Hasil Pencarian  ::  Simpan CSV :: Kembali

Abstrak :
Dampak 'syok Cina' pada mitra dagang merupakan sumber guncangan yang besar terhadap pasokan yang menggusur produsen manufaktur dinegara-negara lain, selain itu juga menjadi sumber guncangan permintaan yang mendorong berbagai sektor luar negeri termasuk yang memproduksi produk primer, perantara, dan jasa. Namun, banyak literatur hanya menekankan pada syok pasokan dan dampaknya, meninggalkan sejumlah besar pertanyaan terhadap 'syok Cina'. Kami melakukan melakukan penelitian penting dengan menjelaskan 'syok Cina' dari dua sisi dan dampaknya di beberapa negara (Brasil, Indonesia, India, Meksiko, dan Turki) yang hasil penelitian dinegara-negara tersebut masih sedikit dan tidak dapat dibandingkan secara langsung. Dengan menggunakan kerangka kerja akuntansi input-output yang menyoroti aspek penciptaan lapangan kerja dari ekspor bersama dengan aspek pengurangan tenaga kerja melalui impor, kami menyajikan penelitian tentang efek ketenagakerjaan dari perdagangan bilateral dengan China selama periode 1995-2011. Hasil kami menunjukkan bahwa mempertimbangkan efek dari penawaran dan permintaan yang terkait dengan guncangan Cina menyebabkan 3,7 juta pekerjaan hilang di negara-negara ini, dibandingkan dengan 11,8 juta jika hanya syok pasokan yang dipertimbangkan. Kecuali Brasil, semua negara lain mengalami penurunan permintaan tenaga kerja terkait dengan perdagangan bilateral dengan China. ......The impact of 'China shocks' on trading partners is a source of a massive supply shock that displaces foreign manufacturing producers, combined with an important source of demand shock that propelled forward a wide range of foreign sectors including those producing primary products, intermediates, and services. Yet, much of the emphasis of the literature has been placed on the supply shock and its impact, leaving a large span of 'China shocks' unexplained. We undertake the important task to account for the dual track of 'China shocks' and their impacts on a representative set of emerging economies (Brazil, Indonesia, India, Mexico, and Turkey) for which the evidence remains scanty and not directly comparable. Using a global input-output accounting framework which highlights the job creation aspect of exports along with the job destruction aspect of imports, we provide evidence on the employment effect of bilateral trade with China over the 1995-2011 period. Our results suggest that considering the net effect of supply and demand related to China shocks leads to 3.7 million job losses for these economies, compared to 11.8 million if only the supply shock has been considered. Except for Brazil, all other countries have experienced job losses associated with net exports with China, the direct result of the resource sector. When we isolate the portion of employment changes associated only to the exogenous effects to this set of economies, they all become subject to important job losses.

Abstrak :
ABSTRAK
Faktor penentu permintaan uang di Indonesia yang terkait dengan shock pada domestik makro ekonomi: nilai tukar; indeks harga saham; pendapatan; inflasi; dan suku bunga jangka pendek; telah diteliti dalam paper ini untuk periode 2001m01 - 2015m12. Permintaan uang dikategorikan dalam empat model: agregat, pecahan besar, sedang dan pecahan kecil. Interaksi antar variabel diteliti menggunakan model vector autoregressive VAR dan dianalisa menggunakan impulse response function dan variance decomposition. Respon permintaan uang terhadap shock pada indeksi saham, nilai tukar, inflasi dan pendapatan umumnya signifikan dan positif dalam jangka panjang, sedangkan terhadap suku bunga adalah negatif dan signifikan. Inflasi berkontribusi lebih besar dan signifikan pada pembentukan profil permintaan agregat dan pada pecahan besar, sementara, hanya pendapatan yang memiliki kontribusi signifikan pada pembentukan profil permintaan uang pecahan kecil dan menengah dalam jangka panjang

---

ABSTRACT
The determinants of currency demand in Indonesia, which is linked up with the domestic macroeconomic shocks exchange rate stock price index income inflation and short term interest rate have been examined in this paper during the period 2001m01 2015m12. Currency demand is categorized into four models aggregate, high, medium, and small denomination. The motion further examined by a vector autoregressive VAR modelling and intervention analysis through impulse response function and variance decomposition. The response of each currency demand to the stock index, exchange rate, inflation and income shocks are generally significant and positive in the long run, while the short term interest rate is negative and significant. Inflation has a larger significant contribution to the constitution of aggregate and high denomination currency demand profile, whilst, only income has a larger significant contribution to the constitution of medium and small denomination currency demand profile in the long run.

Abstrak :
Dalam pasar modal yang sudah efisien dalam tingkat weak form, harga masa lalu tidak dapat memprediksi harga saat ini, sehingga tidak akan ada anomali kalender. Penelitian ini akan mencoba membuktikan tingkat efisiensi pasar modal di Indonesia dari kehadiran anomali bulanan pada indeks pasar dan sektoral sepanjang periode 2009-2018. Kehadiran anomali bulanan diliat dengan beberapa metode statistik seperti: regresi OLS, Robust regression, Bootstrap regression, dan model GARCH. Penelitian menunjukkan bahwa beberapa asumsi OLS tidak terpenuhi sehingga menciptakan bias dalam penentuan kehadiran anomali bulanan. Peneliti menemukan beberapa kalender anomali seperti pada bulan Maret 4 sektor, Agustus 2 sektor, dan November 5 sektor. Terdapat pula beberapa bulan yang hanya signifikan dalam satu sektor tertentu yang menunjukkan adanya keunikan suatu sektor. Hasil penelitian dibandingkan dengan empat negara lain dimana terbukti bahwa efek bulan November hanya terjadi di Indonesia, berbeda dengan Agustus yang signifikan di tiga negara berbeda. Analisis lanjutan menunjukkan bahwa anomali bulan Agustus terjadi karena adanya krisis dan ketika kita tidak memasukkan tahun krisis, maka pengaruh bulan Agustus menjadi tidak signifikan menunjukkan bahwa anomali dapat terjadi karena shocks. Analisis anomali bulan Maret dan November menunjukkan adanya alasan khusus yang membuktikan kehadiran seasonal variability yang berarti pengaruh serupa dapat terjadi dalam periode lainnya. ......In weakly efficient stock market, investor cannot predict stock prices with historical data, hence there will not be any calendar anomalies. This research tries to argue with efficient market hypothesis theory by studying month anomalies in market and sectoral indices in Indonesia between 2009-2018. We analyze month anomalies using several statistical methods: OLS regression, Robust regression, Bootstrap regression, and GARCH model. Our study shown that standard OLS regression violate many assumptions which lead to bias that will alter hypothesis rejection decision. We found several month anomalies such as March 4 sectors, August 2 sectors, November 5 sectors. There are also several months that only affect one sector which proof that there is uniqueness between each sector. We also compare this research with four different countries and found that November anomaly is indeed country specific, unlike August anomaly which occurs in three sample countries. Further analysis shown that August anomaly happen due to crisis and after excluding crisis year, the anomaly will be insignificant, proofing that anomaly may exist due to shocks. Our analysis on March and November anomaly shown that there are reasons behind anomaly and demonstrates seasonal variability which indicates that similar effect might reoccur between different period.

Abstrak :
The impacts of exchange rate to an economy both domestically and internationally are an interesting discussion. One of the examples for discussion is exchange rate pass-through (ERPT). ERPT is defined as the rate of change of prices (domestic, imported or exported) as a result of change in exchange rate. Consumer price index (CPI) is one of the most frequent indicators used for measuring domestic price. This paper analyzes the impacts of exchange rate change (ERPT) to seven group of CPI in Indonesia. The Cholesky Decomposition is employed to identify structural shock of Structural Vector Autoregression (SVAR) which then combined with Vector Error Correction Model (VECM) for 48 time series units. The result shows that for the entire period there is an incomplete pass-through for the seven group of CPI. The largest effect occurs in the transportation and communication sector and food and beverages sector in which 35 percent of their changes in CPI are affected by change in exchange rate.

Abstrak :
The endogeneity of Oil Price Shocks and Their Effect of Indonesia : A structural Vector Autoregression Model. In the paper the endogeneity of oil price shocks as well as the effects of different type of the shocks on the Indonesian economy represented by its gross domestic product (GDP), consumer price index (CPI) and real effective exchage rate (REER) were investigated. A structural Vector Autoregression (SVAR) model was constructed extending Killian (2009) model by employing several lags constrains in the model as Indonesia is a small open economy. There was evidence that oil proce shocks were endogenously formed by oil-spesific-demand itself, aggregate global demand and fraction of oil stock. The exports' effect convincingly existed in the oil price shocks influencing the economy of Indonesia. In addition, there was no evidence that Indonesia enjoyed benefits from being an OPEC member.

Abstrak :
Semenjak kebanyakan negara menerapkan nilai tukar mengambang, menganalisa nilai dan pergerakan dari nilai tukar nominal dan riil menjadi ketertarikan seluruh dunia. Dimana tujuan utama mereka ialah menciptakan nilai tukar yang stabil seiring dengan mempertahankan partisipasinya di pasar global. Determinan fluktuasi nilai tukar secara umum ialah gejolak moneter dan inflasi dimana meningkatnya volatilitas jumlah uang yang beredar atau inflasi akan membawa nilai tukar pada tahap yang lebih bergejolak. Bagaimanapun, studi empiris menemukan bahwa kedua indikator ini tidak selalu menjelaskan pergerakan dari nilai tukar. Oleh karena itu, para peneliti mulai mencari indikator selain moneter untuk menjelaskan volatilitas dari nilai tukar, salah satunya adalah keterbukaan perdagangan. Penelitian ini bertujuan untuk menjelaskan hubungan antara keterbukaan ekonomi terkait perdagangan dengan volatilitas dari nilai tukar riil pada empat negara Asia Tenggara: Indoenesia, Malaysia, Filipina dan Thailand. Dengan menggunakan metode panel, data kuartalan diambil dari Triwulan I-2002 sampai Triwulan IV-2015. Hasil dari penelitian ini menunjukan keterbukaan terbukti memiliki hubungan negatif dengan fluktuasi nilai tukar riil. Sedangkan, indikator dasarnya seperti pergejolakan moneter dan fiskal memiliki hubungan yang sejalan dengan fluktuasi nilai tukar riil. Selain itu, ukuran dari rasio perdagangan ditemukan penting dalam meningkatkan besarnya keterkaitan antara keterbukaan dan volatiltias nilai tukar riil. ......Since most of countries gave up their currency to float, analysing the value and movement of both nominal and real exchange rate has become a notorious interest by the rest of the world. Where the sole objective is to create a stable exchange rate while sustain their participation in global market. The common determinants of exchange rate fluctuation are monetary shocks and inflation as higher money supply volatility or inflation will bring exchange rate to a more volatile phase. However, empirical studies have found that these two indicators do not always define all the motions of exchange rate. Therefore, researchers have been in the spirit of tracing non monetary indicators to determine exchange rate volatility, one of them is trade openness. This study aims to clarify the relationship between economic openness in terms of its trade on real exchange rate volatility of four Southeast Asian countries Indonesia, Malaysia, Philippines, and Thailand. By using panel analysis, quarterly data gathered from 2002Q1 until 2015Q4 . The results of the study show that trade openness is evidently found to have a negative relationship with exchange rate fluctuations. While the fundamentals ndash monetary and fiscal shocks unsurprisingly in line with the exchange rate volatility. However, the size of trade ratio matters in boosting the magnitude of openness ndash RER volatility linkage.

Abstrak :
Changes in economic sector are main factor for economic growth in every economics. History showed that in development process of many countries,including Malaysia and Indonesia,there is a transition from agricultural to industrial and services sector....