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Transmisi shock di kebijakan moneter US dan pasar equity US ke Indonesia melalui contagion 2005-2014 = The transmission of the US monetary policy and the US equity market shocks to Indonesia through contagion 2005-2014

Defti Juniarza; McKibbin, Renee, supervisor (Fakultas Ekonomi dan Bisnis Universitas Indonesia, 2015)

 Abstrak

[Studi ini menginvestigasi keberadaan contagion yang menyebar melalui
kebijakan moneter US dan pasar equity US ke berbagai pasar keuangan negara berkembang dan negara maju terutama Indonesia di periode 2005 sampai 2014. Hubungan antara US dan negara-negara yg diinvestigasi di studi ini dipertimbangkan, studi ini menggunakan the US Federal Funds Rates sebagai perwakilan kebijakan moneter US, dan menggunakan harga saham Standard and Poor’s 500 sebagai perwakilan pasar equity US, serta menggunakan nilai tukar mata
uang harian terhadap US. Metode Vector Autoregression (VAR) dapat
mengidentifikasi keberadaan contagion dari kebijakan moneter US dan shock di pasar equity US ke berbagai pasar keuangan yaitu Indonesia, Australia, Singapura, Jepang, Eropa dan Inggris. Hasil studi ini menunjukan bahwa contagion menyebar dari pasar equity US ke hampir semua pasar keuangan yang dianalisis di studi ini di antara periode krisis keuangan global tahun 2008 dan 2011. Namun, tidak ada
contagion yang signifikan menyebar dari kebijakan moneter US ke pasar-pasar keuangan yang dianalisis.;This study investigates the existence of contagion that transmits from the US monetary policy and the US equity market to a range of emerging and developed financial markets especially to Indonesia, over period 2005 to 2014. The relationship between the US and the investigated countries is considered, taking the US Federal Funds Rates, as the representative of the US monetary policy, and equity prices of Standard and Poor’s 500, as the representative of the US equity market, and using the daily foreign exchange rates against the US dollar for the investigated markets. The Vector Autoregression (VAR) approach has allowed identifying the existence of contagion from the US monetary policy and the US equity market shock to a range of markets, namely, Indonesia, Australia, Singapore, Japan, Europe and the UK. The results show that contagion transmits from the US equity market for most of countries analysed in this study between the Global Financial Crisis in 2008 and
2011. There is no significant contagion from the US monetary policy to investigated markets., This study investigates the existence of contagion that transmits from the US
monetary policy and the US equity market to a range of emerging and developed
financial markets especially to Indonesia, over period 2005 to 2014. The relationship
between the US and the investigated countries is considered, taking the US Federal
Funds Rates, as the representative of the US monetary policy, and equity prices of
Standard and Poor’s 500, as the representative of the US equity market, and using the
daily foreign exchange rates against the US dollar for the investigated markets. The
Vector Autoregression (VAR) approach has allowed identifying the existence of
contagion from the US monetary policy and the US equity market shock to a range
of markets, namely, Indonesia, Australia, Singapore, Japan, Europe and the UK. The
results show that contagion transmits from the US equity market for most of
countries analysed in this study between the Global Financial Crisis in 2008 and
2011. There is no significant contagion from the US monetary policy to investigated
markets.]

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 Metadata

No. Panggil : T44281
Entri utama-Nama orang :
Entri tambahan-Nama orang :
Entri tambahan-Nama badan :
Subjek :
Penerbitan : [Place of publication not identified]: Fakultas Ekonomi dan Bisnis Universitas Indonesia, 2015
Program Studi :
Bahasa : ind
Sumber Pengatalogan : LibUI ind rda
Tipe Konten : text
Tipe Media : unmediated ; computer
Tipe Carrier : volume ; online resource
Deskripsi Fisik : ix, 35 pages : illustration ; 28 cm + appendix
Naskah Ringkas :
Lembaga Pemilik : Universitas Indonesia
Lokasi : Perpustakaan UI, Lantai 3
  • Ketersediaan
  • Ulasan
No. Panggil No. Barkod Ketersediaan
T44281 15-17-478108259 TERSEDIA
Ulasan:
Tidak ada ulasan pada koleksi ini: 20415317