Ditemukan 35 dokumen yang sesuai dengan query
Jie Zhu, author
ABSTRAK
The expected equity risk premium is a key input in various financial applications. Different methods exist for estimating the risk premium. This paper applies two approaches to estimate it in the markets of Greater China. More specifically, the historical average and relative estimation are carefully examined. The...
Jakarta: Bank Indonesia Insitute, 2019
332 BEMP 22:2 (2019)
Artikel Jurnal Universitas Indonesia Library
Yuting Gong, author
ABSTRACT
We propose a dynamic skewed copula to model multivariate dependence in asset returns in a flexible yet parsimonious way. We then apply the model to 50 exchange traded funds. The new copula is shown to have better in sample and out of sample performance than existing copulas. In particular, the...
Jakarta: Bank Indonesia Insitute, 2019
332 BEMP 22:1 (2019)
Artikel Jurnal Universitas Indonesia Library
Ning Jiang, author
ABSTRACT
Using data for 341 enterprises listed on the Growth Enterprise Market (GEM) of the Shenzhen Stock Exchange and taking R and D expenditure as an indicator of innovation investment, this paper implements multiple linear regression to test whether venture capital promotes corporate innovation input. It also considers the relationship between...
Jakarta: Bank Indonesia Insitute, 2019
332 BEMP 22:1 (2019)
Artikel Jurnal Universitas Indonesia Library
Mansor H. Ibrahim, author
ABSTRACT
This paper empirically assesses the relation between bank performance and capital regulation for Islamic banks from 13 countries and evaluates whether the relation varies with bank size, capital, and liquidity. We find small Islamic banks to be less stable and less profitable, they also cut lending growth as capital regulation...
Jakarta: Bank Indonesia Insitute, 2019
332 BEMP 22:1 (2019)
Artikel Jurnal Universitas Indonesia Library
Eliyathamby A Selvanathan, author
ABSTRACT
This paper empirically assesses the relation between bank performance and capital regulation for Islamic banks from 13 countries and evaluates whether the relation varies with bank size, capital, and liquidity. We find small Islamic banks to be less stable and less profitable they also cut lending growth as capital regulation...
Jakarta: Bank Indonesia Insitute, 2019
332 BEMP 22:1 (2019)
Artikel Jurnal Universitas Indonesia Library
Susan Sunila Sharma, author
ABSTRACT
We use an exhaustive list of Indonesias macroeconomic variables in a comparative analysis to determine which predictor variables are most important in forecasting Indonesias inflation rate. We use monthly time series data for 30 macroeconomic variables. Using both in sample and out of sample predictability evaluations, we report consistent evidence...
Jakarta: Bank Indonesia Insitute, 2019
332 BEMP 22:1 (2019)
Artikel Jurnal Universitas Indonesia Library
Badri Narayan Rath, author
ABSTRACT
This paper investigates, using annual data from 1980 to 2014, whether adoption of information and communication technologies (ICT) fosters economic growth in Indonesia. We employ an Autoregressive Distributed Lag cointegration technique on an augmented neoclassical growth model. The empirical results indicate a positive effect of ICT development on economic growth...
Jakarta: Bank Indonesia Insitute, 2019
332 BEMP 22:1 (2019)
Artikel Jurnal Universitas Indonesia Library
Iwan Jaya Azis, 1953-, author
ABSTRACT
The notion that something that cannot be measured does not exist seems to apply to the absence of consideration of culture in economics, where the role of institutions is at the center of the link between the two. Yet, economic prosperity, crisis, and deprivation result from human behavior, reflecting the...
Jakarta: Bank Indonesia Insitute, 2019
332 BEMP 22:1 (2019)
Artikel Jurnal Universitas Indonesia Library
Solikin M. Juhro, author
ABSTRACT
We develop a financial condition index (FCI) and examine the effects of monetarypolicy on financial conditions in Indonesia. We show that our FCI tracks financialconditions quite well because it captures key financial events (the Asian financialcrisis of 1997 - 1998, the Indonesian banking crisis, and the global financial crisis andits...
Jakarta: Bank Indonesia Insitute , 2019
332 BEMP 21:3 (2019)
Artikel Jurnal Universitas Indonesia Library
Seema Wati Narayan, author
ABSTRACT
This study tests for a long-run relation between oil prices and the rupiah US dollar exchange rate. We discover, first, that the long-run cointegration relation between oil prices and the real exchange rate (RER) is sensitive to different exchange rate regimes in Indonesia. Second, we find a long-run cointegrating relation...
Jakarta: Bank Indonesia Insitute , 2019
332 BEMP 21:3 (2019)
Artikel Jurnal Universitas Indonesia Library
