Testing the International Transmission of Interest Rate Shocks Using Vector Auto-Regression : Evidence from Cape Verde

2016 ◽  
Vol 10 (1) ◽  
pp. 70-78
Author(s):  
Chibuike R. Oguanobi
Keyword(s):  
Interest Rate ◽  
Cape Verde ◽  
International Transmission ◽  
Interest Rate Shocks ◽  
Vector Auto Regression ◽  
Auto Regression

Does interest rate shocks transmit from united states to Ghana?: Evidence from vector auto-regression

2015 ◽  
Vol 49 (3) ◽  
pp. 1-12
Author(s):  
Chibuike R. Oguanobi ◽  
Anthony A. Akamobi ◽  
Ogonna E. Ifebi ◽  
Anne C. Maduka
Keyword(s):  
United States ◽  
Interest Rate ◽  
Interest Rate Shocks ◽  
Vector Auto Regression ◽  
Auto Regression

scholarly journals ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI PENYALURAN PENGARUH TINGKAT SUKU BUNGA, NISBAH BAGI HASIL DEPOSITOMUDHARABAH, DAN PERTUMBUHAN EKONOMI TERHADAPPERTUMBUHAN DEPOSITO MUDHARABAH DI BANK SYARIAH MANDIRI PERIODE 2006:01-2011:12

Media Ekonomi ◽  
2017 ◽  
Vol 20 (3) ◽  
pp. 73
Author(s):  
Iqra Aulia
Keyword(s):  
Interest Rate ◽  
Unit Root Test ◽  
Secondary Data ◽  
Dynamic Impact ◽  
Causality Test ◽  
Var Analysis ◽  
Disturbance Factor ◽  
Vector Auto Regression ◽  
The Interest Rate ◽  
Auto Regression

<p>Vector Auto Regression (VAR) is an analysis or statistic method which can be used to predict time series variable and to analyst dynamic impact of disturbance factor in the variable system. In addition, VAR analysis is very usefull to assess the interrelationship between economics variable. This research through the following test phases: unit root test, optimal lag test, granger causality test, and form a vector auto regression model (VAR). The data used in this research is interest rate (i), profit low sharing of mudharabah deposits (nBH), economic growth (gGDP, growth of mudharabah deposits volume (gVM) in the period 2006:01-2011:12. The effectiveness was measured by two indicators. This study used secondary data issued by Syariah Mandiri Bank &amp; Bank Indonesia. The result of the study shows that response velocity of variable in growth of mudharabah deposits volume (gVM) towards shock instrument of interest rate(i) until reach the final target about 4 months. Thus we can conclude that growth of mudharabah deosits volume through Interest Rate is not effective in Indonesia period of 2006:01-2011:12. Keyword: Vector Auto Regression (VAR), growth of mudharabah deposits volume (gVM), The Interest Rate.</p>

scholarly journals EFEKTIFITAS MEKANISME TRANSMISI KEBIJAKAN MONETER PADA JALUR SUKU BUNGA PERIODE 2005:07-2010:06

Media Ekonomi ◽  
2017 ◽  
Vol 19 (1) ◽  
pp. 89
Author(s):  
Muhammad Alfian
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Granger Causality ◽  
Time Lag ◽  
Rate Data ◽  
Monetary Aggregate ◽  
Disturbance Factor ◽  
Vector Auto Regression ◽  
Auto Regression ◽  
Interest Rate Channel

Vector Auto Regression (VAR) is an analysis or statistic method which can be used to predict time series variable and to analyst dynamic impact of disturbance factor in the variable system. In addition, VAR analysis is very usefull to assess the interrelationship between economics variable. This research through the following test phases: unit root test, optimal lag test, granger causality test, and form a vector auto regression model (VAR). The data used in this research is the Bank Indonesia Certificate rate data (SBI), interbank offered rate data (PUAB), deposit rate data (DEP), loan rate data (KDRT) and credit aggregate data (AGKDRT) of Indonesia in the period 2005:07-2010:06. The effectiveness was measured by two indicators. They are: (1). how fast or how many time lag needed since the shock of monetary instruments (rSBI) until the realisation of intermediary target of monetary policy (monetary aggregate). (2). How strong the variables of Interest Rate Channel response the shock of SBI interest rate and other variable. This study used secondary data issued by Bank Indonesia. The result of the study shows that response velocity of variable in Interest Rate Channel towards shock instrument of monetary policy (SBI) until reach the final target about 4 months. While impulse response function of variables in this channel to the shock instrument of monetary policy (SBI) is quiet weak and the main variable in interest rate money market among bank (PUAB) able to explain diversity intermediary target of monetary policy (Monetary Aggregate) about 2,82%. This result once shows a weak Granger causality and predictive power between PUAB as the operational target with monetary aggregate as the intermediary target of monetary policy. Thus we can conclude that mechanism of monetary policy transmission through Interest Rate Channel is not effective to reach the intermediary target of monetary policy of Indonesia period of 2005:072010:06. Keyword: Vector Auto Regression (VAR), The Monetary Transmission Mechanism (MTKM), The Interest Rate Channel.

scholarly journals PENGUJIAN KAUSALITAS ANTARA VARIABEL MAKROEKONOMI DENGAN RETURN PASAR DI BURSA EFEK INDONESIA : SEBUAH PENDEKATAN VECTOR AUTO

Media Ekonomi ◽  
2017 ◽  
Vol 19 (3) ◽  
pp. 23
Author(s):  
Anggi Hapsari Nurullita
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Granger Causality ◽  
Unit Root ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Causality Test ◽  
Market Return ◽  
Vector Auto Regression ◽  
Auto Regression

<p>Indicators of macroeconomic have major impact on capital markets in general and stocks in particular. Influence of these indicators can be positive or negative. Vector Auto Regression (VAR) is a method of analysis used to predict the time series variable and analyze the dynamic impact factor interference in a system variable. VAR analysis is very useful to assess the linkages between economic variables. This research aims to see the influence of iIndicators of macroeconomic such as the exchange rate (EXCHANGE), interest rate Bank Central of Indonesia Certificates (SBI) and rate of inflation (INFLATION) to market return (REIHSG) in Indonesian Stock Exchange in the period 2004:1-2011:10. Data obtained from the Monthly Stock Price Index Statistics JSX. This research appllying several stages of testing as follows: unit root test, the optimal lag test, Granger causality test and Vector Auto Regression model (VAR). The results of unit root test in this study suggests that the data used for processing in the first degree and VAR Granger test because only the stationary stock index return variable in zero degree (level). On the test results suggested the optimal lag is the lag 3. On the Granger causality test is known that the Granger test variable rate (EXCHANGE) has a one-way impact or the exchange rate (EXCHANGE) affect market return (REIHSG) interest rate of Bank Central of Indonesia Certificates (SBI) and the rate of inflation (INFLATION) has a two direction or impact mutual Causality. These results indicate that there is a weak Granger causality between interest rates Bank Central of Indonesia Certificates (SBI) and rate of inflation (INFLATION) to market return (REIHSG).<br />Keywords: Vector Auto Regressive (VAR), Macroeconomic, Granger Causality, IHSG stock return</p>

scholarly journals The Role of Monetary Policy using the Taylor´s Rule under High Level Indebtedness: The Brazilian Case

2020 ◽  
Vol 8 (7) ◽  
pp. 134-142
Author(s):  
MARCELO MELO ◽  
WELIGTON GOMES
Keyword(s):  
Interest Rate ◽  
Central Bank ◽  
Economic Activity ◽  
Consumer Price Index ◽  
Vector Auto Regression ◽  
The Interest Rate ◽  
High Level ◽  
Outstanding Issue ◽  
Auto Regression

This research investigated if the Central Bank of Brazil follows the Taylor´s rule under high indebtedness. Research data collected covered last 25 years from Dec/1995 until Feb/2020 from the Central Bank of Brazil and methodology applied was vector auto-regression (VECM) analysis with five macroeconomic variables as follows: Government net Debt to GDP (DEBT/GDP), Gross Domestic Product (GDP), Exchange Rate (EXRATE), Consumer Price Index (IPCA) and Interest Rate (SELIC). Government´s indebtedness in relation to Brazilian GDP doubled from January/2014 up to Mar/2020, what make this research an outstanding issue. Conclusively the high-level debt environment interferes in the Central Bank of Brazil policy. Therefore, the Taylor´s rule is not being followed as it is expected for inflation rate targeting control. With respect economic activity monitoring the Central Bank of Brazil still applies the Taylor´s rule, increasing the interest rate in overheated economic activity periods.

scholarly journals THE DYNAMICS OF INDONESIA INFLATION: WHAT CAN WE LEARN FROM INFLATION DISAGGREGATION?

2014 ◽  
Vol 16 (1) ◽  
pp. 43-79
Author(s):  
IGP Wira Kusuma
Keyword(s):  
Interest Rate ◽  
Price Volatility ◽  
Macroeconomic Shocks ◽  
Speed Of Adjustment ◽  
Price Puzzle ◽  
Disaggregated Data ◽  
Vector Auto Regression ◽  
Interest Rate Shock ◽  
Auto Regression

This paper employs disaggregated data of inflation combined with Factor Augmented Vector Auto Regression (FAVAR) to explore the price behaviour in Indonesia. The main finding of this analysis is that price behaviour in Indonesia exhibits heterogeneity. It is evident not only in terms of the magnitude, but also in the direction and the speed of adjustment to the new equilibrium in response to interest rate shock. Price volatility is mainly related to sector specific shocks instead of macroeconomic shocks. Another finding is, the price puzzle weakens once ITF is adopted. Keywords: price disaggregation, inflation, FAVAR, price puzzle.JEL classification: C32, E31, E52

scholarly journals The Dynamics of Indonesian Inflation: What can We Learn from Inflation Disaggregation?

2014 ◽  
Vol 16 (1) ◽  
pp. 39-72
Author(s):  
IGP Wira Kusuma
Keyword(s):  
Interest Rate ◽  
Price Volatility ◽  
Macroeconomic Shocks ◽  
Speed Of Adjustment ◽  
Price Puzzle ◽  
Disaggregated Data ◽  
Vector Auto Regression ◽  
Interest Rate Shock ◽  
Auto Regression

This paper employs disaggregated data of inflation combined with Factor Augmented Vector Auto Regression (FAVAR) to explore the price behaviour in Indonesia. The main finding of this analysis is that price behaviour in Indonesia exhibits heterogeneity. It is evident not only in terms of the magnitude, but also in the direction and the speed of adjustment to the new equilibrium in response to interest rate shock. Price volatility is mainly related to sector specific shocks instead of macroeconomic shocks. Another finding is, the price puzzle weakens once ITF is adopted. Keywords: price disaggregation, inflation, FAVAR, price puzzle.JEL classification: C32, E31, E52

Interest Rate Shocks and Credit Risk

2009 ◽  
Author(s):  
Carlos González-Aguado ◽  
Javier Suarez
Keyword(s):  
Interest Rate ◽  
Credit Risk ◽  
Interest Rate Shocks
Sign in / Sign up

Export Citation Format

Share Document