Pub Date : 2019-12-31DOI: 10.21098/bemp.v22i4.1235
Solikin M. Juhro, B. N. Iyke
We examine the usefulness of large-scale inflation forecasting models in Indonesiawithin an inflation-targeting framework. Using a dynamic model averaging approachto address three issues the policymaker faces when forecasting inflation, namely,parameter, predictor, and model uncertainties, we show that large-scale modelshave significant payoffs. Our in-sample forecasts suggest that 60% of 15 exogenouspredictors significantly forecast inflation, given a posterior inclusion probability cut-offof approximately 50%. We show that nearly 87% of the predictors can forecast inflationif we lower the cut-off to approximately 40%. Our out-of-sample forecasts suggest thatlarge-scale inflation forecasting models have substantial forecasting power relative tosimple models of inflation persistence at longer horizons.
{"title":"FORECASTING INDONESIAN INFLATION WITHIN AN INFLATION-TARGETING FRAMEWORK: DO LARGE-SCALE MODELS PAY OFF?","authors":"Solikin M. Juhro, B. N. Iyke","doi":"10.21098/bemp.v22i4.1235","DOIUrl":"https://doi.org/10.21098/bemp.v22i4.1235","url":null,"abstract":"We examine the usefulness of large-scale inflation forecasting models in Indonesiawithin an inflation-targeting framework. Using a dynamic model averaging approachto address three issues the policymaker faces when forecasting inflation, namely,parameter, predictor, and model uncertainties, we show that large-scale modelshave significant payoffs. Our in-sample forecasts suggest that 60% of 15 exogenouspredictors significantly forecast inflation, given a posterior inclusion probability cut-offof approximately 50%. We show that nearly 87% of the predictors can forecast inflationif we lower the cut-off to approximately 40%. Our out-of-sample forecasts suggest thatlarge-scale inflation forecasting models have substantial forecasting power relative tosimple models of inflation persistence at longer horizons.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42392091","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 : 2019-11-13DOI: 10.21098/BEMP.V22I3.1195
Solikin M. Juhro, A. Aulia
This paper’s main thesis is that frugal innovation and transformational leadership offeradditional sources of growth. Our main contribution is the proposal of what we referto as the breakthrough possibility frontier (BPF) model, which integrates two aspectsof leadership: innovation quality (frugal innovation) and leadership competency(transformational leadership). We test the BPF model on two groups of respondents,one group consisting of university students who had never been formal leadersand the other formal leaders who had office experience. The BPF analysis suggeststhat transformational leadership is a game changer, required for breakthroughs.Transformational leadership is key to encouraging innovation quality and leadershipcompetency and, we argue, to facilitating new sources of growth. Our results implythe development of an integrated institutional framework for innovation. We believethat innovative leadership development programs that can be easily implementedand replicated in other regions are needed to develop transformational leadershipcompetencies.
{"title":"NEW SOURCES OF GROWTH: THE ROLE OF FRUGAL INNOVATION AND TRANSFORMATIONAL LEADERSHIP","authors":"Solikin M. Juhro, A. Aulia","doi":"10.21098/BEMP.V22I3.1195","DOIUrl":"https://doi.org/10.21098/BEMP.V22I3.1195","url":null,"abstract":"This paper’s main thesis is that frugal innovation and transformational leadership offeradditional sources of growth. Our main contribution is the proposal of what we referto as the breakthrough possibility frontier (BPF) model, which integrates two aspectsof leadership: innovation quality (frugal innovation) and leadership competency(transformational leadership). We test the BPF model on two groups of respondents,one group consisting of university students who had never been formal leadersand the other formal leaders who had office experience. The BPF analysis suggeststhat transformational leadership is a game changer, required for breakthroughs.Transformational leadership is key to encouraging innovation quality and leadershipcompetency and, we argue, to facilitating new sources of growth. Our results implythe development of an integrated institutional framework for innovation. We believethat innovative leadership development programs that can be easily implementedand replicated in other regions are needed to develop transformational leadershipcompetencies.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44247767","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 : 2019-10-31DOI: 10.21098/bemp.v22i3.1111
C. Nwosu, Afees A. Salisu, Margaret J. Hilili, I. I. Okafor, Izuchukwu Oji-Okoro, I. Adediran
This paper evaluates monetary policy transmission in both tranquil and turbulentperiods for Mexico, Indonesia, Nigeria, and Turkey. Using a structural vectorautoregressive model, we find that the effect of structural shocks from supply, demand,and financial sources tend to fizzle out faster for Nigeria and Mexico compared toIndonesia and Turkey. Another important finding is that while monetary authoritiesin Indonesia and Turkey are more responsive to inflation those in Mexico and Nigeriaare more influenced by the exchange rate. We also observe differences in the conductof monetary policy between the tranquil and turbulent periods.
{"title":"EVIDENCE ON MONETARY POLICY TRANSMISSION DURING TRANQUIL AND TURBULENT PERIODS","authors":"C. Nwosu, Afees A. Salisu, Margaret J. Hilili, I. I. Okafor, Izuchukwu Oji-Okoro, I. Adediran","doi":"10.21098/bemp.v22i3.1111","DOIUrl":"https://doi.org/10.21098/bemp.v22i3.1111","url":null,"abstract":"This paper evaluates monetary policy transmission in both tranquil and turbulentperiods for Mexico, Indonesia, Nigeria, and Turkey. Using a structural vectorautoregressive model, we find that the effect of structural shocks from supply, demand,and financial sources tend to fizzle out faster for Nigeria and Mexico compared toIndonesia and Turkey. Another important finding is that while monetary authoritiesin Indonesia and Turkey are more responsive to inflation those in Mexico and Nigeriaare more influenced by the exchange rate. We also observe differences in the conductof monetary policy between the tranquil and turbulent periods.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43009035","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 : 2019-10-31DOI: 10.21098/bemp.v22i3.1094
Yuan Yang, Yinan Pan, Biwen Yang, Wenli Huang
Using the difference-in-differences (DID) model and taking the sample of companies listed from 2009 to 2014 on the Growth Enterprises Market (GEM) of the Shenzhen Stock Exchange in China, this paper studies the impact of Venture Capital (VC) participation on board characteristics, which is measured by the chief executive officer (CEO) duality, the scale of the board of directors and the proportion of independent directors, and it also studies how the board characteristics influence the company performance. The findings are as follows: VC-backed GEM listed companies are more inclined to choose the mode of CEO duality and to have a larger board of directors and a higher proportion of independent directors, all of which are conducive to improving company performance.
{"title":"CHARACTERISTICS OF BOARD OF DIRECTORS AND PERFORMANCE OF GEM LISTED COMPANIES FROM THE PERSPECTIVE OF VENTURE CAPITAL PARTICIPATION","authors":"Yuan Yang, Yinan Pan, Biwen Yang, Wenli Huang","doi":"10.21098/bemp.v22i3.1094","DOIUrl":"https://doi.org/10.21098/bemp.v22i3.1094","url":null,"abstract":"Using the difference-in-differences (DID) model and taking the sample of companies listed from 2009 to 2014 on the Growth Enterprises Market (GEM) of the Shenzhen Stock Exchange in China, this paper studies the impact of Venture Capital (VC) participation on board characteristics, which is measured by the chief executive officer (CEO) duality, the scale of the board of directors and the proportion of independent directors, and it also studies how the board characteristics influence the company performance. The findings are as follows: VC-backed GEM listed companies are more inclined to choose the mode of CEO duality and to have a larger board of directors and a higher proportion of independent directors, all of which are conducive to improving company performance.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44102493","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 : 2019-10-31DOI: 10.21098/bemp.v22i3.1152
B. P. Jangam, Vaseem Akram
We investigate consumer price convergence for 82 Indonesian cities using monthly data from 2014 to 2019. To do so, we employ recent techniques of club convergence and weak sigma convergence. The results reveal, first, consumer price divergence, implying price rigidities across the cities. Second, we find four clubs, suggesting that Indonesian cities converge along four unique transition paths. Third, we find weak evidence of consumer price convergence, suggesting that prices among Indonesian cities adjust, but not freely. Policy should therefore consider unique convergence paths for each club to promote stronger consumer price convergence.
{"title":"DO PRICES CONVERGE AMONG INDONESIAN CITIES? AN EMPIRICAL ANALYSIS","authors":"B. P. Jangam, Vaseem Akram","doi":"10.21098/bemp.v22i3.1152","DOIUrl":"https://doi.org/10.21098/bemp.v22i3.1152","url":null,"abstract":"We investigate consumer price convergence for 82 Indonesian cities using monthly data from 2014 to 2019. To do so, we employ recent techniques of club convergence and weak sigma convergence. The results reveal, first, consumer price divergence, implying price rigidities across the cities. Second, we find four clubs, suggesting that Indonesian cities converge along four unique transition paths. Third, we find weak evidence of consumer price convergence, suggesting that prices among Indonesian cities adjust, but not freely. Policy should therefore consider unique convergence paths for each club to promote stronger consumer price convergence.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46650854","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 is about the cost and profit efficiency of Indonesia’s life insurance industry. Using data from 2010–2014, we compare cost and profit efficiency among local and joint venture insurers. Our empirical analysis, based on a time-invariant translog cost model, reveals mean cost allocation and profit efficiency scores of 0.36 and 0.52, respectively. Interestingly, we find that domestic insurers are more cost efficient compared to joint venture insurers; however, joint venture insurers maximize profit more.
{"title":"DOES OWNERSHIP STRUCTURE MATTER? A COST EFFICIENCY STUDY OF LIFE INSURANCE FIRMS IN INDONESIA","authors":"R. Wicaksono, T. Mulyaningsih","doi":"10.21098/bemp.v22i3.957","DOIUrl":"https://doi.org/10.21098/bemp.v22i3.957","url":null,"abstract":"This paper is about the cost and profit efficiency of Indonesia’s life insurance industry. Using data from 2010–2014, we compare cost and profit efficiency among local and joint venture insurers. Our empirical analysis, based on a time-invariant translog cost model, reveals mean cost allocation and profit efficiency scores of 0.36 and 0.52, respectively. Interestingly, we find that domestic insurers are more cost efficient compared to joint venture insurers; however, joint venture insurers maximize profit more.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41292444","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 : 2019-10-01DOI: 10.21098/bemp.v22i3.1147
P. Golit, Afees A. Salisu, Akinwunmi Akintola, Faustina Nsonwu, Itoro Umoren
We offer new insights on the dynamics of the exchange rate–interest rate differentialfor the case of G7 economies. We show that the nexus is better considered using anasymmetric model, as suggested by a host of previous studies. In addition, we find therole of accounting for structural breaks to be prominent. We also show differences in thenexus between euro and non-euro G7 countries, suggesting heterogeneous monetarypolicies. Thus, we document the strongest evidence for the sticky price hypothesis inJapan and lesser evidence in the euro countries and the United Kingdom, with Canadaconsistently revealing evidence for the flexible price hypothesis.
{"title":"EXCHANGE RATE AND INTEREST RATE DIFFERENTIAL IN G7 ECONOMIES","authors":"P. Golit, Afees A. Salisu, Akinwunmi Akintola, Faustina Nsonwu, Itoro Umoren","doi":"10.21098/bemp.v22i3.1147","DOIUrl":"https://doi.org/10.21098/bemp.v22i3.1147","url":null,"abstract":"We offer new insights on the dynamics of the exchange rate–interest rate differentialfor the case of G7 economies. We show that the nexus is better considered using anasymmetric model, as suggested by a host of previous studies. In addition, we find therole of accounting for structural breaks to be prominent. We also show differences in thenexus between euro and non-euro G7 countries, suggesting heterogeneous monetarypolicies. Thus, we document the strongest evidence for the sticky price hypothesis inJapan and lesser evidence in the euro countries and the United Kingdom, with Canadaconsistently revealing evidence for the flexible price hypothesis.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41505819","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 : 2019-10-01DOI: 10.21098/bemp.v22i3.1056
Hilman Hanivan, N. Nasrudin
Numerous studies have constructed financial inclusion indexes for Indonesia, using amultidimensional approach. However, there is a problem with the methodology, whichassumes that all the dimensions play the same role in defining financial inclusion,since they are based on equal weighting criteria. This paper aims to obviate concernswith the methodology by developing a more empirically based index, namely, aweighted multidimensional index of financial inclusion based on two-stage principalcomponent analysis. In other words, we endogenize the weights. We find that usage isthe most important dimension in defining financial inclusion in Indonesia, followedby availability and access.
{"title":"A FINANCIAL INCLUSION INDEX FOR INDONESIA","authors":"Hilman Hanivan, N. Nasrudin","doi":"10.21098/bemp.v22i3.1056","DOIUrl":"https://doi.org/10.21098/bemp.v22i3.1056","url":null,"abstract":"Numerous studies have constructed financial inclusion indexes for Indonesia, using amultidimensional approach. However, there is a problem with the methodology, whichassumes that all the dimensions play the same role in defining financial inclusion,since they are based on equal weighting criteria. This paper aims to obviate concernswith the methodology by developing a more empirically based index, namely, aweighted multidimensional index of financial inclusion based on two-stage principalcomponent analysis. In other words, we endogenize the weights. We find that usage isthe most important dimension in defining financial inclusion in Indonesia, followedby availability and access.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44580599","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 : 2019-08-05DOI: 10.21098/bemp.v22i2.1095
B. N. Iyke
Sudden changes in oil prices have been a major concern for countries – oil producing and non-oil producing countries alike. Due to this, we assessed the effects of such an uncertainty on the real output of Nigeria, an oil producing country, during the period 1980:1 to 2014:4. We achieved this objective by using a vector autoregressive model that permits us to decompose oil price uncertainty into positive and negative uncertainties. We then quantified the responses of real output to these uncertainties. Using the conditional variance of the returns in the composite refiners’ acquisition cost of crude oil deflated by US GDP deflator as our measure of oil price uncertainty, we found that a positive uncertainty leads to a decline in real output, while a negative uncertainty leads to a rise in real output. The response of real output to these uncertainties is asymmetric.
{"title":"REAL OUTPUT AND OIL PRICE UNCERTAINTY IN AN OIL PRODUCING COUNTRY","authors":"B. N. Iyke","doi":"10.21098/bemp.v22i2.1095","DOIUrl":"https://doi.org/10.21098/bemp.v22i2.1095","url":null,"abstract":"Sudden changes in oil prices have been a major concern for countries – oil producing and non-oil producing countries alike. Due to this, we assessed the effects of such an uncertainty on the real output of Nigeria, an oil producing country, during the period 1980:1 to 2014:4. We achieved this objective by using a vector autoregressive model that permits us to decompose oil price uncertainty into positive and negative uncertainties. We then quantified the responses of real output to these uncertainties. Using the conditional variance of the returns in the composite refiners’ acquisition cost of crude oil deflated by US GDP deflator as our measure of oil price uncertainty, we found that a positive uncertainty leads to a decline in real output, while a negative uncertainty leads to a rise in real output. The response of real output to these uncertainties is asymmetric.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46267380","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.v22i2.1088
Jie Zhu
The expected equity risk premium is a key input of many asset prcing models in nance. There exist a number of methods to estimate the risk premium. It is alsowell documented that the risk premium is time-varying. This paper briey reviews twodi¤erent approaches. More speci cally, the historical average and relative estimationare taken into closer examination. The rst approach is applied to estimate equity riskpremium for stock markets in Greater China when the stock markets were recoveringfrom the bottom. Then the relative estimation approach is also adopted to empiricaldata to justify the ndings in the rst one, which takes into consideration the lowerrequired rate of return for Chinese investors due to lack of investment opportunities.After making these adjustments, we nd that risk premium in mainland China is close torisk premium for Hong Kong and Taiwan markets. All of those markets have higher riskpremium compared to US market. The risk premium for Shanghai and Shenzhen marketare about 8% and 10% respectively. For Hong Kong and Taiwan these numbers become8% and 9%, where the long-term forward-looking risk premium for US market is about4%.
{"title":"ESTIMATING EQUITY RISK PREMIUM: THE CASE OF GREATER CHINA","authors":"Jie Zhu","doi":"10.21098/bemp.v22i2.1088","DOIUrl":"https://doi.org/10.21098/bemp.v22i2.1088","url":null,"abstract":"The expected equity risk premium is a key input of many asset prcing models in\u0085nance. There exist a number of methods to estimate the risk premium. It is alsowell documented that the risk premium is time-varying. This paper briey reviews twodi¤erent approaches. More speci\u0085cally, the historical average and relative estimationare taken into closer examination. The \u0085rst approach is applied to estimate equity riskpremium for stock markets in Greater China when the stock markets were recoveringfrom the bottom. Then the relative estimation approach is also adopted to empiricaldata to justify the \u0085ndings in the \u0085rst one, which takes into consideration the lowerrequired rate of return for Chinese investors due to lack of investment opportunities.After making these adjustments, we \u0085nd that risk premium in mainland China is close torisk premium for Hong Kong and Taiwan markets. All of those markets have higher riskpremium compared to US market. The risk premium for Shanghai and Shenzhen marketare about 8% and 10% respectively. For Hong Kong and Taiwan these numbers become8% and 9%, where the long-term forward-looking risk premium for US market is about4%.","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":"44299741","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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