Bulletin of Monetary Economics and Banking (BMEB) / Buletin Ekonomi Moneter dan Perbankan
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BONDS AND SUKUK MARKETS UNDER COVID 19: AN EMPIRICAL STUDY OF EMERGING MARKETS
No full textThe influence of the COVID-19 pandemic on the bonds and sukuk market index is investigated to determine the dynamic behavior of fixed-income return volatility. Our results suggest that COVID-19 does not influence bond and sukuk market volatility in most of our samples. Furthermore, market sentiment does not exist in the fixed income market. The dominance of long-term investors in the fixed-income market could be the cause, especially given the minor impact of the pandemic on market volatility. In erms of risk, sukuk is less risky than its counterpart, and no statistical difference is found in risk before and during the COVID-19 pandemic for sukuk and bonds. Finally, sukuk may be considered a safe haven instrument in the financial market coupled with bonds as diversification tools in the investors’ portfolio
WHAT DRIVES INDIA’S FINANCIAL INTEGRATION?
Full text linkWe explore the determinants of Financial Integration (FI) in the Indian context from 1996Q2-2018Q4. Using a newly constructed quarterly financial integration index based on the stock of external assets and liabilities position and a range of econometric methodologies, we find that a structural factor (trade openness) and an institutional factor (institutional quality) drive financial integration in India. Our findings also show the importance of exchange rate volatility, global growth rate, and global interest rate in determining India’s financial integration. These findings have crucial implications in designing the policy framework for achieving higher financial integration in India
GROWTH EFFECTS OF CURRENCY MISALIGNMENT AND CAPITAL FLIGHT IN TURKEY
Full text linkThis study examines the growth effects of real exchange rate (RER) misalignment and capital flight in Turkey during the period 1981-2019. The World Bank’s residual method suggests that capital flight is a widespread problem in Turkey and the Single Equation Approach adopted to delineate the series of RER misalignment identifies that Turkey’s RER is significantly misaligned throughout the sample period. Their growth effects are then examined using the autoregressive distributed lag (ARDL) bounds approach and we document that RER misalignment degrades per capita output growth while growth faltering capital flight is evident in the presence of policy variables along with currency misalignment
From School To Work: Does Vocational Education Improve Labour Market Outcomes? An Empirical Analysis Of Indonesia
No full textThe Indonesian government has been introducing revitalisation programmes for vocational schools, particularly during the period 2007 and 2011. It has targeted 7 out of 10 senior-secondary schools to be vocational schools by 2025 through new establishment or conversion of established general schools into vocational schools. To evaluate the government policy on the expansion of vocational education, this paper analyses the effects of enrolment in vocational senior-secondary schools on four labour market outcomes; namely, labour force participation, risk of unemployment, job formality, and income. Using a rich socioeconomic survey from the Indonesian Family Life Survey, we find that public vocational education provides better labour outcomes for females than public general schools. However, no such difference is found for males. Moreover, our results suggest that many vocational schools, especially private ones, performed poorly in terms of their graduate’s job formality and incom
CENTRAL BANK INDEPENDENCE AND PRICE STABILITY UNDER ALTERNATIVE POLITICAL REGIMES: A GLOBAL EVIDENCE
No full textIn this paper, we explore the connection between Central Bank Independence (CBI) and inflation under alternative political regimes. We formulate a predictive model that accommodates CBI in the analysis of inflation and thereafter we regroup the countries based on the choice of political regimes as well as the level of development. We find that CBI has a statistically significant and negative effect on inflation in countries adopting full democratic and partial autocratic regimes; but are statistically insignificant in countries operating full autocratic and partial democratic regimes. The results leading to this conclusion are robust to different levels of development
Nowcasting Regional Economic Growth In Indonesia
No full textThis study aims to nowcast gross regional domestic product at the provincial level for Indonesia. The dynamic factor model and mixed data sampling were applied to three sets of variables; namely, macroeconomic, financial, and Google Trends. We find that both methods captured several economic expansions and contractions, including the recent downturn during the COVID-19 pandemic. By including the pandemic period, accuracy across the same set of variables and provinces was slightly reduce
Indonesia’s Financial Stress Events And Macroeconomic Dynamics
No full textIn 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
THE ASYMMETRIC EFFECTS OF EXCHANGE RATE VOLATILITY ON INTERNATIONAL TRADE IN A TRANSITION ECONOMY: THE CASE OF VIETNAM
No full textThis study examines the asymmetric effects of Exchange Rate Volatility (ERV) on Vietnam’s international trade. Using time-series data fitted to the Nonlinear Autoregressive Distributed Lag (NARDL) model, we find that positive changes in ERV have a negative impact on the trade balance in the short-run. On the other hand, increases in ERV have a positive impact on the trade balance in the long-run. We also find that negative changes in ERV do not have any significant effect on the trade balance
Analyzing Collateral Repo Haircuts In Asian Countries
No full textWe 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, liquidity, 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 chang
Is International Monetary Policy Coordination Feasible For The Asean-5 + 3 Countries?
No full textWe 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