the long-term swap yield after controlling for other factors, such as the change in inflation, change in the growth of industrial production, change in the log of the equity price index, and change in the log of the exchange rate. It applies the generalized autoregressive conditional heteroskedasticity (GARCH) approach to model the dynamics of the long-term swap yield. The change in the short-term interest rate has an economically …

Monetary Policy And Banking Sector Stability In Nigeria, Didigu Chizoba E., Joshua Nsikak J., Okon Joel I., Eze Annette O., Gopar Jurbe Y., Oraemesi Charles N., Udofia Blessing-Oxford U., Yisa Daniel N., Ejinkonye Jude C., Ette Victoria E.

CBN Journal of Applied Statistics (JAS)

This study investigates the impact of monetary policy on banking sector stability in Nigeria, utilizing quarterly data for the period 2007Q1 to 2021Q4. The study employs the autoregressive distributed lag (ARDL) bounds testing approach to cointegration. Results show that a long run relationship exist between banking sector stability and monetary policy in Nigeria. Furthermore, monetary policy rate, liquidity ratio, and cash reserve ratio are found to enhance banking sector stability. The study recommends, among others, that cash reserve and liquidity ratios should be kept at levels that will prevent excess liquidity in the system.

Does It Pay To Be Good? The Performance Of Indonesian Green Companies From 2009 - 2018, Ega Annisa Rizti, Berli Martawardaya

Economics and Finance in Indonesia

In Indonesia, KEHATI Sustainable and Responsible Investment (SRI) Index, hereafter referred to as SKI, aims to raise public awareness and help pro-environmental investors by selecting 25 highly rated public companies that adhere to the internationally accepted green business standard. This paper compared the financial performance of the companies listed in SKI and their counterparts between the period of January 2009 and December 2018 by predicting their future opening price of stock, comparing the performance of SKI to JKSE market index, and examining their financial performance using ROA and ROE as dependent variables. The findings suggest that being included in SKI …

The Impact Of Foreign Investment On Firm Performance: Indonesia After The 2007 Fdi Reform, Nauval Hafiluddin, Arianto Arif Patunru

Economics and Finance in Indonesia

Foreign Direct Investment (FDI) plays a crucial role in the economy of Indonesia. The new FDI law passed in 2007 serves as a new milestone in the FDI regime in Indonesia. As the country implements the new regulation, the impact of foreign investment on firm performance becomes an interesting subject. This paper aims to estimate the effect of foreign investment on the productivity and contribution of firms in relation to the new FDI law in Indonesia. This study employed a combination of Propensity Score Matching (PSM) and Difference-in-Differences (DiD) methods to eliminate endogeneity problems and to examine causality. We discover …

Why The Rate Of Return Of Religious School (Madrasah) Is Too Low: The Case In Indonesia, Elfindri Elfindri, Edi Ariyanto, Sri Maryati, Delfia Tanjung Sari

Economics and Finance in Indonesia

Religious schools (madrasah) in Indonesia have contributed to fulfilling the equity goals of education. Up to this point, studies on the rate of return of madrasah and its relation to general or vocational education remain limited. In contrast to the previous studies that omit madrasah from their analysis, this study pay greater attention to this particular type of education. By adopting the Mincerian model of the human capital and applying the semi-log earnings function to the 2012 data of the National Socioeconomic Survey (SUSENAS) of Indonesia, this study discovers that the rate of return of graduates from madrasah is considerably …

The Effect Of Quantitative Easing On U.S. Stock Prices And Wealth Inequality, Griffin W. Phillips

Student Scholar Showcase

My thesis will investigate and try to find a casual relationship between Quantitative Easing, or “QE”, and the U.S. stock market since 2003. The secondary effects will then be investigated to see if stock prices impact wealth inequality. To find the causal relationship between the two a regression model will be used. It predicts the magnitude of effects for QE and other variables that may impact stock prices. Since 2007-2009, the Federal Reserve has used QE as a means to spur economic growth. This expansionary monetary policy has impacted many financial markets including the U.S. stock market. Finding the extent …

The Productivity And Future Growth Potential Of Indonesia, Mohamad Ikhsan, Sri Mulyani Indrawati, I Gede Sthitaprajna Virananda, Zihaul Abdi

Economics and Finance in Indonesia

The output per worker of Indonesia has been on a downtrend since 2010, with total factor productivity (TFP) and capital stock largely stagnant if not declining. This paper discusses stylized facts that may explain recent trends in the productivity and growth potential of Indonesia. The decomposition of output per worker reveals the declining contribution of human capital, which is also most negative among peer countries. The growth in labor productivity has been concentrated within sectors, implying room for gains from labor reallocations. A substantial share of employment and credit in Indonesia has shifted to the relatively unproductive service sectors, particularly …

Financial Inclusion And Monetary Policy - Investigating The Relationship Between Financial Inclusion And Monetary Policy: The Case Of Egypt, Salma Maher

Theses and Dissertations

In the past decade, financial inclusion has become an issue of increasing importance to developing nations. This is due to its perceived effects on poverty alleviation, sustainable growth and enhancing monetary policy effectiveness. Unfortunately, there is little empirical research on the effects of financial inclusion. The thesis hopes to contribute to the literature by inspecting the relationship between financial utilization indices and monetary policy in Egypt. The thesis utilizes quarterly data on outstanding deposits and loans from 2004 to 2020 as well as a VAR model – supplemented with an ARDL model – to test the aforementioned relationship. The thesis …

Essays In Monetary And Macroprudential Policies, Mikheil Dvalishvili

Dissertations, Theses, and Capstone Projects

Chapter 1 Using a medium scale general equilibrium New Keynesian business cycle model with macroprudential policy and news shocks I study the effectiveness of various combinations of the monetary and macroprudential policies. I incorporate defaults both in the banking sector and households. The results show that out of the policy strategies considered the standard Taylor rule combined with the LTV requirement that reacts countercyclically to the deviation of house prices from the steady state yields higher welfare as compared with all the other strategies considered. Additionally, the standard Taylor rule combined with either of the countercyclical LTV requirements mitigates the …

Waqf Fund Management Through Micro Waqf Bank Program In Indonesia, Fachry Ganiardi Danuwijaya, Nurwahidin M.Ag

Journal of Strategic and Global Studies

Waqf is a muamalah activity that has a very important economic and social role in Islamic history. Waqf is one of solutions to the problem of poverty and social inequality in society. The establishment of the Micro Waqf Bank initiated by the government together with the Financial Services Authority (OJK) has played an important role as one of the new Islamic microfinance institutions in financial inclusion in Indonesia. This paper will discuss how the management of waqf funds through the Islamic Waqf Bank program based on pesantren in efforts to alleviate poverty and social inequality which has become a chronic …

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 …

Cryptocurrency, Decentralized Finance, And The Evolution Of Money: A Transaction Costs Approach, James L. Caton Jr, Cameron Harwick

Journal of New Finance

We leverage a transaction costs narrative to provide a theoretically unified presentation of the evolution of exchange, with the latest evolutionary frontier being cryptocurrency and decentralized finance. We show that with each new development in the evolution of money, the new form or medium of exchange must reduce transaction costs relative to relevant alternatives. The development of blockchain and cryptocurrency reduced the cost of transferring currency by removing the need for a trusted third party to intermediate funds while also providing the benefit of anonymity/pseudonymity. Likewise, decentralized finance does not require a third party to intermediate savings and investment and …

Regulating Bitcoin - On What Grounds?, William J. Luther

Journal of New Finance

This paper assesses costs and benefits of regulating Bitcoin. A review of the main justifications for regulating it shows that scope for efficient regulation is limited. Private governance structures and fee-based services have already begun addressing many of the known problems. Furthermore, since a regulation would discourage use, the costs—in terms of technological gains forgone—are potentially high. Nonetheless, there is scope for regulation, to ensure one has recourse in the event of theft, as long as the following are addressed: 1) provide a clear regulatory framework; 2) supervise transactions to dissuade crime, without compromising the medium; 3) regulate exchanges, rather …

Liquidity Outbreak: A 49 Country Analysis Of The Money Supply’S Effect On Stock Markets During The Covid-19 Pandemic, Dylan Porter

CMC Senior Theses

This paper compares the effects of monthly money growth on monthly stock market performance in 49 countries around the world before and after the COVID-19 pandemic. Countries are grouped in aggregate, by continent, and development status. OLS panel regressions show that lagged monetary growth variables are better monetary indicators of stock market performance than contemporaneous values. Variables that measure the pandemic’s progress (infections/deaths and government responses) are included alongside macro-economic variables but are seldom significant. Monetary growth had less correlation with the stock market during the pre-pandemic period (January 2018 - December 2020), suggesting that the uncertain economic conditions of …

Exchange Rate Forecast Model: Factor Analysis, Swapnil Landge

Publications and Research

Forecasting the exchange rate using factor analysis, factors based on cross section exchange rates of different economies in terms of trade, would beat random walk model in longer out of sample horizon forecasting. In this research project, we will replicate the NBER working paper Factor Model Forecasts of Exchange Rates” by Charles Engel, Nelson C. Mark & Kenneth D. West (2012) which has used 17 OECD countries exchange rates in getting the potential factors but with extended time period from 1973:1-2021:4. We will report early sample forecasting statistics for a 1987-1998 sample. Results for late samples (1999-2022) were promising, at …

Modeling Post-Crisis Monetary Policy, James Dean

Graduate Theses, Dissertations, and Problem Reports (ETD)

Chapter 1, co-authored with Scott Schuh, examines whether the Taylor Rule still adequately captures monetary policy despite unconventional monetary policies (UMP) and the policy rate near zero in 2009-2015. We find structural breaks at 2007:Q3 in macro models with a shadow funds rate. Taylor Rule coefficients shift back toward pre-1984 estimates and breaks occurred in non-policy parameters. Results are similar with the effective funds rate, so either breaks are not due to UMP or the shadow rate is an insufficient specification of UMP. Chapter 2 incorporates the term structure and the Fed’s average inflation targeting (AIT) framework into the model …

Exporters In The Time Of Covid-19 Pandemic: Evidence From Indonesia, Realita Eschachasthi

Economics and Finance in Indonesia

The export of Indonesia has contracted rapidly in response to the COVID-19 outbreak. However, little is known about the crisis-trade relationship, which is important for the policymakers to design the relevant policies. To that end, this study examines how exporters adjust in the time of pandemic as well as estimates the impact of COVID-19 on export performance by using microdata of monthly export transactions from January 2019 to August 2020. This relationship is analyzed by employing intensive and extensive margins as well as a panel fixed effects specification. The result shows that capital goods, mainly manufactured products, have been hit …

Effects Of Financial Inclusion And Openness On Banking Stability: Evidence From Developing And Developed Countries, Sugiharso Safuan, M. Abdi Shalihin

Economics and Finance in Indonesia

This study seeks to contribute to the emerging debate regarding the effects of financial inclusion and openness on banking stability. Panel data from 217 developing and developed countries from 2004 to 2017 showed that financial inclusion did not affect banking stability. However, financial openness significantly affected banking stability in all countries worldwide. Furthermore, the interaction of financial inclusion and openness had a significant positive effect on banking stability in developing and all countries worldwide. This finding indicates that the more funds obtained by banks from the implementation of financial inclusion policy and financial openness policy, the greater the potential for …

Special Allocation Fund And Poverty Rate In Indonesia, Danesta Febianto Nugroho, Bayu Rhamadani Wicaksono, Muhammad R. Reynaldi

Economics and Finance in Indonesia

The Special Allocation Fund is distributed to specific areas to aid them in funding special regional activities that follow national interests. Giving regional government's broad autonomy is meant to hasten the realization of social welfare, as seen by reducing poverty. This study aims to examine the influence of the Special Allocation Fund for education, health, and infrastructure on the poverty rate in Indonesia, using the Poverty Gap Index (P1) as a proxy for the poverty rate. The study employed annual data from 33 Indonesian provinces from 2015 to 2018 and panel data regression analysis utilizing the Fixed Effects Model (FEM). …

The Impact Of School Operational Assistance Program Implementation At School Level On Senior Secondary Education Enrollment By Households: Evidence From Indonesia In 2007 And 2014, Fairuzah Pertiwi Kartasasmita, Eny Sulistyaningrum

Economics and Finance in Indonesia

Education is recognized worldwide as one of the key elements in developing the human capital of a nation for a prosperous future. Given an almost universal enrollment in primary education, many governments have shifted their focus on students motivation to continue to and finish their secondary education. The government of Indonesia has made extensive efforts in widening participation in education. With a growing budget for educational expenditure, various government programs have been implemented to assist students in their learning. One such program is the School Operational Assistance Program (BOS), which has been running for two decades. This paper reports on …

The Role Of Success Rate, Discovery, Appraisal Spending, And Transitioning Region On Exploration Drilling Of Oil And Gas In Indonesia In 2004-2015, Harry Patria

Economics and Finance in Indonesia

Petroleum exploration decision remains a subject of petroleum and economic studies for decades. Most of the studies discuss the investment decision by focusing on either a technical or economic perspective. In reality, economic, geological, and environmental factors are expected to determine the way investors make a decision. This study aims to increase the understanding of best practices in decision-making by scrutinizing integrative perspectives applying panel data of 32 basins in Indonesia in 2004-2015. This study provides several contributions to optimize decisions on wells drilled. First, this study derives an empirical model examining several plausible factors of economy, geology, and environment. …

The Environmental Kuznets Curve For Deforestation In Indonesia, Dara Adila, Nunung Nuryartono, Mandar Oak

Economics and Finance in Indonesia

This study provides empirical findings on the relationship between deforestation and income in 32 provinces in Indonesia. To enrich the discussion on deforestation, this study investigates the impact of the factors of population, roundwood production, land area, and main crop production on deforestation. The selected main crops in Indonesia are oil palm, coffee, coconut, rubber, and cacao. The results confirm the existence of the EKC relationship between deforestation and income in Indonesia. The study also finds that oil palm production positively affects tree cover loss, but the production of natural rubber has the opposite impact on deforestation.

Factors Influencing Economic Empowerment In Tourism Development, Eva Rachmawati, Joanna Fountain, Michael Mackay

Economics and Finance in Indonesia

Tourism is believed to be able to empower people economically, both at the individual and community levels, by providing various employment and business opportunities to community members to help alleviate poverty. This study offers insights into community empowerment outcome, particularly in economic dimension, through a quantitative approach. This study aims to identify the level of community empowerment outcome perceived by the local communities in tourism development in their area and analyze the factors that influence the outcome. Employing a mixed-methods approach, this study collected data through household survey, field and participatory observation, and document analysis. The questionnaire responses were analyzed …

Lessons Learned: Andreas Lehnert, Mercedes Cardona

Journal of Financial Crises

Andreas Lehnert was chief of the Federal Reserve’s Household and Real Estate Finance Section at the onset of the Global Financial Crisis of 2007–09 (GFC) and played a key role in implementing the Fed’s research and policy agenda on financial stability. He developed and helped run the Fed’s first regulatory bank stress tests in 2009, and in 2010 played a role in launching the Office of Financial Stability Policy and Research, which became the Division of Financial Stability. This “Lessons Learned” is based on an interview with Mr. Lehnert.

Monetary Policy Transmission And Bank Interest Rates In Nigeria, Eleam Victor E., Ekwom Chinyelu G., Ariolu Chibueze C., Umebali Chukwubuzo J., Balogun Adewale T.

CBN Journal of Applied Statistics (JAS)

The paper examines the adjustment of retail and money market interest rates to changes in discount corridor of the monetary policy in Nigeria. A vector error correction model was adopted for this study, using monthly data from 2007:06 to 2019:12. We further accounted for structural breaks in the dataset to improve its policy reliability. The adjustment parameters were found to be significant but with slow speed of adjustment. This finding provides evidence of the weakness of the discount corridor in monetary policy transmission in Nigeria. Furthermore, the results showed no asymmetric adjustment of retail rates to long run equilibria. Lastly, …

Relationship Between Real Exchange Rate And Consumption In Nigeria: A Nonlinear Approach, Babangida Jamilu S., Sanusi Aliyu R., Yusuf Isah M.

CBN Journal of Applied Statistics (JAS)

This study analyses the relationship between real exchange rate and domestic consumption in Nigeria using the Smooth Transition Autoregressive (STAR) model from 1981Q1 to 2019Q4. Findings show that domestic consumption determines the regime shift in real exchange rate, suggesting a nonlinear linkage with clearly distinct regimes. The lagged exchange rate is shown to have a significant linear effect on the current exchange rate. On the other hand, current foreign consumption is positive but has no significant impact on the exchange rate in the linear part of the model. In the nonlinear part of the model, evidence of a significant negative …