Pub Date : 2019-07-31DOI: 10.21098/bemp.v22i2.1092
Harald Kinateder, K. Weber, N. Wagner
We use a GARCH-dummy approach to analyze the influence of calendar anomalies on conditional daily returns and risk for BRICS countries’ stock markets during 1996 to 2018. The month-of-the-year (MOY), turn-of-the-month (TOM), day-of-the-week (DOW), and holiday effects are investigated. The most striking DOW effect is given for Tuesdays. The TOM effect is validated, while we interestingly find no evidence of a January effect. A general holiday effect is not documented, but the Indian market shows a significant pre- and a post-holiday effect, the Chinese market is anomalous before public holidays and the South African market is affected after holidays only.
{"title":"REVISITING CALENDAR ANOMALIES IN BRICS COUNTRIES","authors":"Harald Kinateder, K. Weber, N. Wagner","doi":"10.21098/bemp.v22i2.1092","DOIUrl":"https://doi.org/10.21098/bemp.v22i2.1092","url":null,"abstract":"We use a GARCH-dummy approach to analyze the influence of calendar anomalies on conditional daily returns and risk for BRICS countries’ stock markets during 1996 to 2018. The month-of-the-year (MOY), turn-of-the-month (TOM), day-of-the-week (DOW), and holiday effects are investigated. The most striking DOW effect is given for Tuesdays. The TOM effect is validated, while we interestingly find no evidence of a January effect. A general holiday effect is not documented, but the Indian market shows a significant pre- and a post-holiday effect, the Chinese market is anomalous before public holidays and the South African market is affected after holidays only.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47902438","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-07-31DOI: 10.21098/bemp.v22i2.1039
K. Prabheesh, R. Rahman
This paper empirically tests the dynamics of credit cards and monetary policy in thecontext of Indonesia. Using monthly data from 2006 to 2018 and a structural vectorautoregressive model, our findings indicate that credit card usage is mainly drivenby Indonesia’s fast economic growth over the last decade, which indeed reflects therole of credit cards in consumption smoothing. The study also finds that monetarypolicy transmission through the lending channel is weak, with a more prevalent rolefor exchange rates and global oil prices in the transmission process.
{"title":"MONETARY POLICY TRANSMISSION AND CREDIT CARDS: EVIDENCE FROM INDONESIA","authors":"K. Prabheesh, R. Rahman","doi":"10.21098/bemp.v22i2.1039","DOIUrl":"https://doi.org/10.21098/bemp.v22i2.1039","url":null,"abstract":"This paper empirically tests the dynamics of credit cards and monetary policy in thecontext of Indonesia. Using monthly data from 2006 to 2018 and a structural vectorautoregressive model, our findings indicate that credit card usage is mainly drivenby Indonesia’s fast economic growth over the last decade, which indeed reflects therole of credit cards in consumption smoothing. The study also finds that monetarypolicy transmission through the lending channel is weak, with a more prevalent rolefor exchange rates and global oil prices in the transmission process.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48781707","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-07-31DOI: 10.21098/bemp.v22i2.1079
Quan-Jing Wang, Genfu Feng, Chun-ping Chang
This article is an empirical analysis of the relations between financial structure and theurban–rural income gap (URIG) in China’s economic transition, based on the country’sdouble dual structure. We employ data of 31 provinces in China from 2001 to 2016 toempirically study the influence of financial structure on the URIG. We find an invertedU-shaped relation between financial scale and the URIG, a positive impact of urbanand rural financial structure on the URIG, and an inverted U-shaped relation betweenthe mismatch of financial resources and the URIG. These findings show that selectionof the optimal proportion of the state-owned economy through ownership reform andthe promotion of financial development and optimization of the allocation of financialresources are two effective ways to reduce the URIG.
{"title":"FINANCIAL STRUCTURE FOUNDATION OF THE URBAN– RURAL INCOME GAP IN CHINA: AN INVESTIGATION FROM THE PERSPECTIVE OF THE DOUBLE DUAL STRUCTURE","authors":"Quan-Jing Wang, Genfu Feng, Chun-ping Chang","doi":"10.21098/bemp.v22i2.1079","DOIUrl":"https://doi.org/10.21098/bemp.v22i2.1079","url":null,"abstract":"This article is an empirical analysis of the relations between financial structure and theurban–rural income gap (URIG) in China’s economic transition, based on the country’sdouble dual structure. We employ data of 31 provinces in China from 2001 to 2016 toempirically study the influence of financial structure on the URIG. We find an invertedU-shaped relation between financial scale and the URIG, a positive impact of urbanand rural financial structure on the URIG, and an inverted U-shaped relation betweenthe mismatch of financial resources and the URIG. These findings show that selectionof the optimal proportion of the state-owned economy through ownership reform andthe promotion of financial development and optimization of the allocation of financialresources are two effective ways to reduce the URIG.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45955451","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-04-30DOI: 10.21098/BEMP.V22I1.1044
Yuting Gong, Jufang Liang, Jie Zhu
We propose a dynamic skewed copula to model multivariate dependence in asset returns in a flexible yet parsimonious way. We then apply the model to 50 exchange traded funds. The new copula is shown to have better in-sample and out-of-sample performance than existing copulas. In particular, the dynamic model is able to capture increasing dependence patterns during the fixnancial crisis periods. It is crucial for investors to take dynamic dependence structure into account when modeling high dimensional returns.
{"title":"MODELING HIGH DIMENSIONAL ASSET PRICING RETURNS USING A DYNAMIC SKEWED COPULA MODEL","authors":"Yuting Gong, Jufang Liang, Jie Zhu","doi":"10.21098/BEMP.V22I1.1044","DOIUrl":"https://doi.org/10.21098/BEMP.V22I1.1044","url":null,"abstract":"We propose a dynamic skewed copula to model multivariate dependence in asset returns in a flexible yet parsimonious way. We then apply the model to 50 exchange traded funds. The new copula is shown to have better in-sample and out-of-sample performance than existing copulas. In particular, the dynamic model is able to capture increasing dependence patterns during the \u0085fixnancial crisis periods. It is crucial for investors to take dynamic dependence structure into account when modeling high dimensional returns.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44563630","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Using data for 341 enterprises listed on the Growth Enterprise Market (GEM) of the Shenzhen Stock Exchange and taking R&D expenditure as an indicator of innovation investment, this paper implements multiple linear regression to test whether venture capital promotes corporate innovation input. It also considers the relationship between the syndicated investment of venture capital and innovation input. The results showthat venture capital indeed promotes R&D in the invested enterprises. The innovation input of syndicated investment enterprises is significantly higher than that of sole investment enterprises. Under syndicated investment, the higher the number of syndicated investment members and the greater the heterogeneity of the shareholding ratio among the members, the higher is the innovation input. The reputation of the syndicated investment team, however, has no significant impact on innovation input.
{"title":"VENTURE CAPITAL AND CORPORATE INNOVATION INPUT FROM THE PERSPECTIVE OF SYNDICATED INVESTMENT","authors":"Ningchuan Jiang, Yuan Yang, Bingkun Yang, Wenli Huang","doi":"10.21098/BEMP.V22I1.1036","DOIUrl":"https://doi.org/10.21098/BEMP.V22I1.1036","url":null,"abstract":"Using data for 341 enterprises listed on the Growth Enterprise Market (GEM) of the Shenzhen Stock Exchange and taking R&D expenditure as an indicator of innovation investment, this paper implements multiple linear regression to test whether venture capital promotes corporate innovation input. It also considers the relationship between the syndicated investment of venture capital and innovation input. The results showthat venture capital indeed promotes R&D in the invested enterprises. The innovation input of syndicated investment enterprises is significantly higher than that of sole investment enterprises. Under syndicated investment, the higher the number of syndicated investment members and the greater the heterogeneity of the shareholding ratio among the members, the higher is the innovation input. The reputation of the syndicated investment team, however, has no significant impact on innovation input.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43582430","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-04-30DOI: 10.21098/BEMP.V22I1.1041
B. N. Rath, D. Hermawan
This paper investigates, using annual data from 1980 to 2014, whether adoption of information and communication technologies (ICT) fosters economic growth in Indonesia. We employ an Autoregressive Distributed Lag cointegration technique on an augmented neoclassical growth model. The empirical results indicate a positive effect of ICT development on economic growth in both the long-run and short-run. The other regressors, such as total factor productivity, human capital, and capital per worker, also positively affect economic growth. From a policy perspective, the Indonesian government should promote ICT development through greater investment.
{"title":"DO INFORMATION AND COMMUNICATION TECHNOLOGIES FOSTER ECONOMIC GROWTH IN INDONESIA?","authors":"B. N. Rath, D. Hermawan","doi":"10.21098/BEMP.V22I1.1041","DOIUrl":"https://doi.org/10.21098/BEMP.V22I1.1041","url":null,"abstract":"This paper investigates, using annual data from 1980 to 2014, whether adoption of information and communication technologies (ICT) fosters economic growth in Indonesia. We employ an Autoregressive Distributed Lag cointegration technique on an augmented neoclassical growth model. The empirical results indicate a positive effect of ICT development on economic growth in both the long-run and short-run. The other regressors, such as total factor productivity, human capital, and capital per worker, also positively affect economic growth. From a policy perspective, the Indonesian government should promote ICT development through greater investment.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48377133","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-04-30DOI: 10.21098/BEMP.V22I1.1029
M. Ibrahim
This paper empirically assesses the relation between bank performance and capital regulation for Islamic banks from 13 countries and evaluates whether the relation varies with bank size, capital, and liquidity. We find small Islamic banks to be less stable and less profitable; they also cut lending growth as capital regulation becomes more stringent. The stability and lending growth of big Islamic banks are, however, directly related to capital regulation. Further, capital regulation adversely affects the profitability of Islamic banks with low liquidity and high capital holdings. While capital regulation is needed, it should not be adopted in a blanket manner for all Islamic banks.
{"title":"CAPITAL REGULATION AND ISLAMIC BANKING PERFORMANCE: A PANEL EVIDENCE","authors":"M. Ibrahim","doi":"10.21098/BEMP.V22I1.1029","DOIUrl":"https://doi.org/10.21098/BEMP.V22I1.1029","url":null,"abstract":"This paper empirically assesses the relation between bank performance and capital regulation for Islamic banks from 13 countries and evaluates whether the relation varies with bank size, capital, and liquidity. We find small Islamic banks to be less stable and less profitable; they also cut lending growth as capital regulation becomes more stringent. The stability and lending growth of big Islamic banks are, however, directly related to capital regulation. Further, capital regulation adversely affects the profitability of Islamic banks with low liquidity and high capital holdings. While capital regulation is needed, it should not be adopted in a blanket manner for all Islamic banks.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49149247","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper analyses the demand for three important financial assets (i.e. demand deposits) in Indonesia: demand deposits, saving deposits and time deposits. We use a system-wide approach to consumption economics to perform the analysis in the long and short run. The estimation results reveal that a) generally, the wealth elasticity for saving deposits is above one, for time deposits is below one, and for demand deposits it varies from 0.5 (in the short-run) to 1.1 (in the long-run); b) the own interest rate coefficients are statistically significant and positive, as expected; and c) in the long run, while the assets of demand deposits and time deposits and saving deposits and time deposits are pairwise subsitutes, the assets of demand deposits and saving deposits are pairwise complements.
{"title":"ANALYSING THE DEMAND FOR FINANCIAL ASSETS IN INDONESIA","authors":"E. Selvanathan, S. Selvanathan","doi":"10.21098/BEMP.V22I1.982","DOIUrl":"https://doi.org/10.21098/BEMP.V22I1.982","url":null,"abstract":"This paper analyses the demand for three important financial assets (i.e. demand deposits) in Indonesia: demand deposits, saving deposits and time deposits. We use a system-wide approach to consumption economics to perform the analysis in the long and short run. The estimation results reveal that a) generally, the wealth elasticity for saving deposits is above one, for time deposits is below one, and for demand deposits it varies from 0.5 (in the short-run) to 1.1 (in the long-run); b) the own interest rate coefficients are statistically significant and positive, as expected; and c) in the long run, while the assets of demand deposits and time deposits and saving deposits and time deposits are pairwise subsitutes, the assets of demand deposits and saving deposits are pairwise complements.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44512769","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-02-28DOI: 10.21098/BEMP.V21I3.1006
S. Sharma, Ferry Syarifuddin
Using monthly time-series data and both short- and long-run models, our paper examines the determinants of Indonesia’s income velocity of money. Our findings strongly suggest that in the long-run, tax revenue, short-term interest rates, and industrial production, and in the short-run, money demand significantly determines income velocity of money. Our analysis suggests that the effect on income velocity is mostly over the long-run as most determinants are dormant in the short-run. The implication from a policy perspective is that shocks that are transitory are unlikely to burden income velocity.
{"title":"DETERMINANTS OF INDONESIA’S INCOME VELOCITY OF MONEY","authors":"S. Sharma, Ferry Syarifuddin","doi":"10.21098/BEMP.V21I3.1006","DOIUrl":"https://doi.org/10.21098/BEMP.V21I3.1006","url":null,"abstract":"Using monthly time-series data and both short- and long-run models, our paper examines the determinants of Indonesia’s income velocity of money. Our findings strongly suggest that in the long-run, tax revenue, short-term interest rates, and industrial production, and in the short-run, money demand significantly determines income velocity of money. Our analysis suggests that the effect on income velocity is mostly over the long-run as most determinants are dormant in the short-run. The implication from a policy perspective is that shocks that are transitory are unlikely to burden income velocity.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45091786","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This study explores, for the first time, how financial vulnerability affects incomeinequality across OECD countries, from 1990 to 2015. The empirics use a new financialvulnerability index constructed by Adrian and Duarte (2016). Through the methodologyof their modeling approach, panel GARCH and GMM methods, the findings indicatethat financial vulnerability exerts a negative impact on income equality conditions.The results survive certain definitions of income inequality and corruption, whilethey highlight the importance of financial stability conditions, with potential furtherrepercussions to the real economy.
{"title":"FINANCIAL VULNERABILITY AND INCOME INEQUALITY: NEW EVIDENCE FROM OECD COUNTRIES","authors":"N. Apergis","doi":"10.21098/BEMP.V21I3.945","DOIUrl":"https://doi.org/10.21098/BEMP.V21I3.945","url":null,"abstract":"This study explores, for the first time, how financial vulnerability affects incomeinequality across OECD countries, from 1990 to 2015. The empirics use a new financialvulnerability index constructed by Adrian and Duarte (2016). Through the methodologyof their modeling approach, panel GARCH and GMM methods, the findings indicatethat financial vulnerability exerts a negative impact on income equality conditions.The results survive certain definitions of income inequality and corruption, whilethey highlight the importance of financial stability conditions, with potential furtherrepercussions to the real economy.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48856551","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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