印尼的金融压力事件与宏观经济动态

Q2 Economics, Econometrics and Finance

Buletin Ekonomi Moneter dan Perbankan Pub Date : 2022-11-30 DOI:10.21098/bmeb.v25i3.1743

Sugiharso Safuan, E. Sugandi, Okta Qomaruddin Azis, Risna Triandhari

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引用次数: 1

摘要

在本研究中，我们使用马尔可夫切换贝叶斯向量自回归模型来研究印尼金融压力与关键宏观经济变量之间的情景关系。我们发现印度尼西亚的实际部门变量(家庭消费支出和消费者价格指数)，金融部门变量(银行间货币市场利率)和政策变量(在高和低金融压力时期的广义货币供应量)之间的关系具有不同的性质。政权更迭发生过几次，包括在2008年全球金融危机期间和COVID-19大流行开始时。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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INDONESIA’S FINANCIAL STRESS EVENTS AND MACROECONOMIC DYNAMICS

In this study, we use a Markov-Switching Bayesian Vector AutoRegression model to investigate the episodic relationship between financial stress and the key macroeconomic variables in the case of Indonesia. We find different nature of relationships among Indonesia’s real sector variables (household consumption expenditure and consumer price index), financial sector variables (interbank money market rate) and the policy variable (broad money supply during the times of high and low financial stress). Regime changes occurred on several occasions, including during the 2008 global financial crisis period and at the beginning of the COVID-19 pandemic.

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来源期刊

Buletin Ekonomi Moneter dan Perbankan Economics, Econometrics and Finance-Finance

CiteScore

2.20

自引率

0.00%

发文量

审稿时长

5 weeks