Pub Date : 2023-08-23DOI: 10.32832/moneter.v11i2.298
Anika Amelia, Tuti Anggraini, Nur Ahmadi Bi Rahmani
Technology has made life more comfortable and efficient for people today. The use of QRIS and other innovative payment systems is influenced by technological developments in all areas, including the banking industry. One of the technological advancements that are in demand today is the use of QRIS as a non-financial payment mechanism. The use of QRIS has become one of the alternative payments in mosques in addition to being used for shopping payments. The Ar-Rahman Mosque is one of the mosques that uses QRIS to raise funds for infacts. This research is intended to study the variables that affect the decision of the Mosque of Ar-Rahman to inflate using QRIS.Ketua BKM Mosque and Jamaah Mosque Ar- Rahman became the main source of data in this research, which is carried out with qualitative descriptive methodology. Secondary data sources come from literature surveys. The percentage of Ar-Rahman Mosque jamaahs using QRIS is currently around 20%; however, as the BKM of the mosque continues to socialize, this number will probably continue to increase. Awareness of QRIS, the ease of using QRIS and the satisfaction of the QRIS users are factors that influence the decision of the Masjid Ar-Rahman to inflate through QRIS.
科技使人们的生活更加舒适和高效。QRIS和其他创新支付系统的使用受到包括银行业在内的所有领域技术发展的影响。当今需求的技术进步之一是使用QRIS作为非金融支付机制。除了用于购物支付外，使用QRIS已成为清真寺的另一种支付方式。拉赫曼清真寺是使用QRIS为事实筹集资金的清真寺之一。本研究旨在利用QRIS研究影响拉赫曼清真寺膨胀决策的变量。Ketua BKM清真寺和Jamaah al - Rahman清真寺成为本研究的主要数据来源，本研究采用定性描述方法进行。次要数据来源来自文献调查。目前，使用QRIS的拉赫曼清真寺民众的比例约为20%;然而，随着清真寺的BKM继续社会化，这个数字可能会继续增加。对QRIS的认识、使用QRIS的难易程度和QRIS使用者的满意度是影响清真寺通过QRIS进行膨胀的因素。
{"title":"Determination of the Decision of the Jamaah Masjid to Pay Infaq Through the Qris Application (Case Study of the Ar-Rahman Masjid Hm. Yamin Field of Fight)","authors":"Anika Amelia, Tuti Anggraini, Nur Ahmadi Bi Rahmani","doi":"10.32832/moneter.v11i2.298","DOIUrl":"https://doi.org/10.32832/moneter.v11i2.298","url":null,"abstract":"Technology has made life more comfortable and efficient for people today. The use of QRIS and other innovative payment systems is influenced by technological developments in all areas, including the banking industry. One of the technological advancements that are in demand today is the use of QRIS as a non-financial payment mechanism. The use of QRIS has become one of the alternative payments in mosques in addition to being used for shopping payments. The Ar-Rahman Mosque is one of the mosques that uses QRIS to raise funds for infacts. This research is intended to study the variables that affect the decision of the Mosque of Ar-Rahman to inflate using QRIS.Ketua BKM Mosque and Jamaah Mosque Ar- Rahman became the main source of data in this research, which is carried out with qualitative descriptive methodology. Secondary data sources come from literature surveys. The percentage of Ar-Rahman Mosque jamaahs using QRIS is currently around 20%; however, as the BKM of the mosque continues to socialize, this number will probably continue to increase. Awareness of QRIS, the ease of using QRIS and the satisfaction of the QRIS users are factors that influence the decision of the Masjid Ar-Rahman to inflate through QRIS.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135620554","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 : 2023-06-14DOI: 10.32832/moneter.v11i2.183
I Gusti Ayu Purnama Dewi, I Gede Sanica
In an organization, performance is very important to determine the success of the organization. Performance can be interpreted as work results that can be achieved by an employee or a group of employees in order to achieve organizational goals. Therefore, it is necessary to conduct research on the factors that influence employee performance, so that steps can be taken to improve their performance. Factors that affect employee performance are work family conflict, work environment, job stress, and job satisfaction. This study aims to analyze the factors that affect employee performance, namely work-family conflict, work environment, job stress, and job satisfaction. The method used in this study is a quantitative method. The sample used was 131 respondents. The data collection tool uses a questionnaire distributed through the Google form. The method used is the analysis of alternative structural equation models (SEM) with the PLS method using the SmartPLS 3.0 program. The results showed that there was a positive influence between work environment variables and job satisfaction on employee performance p<0.05. Meanwhile, the work family conflict and work stress variables have a negative effect on employee performance with p <0.05. Implication: the results of this study are expected to be able to contribute to organizations or companies in improving employee performance The results showed that there was a positive influence between work environment variables and job satisfaction on employee performance p<0.05. Meanwhile, the work family conflict and work stress variables have a negative effect on employee performance with p <0.05. Implication: the results of this study are expected to be able to contribute to organizations or companies in improving employee performance The results showed that there was a positive influence between work environment variables and job satisfaction on employee performance p<0.05. Meanwhile, the work family conflict and work stress variables have a negative effect on employee performance with p <0.05. Implication: the results of this study are expected to be able to contribute to organizations or companies in improving employee performance
{"title":"The Effect of Work-Family Conflict, Work Environment, Work Stress, Job Satisfaction on High and Low Employee Performance at the Faculty of Medicine, Udayana University","authors":"I Gusti Ayu Purnama Dewi, I Gede Sanica","doi":"10.32832/moneter.v11i2.183","DOIUrl":"https://doi.org/10.32832/moneter.v11i2.183","url":null,"abstract":"In an organization, performance is very important to determine the success of the organization. Performance can be interpreted as work results that can be achieved by an employee or a group of employees in order to achieve organizational goals. Therefore, it is necessary to conduct research on the factors that influence employee performance, so that steps can be taken to improve their performance. Factors that affect employee performance are work family conflict, work environment, job stress, and job satisfaction. This study aims to analyze the factors that affect employee performance, namely work-family conflict, work environment, job stress, and job satisfaction. The method used in this study is a quantitative method. The sample used was 131 respondents. The data collection tool uses a questionnaire distributed through the Google form. The method used is the analysis of alternative structural equation models (SEM) with the PLS method using the SmartPLS 3.0 program. The results showed that there was a positive influence between work environment variables and job satisfaction on employee performance p<0.05. Meanwhile, the work family conflict and work stress variables have a negative effect on employee performance with p <0.05. Implication: the results of this study are expected to be able to contribute to organizations or companies in improving employee performance The results showed that there was a positive influence between work environment variables and job satisfaction on employee performance p<0.05. Meanwhile, the work family conflict and work stress variables have a negative effect on employee performance with p <0.05. Implication: the results of this study are expected to be able to contribute to organizations or companies in improving employee performance The results showed that there was a positive influence between work environment variables and job satisfaction on employee performance p<0.05. Meanwhile, the work family conflict and work stress variables have a negative effect on employee performance with p <0.05. Implication: the results of this study are expected to be able to contribute to organizations or companies in improving employee performance","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136017306","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}
The growth rate of real Gross Domestic Product (GDP), as measured by the National Statistical Office of India, is an important metric for monetary policy making. Because GDP is released with a significant lag, particularly for the emerging market economies, this article presents various methodologies for nowcasting and forecasting GDP, using both traditional time series and machine learning methods. Further, considering the importance of forward-looking information, our nowcasting model incorporates financial market data and an economic uncertainty index, in addition to high-frequency traditional macroeconomic indicators. Our findings suggest an improvement in the performance of nowcasting using a hybrid of machine learning and conventional time series methods.
印度国家统计局(National Statistical Office of India)测量的实际国内生产总值(GDP)增长率是制定货币政策的重要指标。由于GDP的发布具有明显的滞后性，特别是对于新兴市场经济体，本文介绍了使用传统时间序列和机器学习方法进行临近预测和预测GDP的各种方法。此外，考虑到前瞻性信息的重要性，我们的临近预测模型除了高频传统宏观经济指标外，还纳入了金融市场数据和经济不确定性指数。我们的研究结果表明，使用机器学习和传统时间序列方法的混合方法可以改善临近预报的性能。
{"title":"A MACHINE LEARNING APPROACH TO GDP NOWCASTING: AN EMERGING MARKET EXPERIENCE","authors":"Saurabh Ghosh, Abhishek Ranjan","doi":"10.59091/1410-8046.2055","DOIUrl":"https://doi.org/10.59091/1410-8046.2055","url":null,"abstract":"The growth rate of real Gross Domestic Product (GDP), as measured by the National Statistical Office of India, is an important metric for monetary policy making. Because GDP is released with a significant lag, particularly for the emerging market economies, this article presents various methodologies for nowcasting and forecasting GDP, using both traditional time series and machine learning methods. Further, considering the importance of forward-looking information, our nowcasting model incorporates financial market data and an economic uncertainty index, in addition to high-frequency traditional macroeconomic indicators. Our findings suggest an improvement in the performance of nowcasting using a hybrid of machine learning and conventional time series methods.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135582729","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 : 2023-02-01DOI: 10.21098/bemp.v25i4.1674
A. Setiyanto
This study aims to investigate the empirical relationship between Foreign Direct Investment (FDI) to Private Domestic Investment (PDI) in Indonesia by using quarterly data from 1990Q2 to 2020Q2. It tests the crowding-in effect (which suggests complementarity between FDI and PDI) and crowding out effect (which indicates asubstitution effect between FDI and PDI) at the sectoral level. Our results imply the prevalence of the crowding-in effect in the primary and secondary sectors, with the tertiary sector exhibiting a neutral relationship. No rational reason was observed for the restriction of foreign investment. Therefore, it is suggested that Indonesia’s government needs to actively engage in FDI to increase the growth of new investments in the primary and secondary sectors of the domestic economy.
{"title":"FOREIGN AND PRIVATE DOMESTIC INVESTMENTS IN INDONESIA: CROWDING-IN OR CROWDING-OUT?","authors":"A. Setiyanto","doi":"10.21098/bemp.v25i4.1674","DOIUrl":"https://doi.org/10.21098/bemp.v25i4.1674","url":null,"abstract":"This study aims to investigate the empirical relationship between Foreign Direct Investment (FDI) to Private Domestic Investment (PDI) in Indonesia by using quarterly data from 1990Q2 to 2020Q2. It tests the crowding-in effect (which suggests complementarity between FDI and PDI) and crowding out effect (which indicates asubstitution effect between FDI and PDI) at the sectoral level. Our results imply the prevalence of the crowding-in effect in the primary and secondary sectors, with the tertiary sector exhibiting a neutral relationship. No rational reason was observed for the restriction of foreign investment. Therefore, it is suggested that Indonesia’s government needs to actively engage in FDI to increase the growth of new investments in the primary and secondary sectors of the domestic economy.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44448464","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 : 2023-01-20DOI: 10.21098/bemp.v25i4.1777
Tey Sheik Kyin, Lee Chin
This study examines multiple transmission mechanisms that propagate and amplify shocks across Asian nations owing to financial turbulence with emphasis on global shock transmission between economies that prioritise ‘trade’ and ‘financial’ connections in four countries: Indonesia, Korea, Malaysia, and the Philippines. Based on the logit estimation outcomes, a higher degree of trade openness amplifies the implications of shocks on the economy. Relevant implications are drawn for optimal regional monitoring and the coordination of integration as the economic fundamentals associated with the currency crises complements the first-generation models of speculative attacks.
{"title":"CURRENCY CRISES AND CONTAGION CHANNELS IN ASIAN ECONOMIES","authors":"Tey Sheik Kyin, Lee Chin","doi":"10.21098/bemp.v25i4.1777","DOIUrl":"https://doi.org/10.21098/bemp.v25i4.1777","url":null,"abstract":"This study examines multiple transmission mechanisms that propagate and amplify shocks across Asian nations owing to financial turbulence with emphasis on global shock transmission between economies that prioritise ‘trade’ and ‘financial’ connections in four countries: Indonesia, Korea, Malaysia, and the Philippines. Based on the logit estimation outcomes, a higher degree of trade openness amplifies the implications of shocks on the economy. Relevant implications are drawn for optimal regional monitoring and the coordination of integration as the economic fundamentals associated with the currency crises complements the first-generation models of speculative attacks.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42500890","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 : 2023-01-20DOI: 10.21098/bemp.v25i4.2417
I. Gunadi, Aryo Sasongko, Dian Fitriarni Sari
We study repo haircut determinants and develop the haircut calculation model. Collateral securities are government and corporate fixed-incomes, and we examine the determinants in Indonesia, Malaysia, Thailand, and Hong Kong. Implementing the Generalized AutoRegressive-Conditional Heteroskedasticity (GARCH) process, we find that the changes in long-memory returns, liquidities, and currency influence haircuts. Then, we introduce the haircut model using the historical and parametric Value-at-Risk (VaR), burdening the borrower as much as the α-percentile collateral loss. When borrowers default, lenders get the collaterals and haircuts to compensate for the collateral-price change.
{"title":"ANALYZING COLLATERAL REPO HAIRCUTS IN ASIAN COUNTRIES","authors":"I. Gunadi, Aryo Sasongko, Dian Fitriarni Sari","doi":"10.21098/bemp.v25i4.2417","DOIUrl":"https://doi.org/10.21098/bemp.v25i4.2417","url":null,"abstract":"We study repo haircut determinants and develop the haircut calculation model. Collateral securities are government and corporate fixed-incomes, and we examine the determinants in Indonesia, Malaysia, Thailand, and Hong Kong. Implementing the Generalized AutoRegressive-Conditional Heteroskedasticity (GARCH) process, we find that the changes in long-memory returns, liquidities, and currency influence haircuts. Then, we introduce the haircut model using the historical and parametric Value-at-Risk (VaR), burdening the borrower as much as the α-percentile collateral loss. When borrowers default, lenders get the collaterals and haircuts to compensate for the collateral-price change.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67827096","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 : 2023-01-20DOI: 10.21098/bemp.v25i4.1729
Adi Lesmana
The phenomenon of Corporate Tax Rate (CTR) reduction to attract Foreign Direct Investment (FDI) has been an interesting subject given the lack of consensus from empirical studies. This study aims to provide empirical evidence on the relationship between CTR and FDI, and examine factors that influence FDI inflows. Using data for 28 Asian countries from 1999 to 2014, we find that CTR has a significant negative effect on FDI inflows. FDI inflows increase by 4.38% due to a 1% CTR reduction. We also find that other economic factors, such as economic openness, market size, and exchange rates play an important role in attracting FDI inflows.
{"title":"THE EFFECT OF CORPORATE TAX POLICY ON FOREIGN DIRECT INVESTMENT: EMPIRICAL EVIDENCE FROM ASIAN COUNTRIES","authors":"Adi Lesmana","doi":"10.21098/bemp.v25i4.1729","DOIUrl":"https://doi.org/10.21098/bemp.v25i4.1729","url":null,"abstract":"The phenomenon of Corporate Tax Rate (CTR) reduction to attract Foreign Direct Investment (FDI) has been an interesting subject given the lack of consensus from empirical studies. This study aims to provide empirical evidence on the relationship between CTR and FDI, and examine factors that influence FDI inflows. Using data for 28 Asian countries from 1999 to 2014, we find that CTR has a significant negative effect on FDI inflows. FDI inflows increase by 4.38% due to a 1% CTR reduction. We also find that other economic factors, such as economic openness, market size, and exchange rates play an important role in attracting FDI inflows.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42803507","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 : 2023-01-20DOI: 10.21098/bemp.v25i4.1758
Meinisa Fadillah Rahmi, N. Nasrudin
This study analyzes the effect of the COVID-19 pandemic on the risks of gold, stocks, and the US dollar investments as well as risk comparison among those instruments. An EGARCH model is used to accommodate the asymmetric effect on the risks. To examine the pandemic effect, we use a dummy variable of before and during the pandemic and stringency index which reflects government seriousness about COVID-19 prevention. The results show that risks are higher during the pandemic while government actions reduce risks. Stocks are riskiest instrument and suitable for risk seekers. Gold is least risky and suitable for risk averters.
{"title":"THE EFFECT OF COVID-19 PANDEMIC ON THE RISKS OF INVESTMENTS IN INDONESIA: EVIDENCE FROM THE EGARCH MODEL","authors":"Meinisa Fadillah Rahmi, N. Nasrudin","doi":"10.21098/bemp.v25i4.1758","DOIUrl":"https://doi.org/10.21098/bemp.v25i4.1758","url":null,"abstract":"This study analyzes the effect of the COVID-19 pandemic on the risks of gold, stocks, and the US dollar investments as well as risk comparison among those instruments. An EGARCH model is used to accommodate the asymmetric effect on the risks. To examine the pandemic effect, we use a dummy variable of before and during the pandemic and stringency index which reflects government seriousness about COVID-19 prevention. The results show that risks are higher during the pandemic while government actions reduce risks. Stocks are riskiest instrument and suitable for risk seekers. Gold is least risky and suitable for risk averters.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49569864","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 : 2023-01-20DOI: 10.21098/bemp.v25i4.1444
Eric Alexander Sugandi
We examine the feasibility of international monetary policy coordination among the ASEAN-5 + 3 countries using the two-production-factor Dynamic Stochastic General Equilibrium (DGSE) models. It explores three types of interaction regimes among these countries: (1) No Coordination; (2) Bilateral Coordination; and (3)Multilateral Coordination. We find 18 feasible Bilateral Coordination schemes and four feasible Multilateral Coordination schemes for the ASEAN-5 + 3 countries. The best among these schemes is the Multilateral Coordination scheme that involves all the ASEAN-5 + 3 countries. Therefore, we suggest that the ASEAN-5 + 3 countries should adopt this scheme if coordinating monetary policies.
{"title":"IS INTERNATIONAL MONETARY POLICY COORDINATION FEASIBLE FOR THE ASEAN-5 + 3 COUNTRIES?","authors":"Eric Alexander Sugandi","doi":"10.21098/bemp.v25i4.1444","DOIUrl":"https://doi.org/10.21098/bemp.v25i4.1444","url":null,"abstract":"We examine the feasibility of international monetary policy coordination among the ASEAN-5 + 3 countries using the two-production-factor Dynamic Stochastic General Equilibrium (DGSE) models. It explores three types of interaction regimes among these countries: (1) No Coordination; (2) Bilateral Coordination; and (3)Multilateral Coordination. We find 18 feasible Bilateral Coordination schemes and four feasible Multilateral Coordination schemes for the ASEAN-5 + 3 countries. The best among these schemes is the Multilateral Coordination scheme that involves all the ASEAN-5 + 3 countries. Therefore, we suggest that the ASEAN-5 + 3 countries should adopt this scheme if coordinating monetary policies.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135201314","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 : 2023-01-20DOI: 10.21098/bemp.v25i4.1748
Maulana Harris Muhajir, Pierre Six, Jung-Hyun Ahn
We investigate the default probability of Indonesian banks using the copula approach and analyze the macro-financial factors that drive them. We use quarterly data comprised of 80 banks from 2005 to 2019. We find empirical evidence that Common Equity Tier 1 (CET 1) ratio, inefficiency ratio, and deposit ratio have negativelyimpacted the bank’s default probability. We also find that macroeconomic variables such as policy rate, real exchange, economic growth, and unemployment reduce the default probability. Our study suggests that regulators should focus on capital and deposit management policies to reduce bank risk-taking behaviour. Additionally, the policy rate effectively anticipated the banks’ default risk.
{"title":"MACRO-FINANCIAL DETERMINANTS OF DEFAULT PROBABILITY USING COPULA: A CASE STUDY OF INDONESIAN BANKS","authors":"Maulana Harris Muhajir, Pierre Six, Jung-Hyun Ahn","doi":"10.21098/bemp.v25i4.1748","DOIUrl":"https://doi.org/10.21098/bemp.v25i4.1748","url":null,"abstract":"We investigate the default probability of Indonesian banks using the copula approach and analyze the macro-financial factors that drive them. We use quarterly data comprised of 80 banks from 2005 to 2019. We find empirical evidence that Common Equity Tier 1 (CET 1) ratio, inefficiency ratio, and deposit ratio have negativelyimpacted the bank’s default probability. We also find that macroeconomic variables such as policy rate, real exchange, economic growth, and unemployment reduce the default probability. Our study suggests that regulators should focus on capital and deposit management policies to reduce bank risk-taking behaviour. Additionally, the policy rate effectively anticipated the banks’ default risk.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46675247","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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