Indonesia’s financial stress events and macroeconomic dynamics

Safuan, Sugiharso, Sugandi, Eric Alexander, Aziz, Okta Qomaruddin and Triandhari, Risna (2022) Indonesia’s financial stress events and macroeconomic dynamics. Buletin Ekonomi Moneter dan Perbankan, 25 (3). pp. 323-370. ISSN p-ISSN: 1410 8046, e-ISSN: 2460 9196

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Abstract

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.

Item Type:	Journal Article
Keywords:	financial stress index; Markov-switching Bayesian vector autoregression; Indonesia’s financial markets
Subjects:	08 INFORMATION AND COMPUTING SCIENCES > 0802 Computation Theory and Mathematics > 080205 Numerical Computation 14 ECONOMICS > 1402 Applied Economics > 140212 Macroeconomics (incl. Monetary and Fiscal Theory) 08 INFORMATION AND COMPUTING SCIENCES > 0802 Computation Theory and Mathematics
Divisions:	Faculty of Technology > Department of Informatics Engineering
Depositing User:	Okta Qomaruddin Aziz
Date Deposited:	30 May 2023 15:39

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