Peramalan Tingkat Suku Bunga Pasar Uang Antar Bank (Puab) Dengan Vector Autoregressive Exogenous (Varx)

Nurfadilah, Khalilah; C, Fery Ramadhan; Kasse, Irwan

doi:10.24252/msa.v6i1.5194

Cited by 2 publications

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“…SIBOR is the average interest rate in Singapore set by eight leading banks in Singapore. SIBOR is one of the references when Bank Indonesia requires dollars for specific purposes (Nurfadilah et al, 2018). In the first month, bond yields did not respond to the interbank money market interest rate shocks.…”

Section: Bond Yield Channelmentioning

confidence: 97%

Transmission Mechanism of Monetary Policy Through Asset Price and Exchange Rate Channel in Indonesia

Kurniawan

Astuti

2023

JIETcon

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Many studies have been related to monetary policy transmission toward economic growth targets. However, research on monetary policy transmission by including bond yields as a channel has never been done in Indonesia. Therefore, this study will analyze the effectiveness of monetary policy transmission through bond yields compared to monetary policy transmission through asset price and exchange rate channels. This study uses secondary data obtained from the Central Bureau of Statistics (BPS), the Indonesia Stock Exchange (IDX), the Indonesian Economic and Financial Statistics (SEKI) of Bank Indonesia, and the website investing.com. The analysis technique used in this study is Vector Autoregression (VARs). Based on research results, a relatively effective monetary policy transmission channel is the stock asset price channel. It is because the variables in the channel of stock asset prices only take one month to respond permanently to monetary policy, but the contribution between variables is still low. In the bond yield and exchange rate channel, the response shown is only temporary, and the contribution between variables is still weak, so the two channels are ineffective in transmitting monetary policy with the target of economic growth in Indonesia.

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Section: Bond Yield Channelmentioning

confidence: 97%

Transmission Mechanism of Monetary Policy Through Asset Price and Exchange Rate Channel in Indonesia

Kurniawan

Astuti

2023

JIETcon

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“…Analisis deret waktu adalah salah satu teknik statistik yang diterapkan untuk memprediksi struktur probabilitas. Struktur dengan kondisi yang akan terjadi di masa depan dalam konteks pengambilan keputusan [7].…”

Section: Prediksi Dan Deret Waktuunclassified

Penerapan Model ARCH/GARCH untuk Memprediksi Harga Saham Perusahaan Tokai Carbon

Rizki

Taqiyyuddin

Rahmah

et al. 2021

JSMS

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Data harga saham historis adalah rangkuman tren harga saham individual emiten. Penelitian ini membahas tentang prediksi data historis saham Tokai Carbon, dengan 60 data mulai dari Januari 2016 sampai Desember 2020. Tujuan penelitian ini adalah untuk memodelkan data historis saham Tokai Carbon melalui model ARCH/GARCH. Model GARCH (0, 1) adalah model yang paling Tepat untuk memprediksi harga saham Tokai Carbon pada penelitian ini. Nilai MAPE menunjukkan persentase yang rendah yakni sebesar 4,949972% yang mengindikasikan metode ARCH/GARCH sangat baik dalam memprediksi harga saham Tokai Carbon. Pembentukan model dilakukan untuk memprediksi data saham Tokai Carbon untuk 7 bulan ke depan, yakni mulai Januari 2021 hingga Juli 2021.

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Peramalan Tingkat Suku Bunga Pasar Uang Antar Bank (Puab) Dengan Vector Autoregressive Exogenous (Varx)

Cited by 2 publications

References 0 publications

Transmission Mechanism of Monetary Policy Through Asset Price and Exchange Rate Channel in Indonesia

Transmission Mechanism of Monetary Policy Through Asset Price and Exchange Rate Channel in Indonesia

Penerapan Model ARCH/GARCH untuk Memprediksi Harga Saham Perusahaan Tokai Carbon

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