The purpose of the study was to investigate which factors determine saving and financing in Islamic banks in Indonesia by using Gregory–Hansen cointegration, vector error correction mode (VECM), Granger causality, and the impulse response function. The results disclose the existence of a long-running cointegrating relationship with a structural break in the deposit and financing case to the consumer price index, industrial production, interest rate, exchange rate, and Jakarta Islamic Index. Most of the structural breaks appeared in January 2006 and April 2007 for both deposit and financing, revealing the first stage of the financial crisis. Any short-term deviation between deposit and financing will give rise to a stable relationship in the long term. In the short-term, there is bidirectional causality between deposits and industrial production and between the consumer price index and financing. This finding shows that real activity, as measured by industrial production, is a highly determinant factor of Islamic bank deposits, while inflation, as measured by the customer price index, is the determinant factor of Islamic bank financing. Our results also suggest that a mix of dynamic behaviors from both Islamic bank savings and financing was revealed in response to the shock of the macroeconomic variable, giving better insight for the government and stakeholders into Indonesian Islamic banking.
Purpose This paper aims to investigate how different uncertainty shocks affect international housing prices. Design/methodology/approach The authors set up a model of housing price instability with four uncertainty variables and apply the panel generalized method of moments method and quantile regression to estimate the linear and non-linear linkages among the variables based on data of 56 countries from 2001Q1 to 2018Q2. Findings Some empirical findings are as follows. Higher macroeconomic uncertainty and global economic policy risk increase housing price instability, whereas greater financial uncertainty and geopolitical risk present reverse effect. Four uncertainty variables are good signals for housing price changes in Asia, and geopolitical risk takes leading role in Europe. Macroeconomic uncertainty positively impacts housing price instability only at a low or middle level in all regions, as financial uncertainty, global economic policy uncertainty and geopolitical risk effects in all regions are smaller at the middle or high level of housing price instability; this confirms the existence of non-linear correlation between each variable. Originality/value The findings help investors and policymakers gain a better notion of housing price instability and control into uncertainty signal that could cause housing price instability crash.
This paper aims to investigate the short and long run behavior of ownership structure, capital structure and Indonesian Stock Price over the period from 2007 to 2016. To capture the long run relationships, we used the panel cointegration by Pedroni (1999, 2000, 2004), while the short run relationship are measured by Vector Error Correction Model (VECM). The main findings are as follows. First, the result of most results of Pedroni’s panel cointegration tests, suggest the null hypothesis of no cointegration is rejected. In consequence, this result suggests that there is a cointegration between stock price, managerial ownership, institutional ownership, public ownership, debt to equity ratio and earnings per share. Second, the results of VECM indicate that in the short run, only managerial ownership that will influence the stock price.
This paper investigates the effect of exchange rate volatility on bilateral trade between Taiwan and Indonesia via 19 export and import industries. Considering the existence of an asymmetric effect of exchange rate volatility on trade, we employ an asymmetric ARDL model and arrive at the following main results. First, the long-run asymmetric effect of exchange rate volatility shows far higher impacts on Taiwan’s exports to Indonesia than on Taiwan’s imports from Indonesia. Second, the short-run asymmetric effect of exchange rate volatility causes unstable changes on the trade amounts for most of Taiwan’s export and import industries with Indonesia.
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