INDONESIA'S FINANCIAL STRESS EVENTS AND MACROECONOMIC DYNAMICS
Buletin Ekonomi Moneter dan Perbankan
; 25(3):323-370, 2022.
Article
in English
| Scopus | ID: covidwho-2235128
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. © 2022 Authors. All rights reserved.
Full text:
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Collection:
Databases of international organizations
Database:
Scopus
Language:
English
Journal:
Buletin Ekonomi Moneter dan Perbankan
Year:
2022
Document Type:
Article
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