Logo

Pusat Sumber Belajar FEB UI

  • FAQ
  • Berita
  • Rooms
  • Bantuan
  • Area Anggota
  • Pilih Bahasa :
    Bahasa Inggris Bahasa Indonesia
  • Search
  • Google
  • Advanced Search
*sometimes there will be ads at the top, just scroll down to the results of this web
No image available for this title

Text

Time-varying macroeconomic impacts of global economic policy uncertainty to a small open economy: evidence from Indonesia

Setiastuti, Sekar Utami - ;

This paper studies macroeconomic impacts of global economic policy uncertainty shocks to a small open economy. To that end, I use monthly Indonesian data along with a measure of global economic policy uncertainty developed by Baker et al. (2016) and Davis (2016) and estimate a time-varying parameter Bayesian structural VAR with non-recursive identification using framework proposed by Canova and P?rez Forero (2015). I find that global economic policy uncertainty shocks lead to a reduction in prices, interest rate, and trade balance in all global events included in the estimation. The impact on output, however, largely varies across events. A surprise movement of global economic policy uncertainty triggers a contraction in output around the 2008 global financial crisis but, following the 2016 US presidential election, output reacts positively to the shock. Despite these notable variations in the responses of output, the proportion of the forecast error variance of output due to the shock is very small and decreases rapidly over time?which indicates that the shock presents an inconsequential effect to output. Nonetheless, the proportion of the forecast error variance of trade balance due to the shock is considerably higher than the forecast error variance of output and inflation. This further suggests that, via international trade, a global economic policy uncertainty shock could still pose harm for Indonesia.


Ketersediaan

Call NumberLocationAvailable
PSB lt.2 - Karya Akhir1
Bulletin of Monetary Economics and BankingPSB lt.dasar - Pascasarjana1
Penerbit: Bulletin of Monetary Economics and Banking 2017
EdisiVol. 20, Number 2, Oct. 2017
SubjekMonetary policy
Time
Open economy
Global economic policy
Uncertainty shocks
Bayesian structural
varying coefficients
ISBN/ISSN14108046
KlasifikasiNONE
Deskripsi Fisik-
Info Detail SpesifikBulletin of Monetary Economics and Banking
Other Version/RelatedTidak tersedia versi lain
Lampiran BerkasTidak Ada Data

Pencarian Spesifik
Where do you want to share?