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STRUCTURAL BREAKS DAN KETIDAKSTABILAN PERMINTAAN UANG DI INDONESIA Deviyantini, Deviyantini; Sugema, Iman; Irawan, Tony
JURNAL EKONOMI DAN KEBIJAKAN PEMBANGUNAN Vol. 6 No. 2 (2017): Jurnal Ekonomi dan Kebijakan Pembangunan
Publisher : IPB University

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (1122.59 KB) | DOI: 10.29244/jekp.6.2.47-60

Abstract

This research aims to identify the sources of instability of the money demand function (M1 and M2) due to structural changes that occur as a result of economic shocks. These shocks are technically shown by the presence of structural breaks in the data and can lead the parameters non-constancy. The instability of the money demand function was analyzed using the Gregory and Hansen test. The source of instability of the money demand was identified using time varying parameter model. This research used quarterly time series data from 1993Q1 to 2013Q4. The results show that the money demand function (M1 dan M2) is not cointegrated (unstable) and the source of the instability is exchange rate variable. Keywords: Stability money demand, Structural breaks, Time varying parameter model
ANALISIS FRONTIER EFFICIENCY INDUSTRI PERBANKAN INDONESIA DENGAN MENGGUNAKAN METODE DISTRIBUTION FREE APPROACH Sumarto, Agus Herta; Sugema, Iman
JURNAL EKONOMI DAN KEBIJAKAN PEMBANGUNAN Vol. 2 No. 2 (2013): Jurnal Ekonomi dan Kebijakan Pembangunan
Publisher : IPB University

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (1387.4 KB) | DOI: 10.29244/jekp.2.2.176-195

Abstract

As an intermediary institution, bank has a very vital role in the economic development of a country so bank has to operate efficiently. The efficiency analysis can be conducted with the three approaches, namely cost efficiency, profit efficiency, and alternative profit efficiency. The three approaches can measured with two methode, parametric and non parametric. By using parametric methode (Distribution Free Approach), cost efficiency of 107 commercial banks operating for 10 years (2002- 2011), the average cost efficiency of banks in Indonesia is 0.6729. While the average value of the profit efficiency in Indonesian banks is 0.96363 or more efficient than cost efficiency. The score of alternative profit efficiency Indonesian banks is 0.965957. The cost efficiency of commercial banks on average have no strong correlation with all financial ratios of banks. The profit efficiency have a strong relationship with financial ratios ROA and BOPO. Financial performance of the bank's ROE ratio has a moderate correlation with the level of profit efficiency. While the level of alternative profit efficiency have a strong relationship with financial performance ratios ROE, ROA, and ROA. NIM ratio has a low relationship with alternative profit efficiency. Keyword: Distributin Free Approach, Cost Efficiency, Profit Efficiency, and Alternative Profit Efficiency.
FLEKSIBILITAS NILAI TUKAR DAN PENYESUAIAN TRANSAKSI BERJALAN DI INDONESIA: ANALISIS THRESHOLD VAR Zahrotunnisa, Farhana; Sugema, Iman; Bakhtiar, Toni
JURNAL EKONOMI DAN KEBIJAKAN PEMBANGUNAN Vol. 4 No. 2 (2015): Jurnal Ekonomi dan Kebijakan Pembangunan
Publisher : IPB University

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (1295.625 KB) | DOI: 10.29244/jekp.4.2.112-139

Abstract

Estimation study about the relationship between exchange rate flexibility and current account adjustment has been through three stages, the first stage was analysis of correlation among exchange rates variability (proxied by REER and NEER) and exchange rate regimes classification. The second step was estimating the relationship that the former was mentioned with VAR as benchmark model. The third step was applying the nonlinear estimation with Threshold VAR. The results of analysis showed that exchange rate regime classification may not capture actual exchange rate variability and flexibility exchange rate can accelerate current account adjustment in Indonesia if the changes of Indonesia exchange rate less than 27.7059 (low regime) whereas in high regime exchange rate is persistent increasing so that the system between exchange rate and current account become unstable. Bank Indonesia as monetary authorities must keep the changes of exchange rate less than 27.7059, due to exchange rate can affect current account adjustment, so can anticipate if there is current account deficit in Indonesia economy.  Keywords : Exchange Rate Flexibility, Current Account Adjustment, Exchange Rate Regime, Classification, Threshold VAR
PERSISTENSI PENGANGGURAN DI INDONESIA DAN UPAYA PENANGGULANGANNYA BERDASARKAN ANALISIS DATA MIKRO Soekarni, Mulyana; Sugema, Iman; Widodo, Priyo R.
Buletin Ekonomi Moneter dan Perbankan Vol 12 No 2 (2009): OCTOBER 2009
Publisher : Bank Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21098/bemp.v12i2.354

Abstract

This study has three main objectives namely: (1) examine the existence of the persistence of unemployment in Indonesia; (2) examine the factors that cause the persistence of unemployment in Indonesia and in some sample areas, and (3) formulate strategies and policy measures needed to reduce the level of unemployment.To achieve these objectives the activities we do is an empirical analysis through the modeling of Econometrics, unemployment accounting, and descriptive statistics. Meanwhile, the data used are secondary data and regional macroeconomic and primary data collected through interviews with workers, the unemployed, firms, bureaucrats, and unions.The study concludes that the persistence of unemployment in Indonesia is disequilibrium persistent unemployment without self correcting mechanism, which means that the persistence occurred outside the labor market equilibrium and has no automatic mechanism to get to the point of equilibrium. In addition, persistence is the result of the slow process of capital accumulation, wage rigidity, the length of job search, and the inertia caused by institutional factors of labor market.The main implication of this study are: (1) the need to improve the quality of growth through hands-on strategy; (2) banking policy and capital markets can lead to acceleration of capital accumulation; (3) monetary policy is more focused on inflation targeting, (4) increased total factor productivity; (5) special incentives for labor-intensive sectors; (6) strengthening vocational education, and (7) antiunemployment programs that are regionally specific.Keywords: Persistent unemployment, Disequilibrium, Wage rigidity, Job search, Indonesia.JEL Classification: J23, J31.
Structural Breaks dan Ketidakstabilan Permintaan Uang di Indonesia Deviyantini, Deviyantini; Sugema, Iman; Irawan, Tony
Jurnal Ekonomi dan Pembangunan Indonesia Vol 17 No 2 (2017): Januari 2017
Publisher : Department of Economics-FEB UI

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (303.746 KB) | DOI: 10.21002/jepi.v17i2.715

Abstract

Structural Breaks and Instability of Money Demand in IndonesiaThis research aims to identify the sources of instability of the money demand function (M1 and M2) due to structural changes that occur as a result of economic shocks. These shocks, are technically shown by the presence of structural breaks in the data and can lead the parameters non-constancy. The instability of the money demand function was analyzed using the Gregory and Hansen test. The source of instability of the money demand was identified using time varying parameter model. This research used quarterly time series data from 1993Q1 to 2013Q4. The result of Gregory and Hansen test indicates there is no long term equilibrium between variables (money demand, income, domestic interest rate, foreign interest rate, exchange rate, and inflation) in the model, neither M1 nor M2 model. On the other word, money demand function is unstable. The source of the instability is exchange rate variable.Keywords: Stability Money Demand; Structural Breaks; Time Varying Parameter ModelAbstrakPenelitian ini bertujuan untuk mengidentifikasi sumber-sumber ketidakstabilan fungsi permintaan uang (M1 dan M2) akibat dari perubahan struktural yang terjadi karena adanya guncangan ekonomi. Guncangan tersebut, yang secara teknis ditunjukkan oleh keberadaan structural breaks di dalam data, dapat menyebabkan parameter menjadi tidak konstan. Ketidakstabilan fungsi permintaan uang dianalisis dengan menggunakan Gregory and Hansen test. Sumber ketidakstabilan dari permintaan uang diidentifikasi dengan menggunakan time varying parameter model. Penelitian ini menggunakan data time series dalam bentuk kuartalan dari 1993Q1 sampai 2013Q4. Hasil Gregory and Hansen test menunjukkan bahwa tidak ada keseimbangan jangka panjang di antara variabel-variabel (permintaan uang, pendapatan, suku bunga domestik, suku bunga luar negeri, nilai tukar, dan inflasi) di dalam model, baik pada model M1 maupun M2. Dengan kata lain, fungsi permintaan uang tidak stabil. Sumber ketidakstabilan tersebut berasal dari variabel nilai tukar.
RIGIDITAS HARGA–UPAH DAN IMPLIKASINYA PADA KEBIJAKAN MONETER DI INDONESIA Solikin, .; Sugema, Iman
Buletin Ekonomi Moneter dan Perbankan Vol 7 No 2 (2004): SEPTEMBER 2004
Publisher : Bank Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21098/bemp.v7i2.106

Abstract

This research is using survey method with focusing on the issue of how and what the determinants of price and wage rigidity, including uncertainty.In the case of price rigidity, we find that firm-cost related factors or supply side plays greater role than demand side of the market. This rule applies on middle up scale firm, firm with differentiated products and firm with large market coverage. The opposite will occur on small, homogenous product and small market coverage firm. We also confirm the downward rigidity phenomenon as price is ease to increase than decrease.Our findings imply several important impact on monetary policy effectiveness, monetary policy asymmetry, inflation-targeting and minimum wage determination. Keywords: Price rigidity, wage rigidityJEL: E31, E52, J31
PERANAN THE LENDER OF LAST RESORT (LOLR) TERHADAP PEREKONOMIAN: Suatu Kajian Empiris Terhadap Bantuan Likuiditas Bank Indonesia (BLBI) Sugema, Iman; Simorangkir, Iskandar
Buletin Ekonomi Moneter dan Perbankan Vol 7 No 1 (2004): JUNE 2004
Publisher : Bank Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21098/bemp.v7i1.98

Abstract

The role of central bank as the lender of last resort (LOLR) has been well known since 19th century. LOLR is a lending facility to non liquid bank to avoid systemic financial crisis on banking. In Indonesia Central Bank of Indonesia provides this facility, namely Bantuan Likuiditas Bank Indonesia (BLBI). Using macro-econometric model to run two simulations; with and without BLBI, we find that BLBI can avoid national output fall while the existence of BLBI, the cost of liquidity crisis will be less. Our result also shows that BLBI tend to overshoot exchange rate by money printing to support non liquid bank which in turn increase the probability of systemic crisis.
STRATEGY ON REDUCING UNEMPLOYMENT PERSISTENCE: A MICRO ANALYSIS IN INDONESIA Soekarni, Mulyana; Sugema, Iman; Widodo, Priyo R.
Buletin Ekonomi Moneter dan Perbankan Vol 12 No 2 (2009): OCTOBER 2009
Publisher : Bank Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21098/bemp.v12i2.370

Abstract

This study has three main objectives namely: (1) examine the existence of the persistence of unemployment in Indonesia; (2) examine the factors that cause the persistence of unemployment in Indonesia and in some sample areas, and (3) formulate strategies and policy measures needed to reduce the level of unemployment.To achieve these objectives the activities we do is an empirical analysis through the modeling of Econometrics, unemployment accounting, and descriptive statistics. Meanwhile, the data used are secondary data and regional macroeconomic and primary data collected through interviews with workers, the unemployed, firms, bureaucrats, and unions.The study concludes that the persistence of unemployment in Indonesia is disequilibrium persistent unemployment without self correcting mechanism, which means that the persistence occurred outside the labor market equilibrium and has no automatic mechanism to get to the point of equilibrium. In addition, persistence is the result of the slow process of capital accumulation, wage rigidity, the length of job search, and the inertia caused by institutional factors of labor market.The main implication of this study are: (1) the need to improve the quality of growth through hands-on strategy; (2) banking policy and capital markets can lead to acceleration of capital accumulation; (3) monetary policy is more focused on inflation targeting, (4) increased total factor productivity; (5) special incentives for labor-intensive sectors; (6) strengthening vocational education, and (7) antiunemployment programs that are regionally specific.Keywords: Persistent unemployment, Disequilibrium, Wage rigidity, Job search, Indonesia.JEL Classification: J23, J31
Analisis Perbandingan Excess Return Jakarta Islamic Index dan Indeks Harga Saham Gabungan Putry, Galishia; Sugema, Iman; Lubis, Deni
AL-MUZARA'AH Vol 2, No 2 (2014)
Publisher : Faculty of Economics and Management, IPB University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29244/jam.2.2.121-134

Abstract

Indonesia Stock Exchange statistics show that Islamic stock trading reached a value of around 59 trillion rupiahs. The excalation index of JII (Jakarta Islamic Index) is not follow by an increase in market capitalization of stocks listed on the JII. This is the question for investor who want to know how it compares to the performance of Jakarta Composite Index (JCI). This study analyzes the excess return that represents the return expected by an investor after investing in certain assets using descriptive analysis and Ordinary least square (OLS) regression of Capital Asset Pricing Model (CAPM). The descriptive analysis showed that in the same risk-free rate, investors who invest in stocks listed in JII can expect a higher return than the return JCI, while regression analysis shows investors do not expect the JII?s excess return to be different from JCI?s. This suggests that the selection criteria used by Bapepam LK (now OJK) and Indonesia Stock exchange does not affect the performance of return JII.
KRISIS KEUANGAN GLOBAL 2008-2009 DAN IMPLIKASINYA PADA PEREKONOMIAN INDONESIA Sugema, Iman
Jurnal Ilmu Pertanian Indonesia Vol. 17 No. 3 (2012): Jurnal Ilmu Pertanian Indonesia
Publisher : Institut Pertanian Bogor

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (343.538 KB)

Abstract

The global financial crisis that occurred in 2008-2009 was the worst financial crisis in 80 years, even the economists in the world called it as the mother of all crises. The subprime mortgage crisis in the United States eventually manifested into a world-wide financial crisis. No single country is free from the effects,  including Indonesia. This study aims to analyze the global financial crisis, the sources of the cause, the mechanisms of the crisis emergence, and to identify the implications of the crisis on financial sector and real sector, as well as employment and poverty. The results showed that the country has a relatively high poverty rate and unemployment rate than it should. If there is no crisis, the level of poverty alleviation and reduction of unemployment should be at a better rate. In addition, it was found that the impact of the global crisis relatively stronger to the rural households than to urban households. Therefore, because the rural labor market is much more flexible than that in urban areas, the impact of global crisis on rural unemployment rates is relatively weaker as well.