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All Journal Economic and Finance in Indonesia
Febiyansah, Panky Tri
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Economics, Econometrics & Finance Education

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Does Uncertainty Matter for Trade - Economic Growth Nexus in Indonesia? Febiyansah, Panky Tri
Economics and Finance in Indonesia Vol. 67, No. 1
Publisher : UI Scholars Hub

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Abstract

This paper aims to test the impact of uncertainty on the causal relationship among exports, imports, and economic growth in Indonesia. The relationship is constructed by examining the presence of FDI-adjusted exports and imports (trade) and the output link using conditional variances-covariances derived from the generalized autoregressive conditional heteroskedastic (GARCH) process in a vector error correction model (VEC-GARCH model). Using evidence in Indonesia, the model exposes the uni-directional nexus from trade performance to trade-adjusted output growth in the absence of uncertainty. The volatility effects are evident in the causal relationship between trade and output. The finding shows that the uncertainty effects hamper the trade-economic growth nexus. Incorporated with the long-run causality, trade still causes output even after containing the contributions of volatility. The significant role of imports highlights the higher demand for intermediate capital products and the inclusion of technology in strengthening economic growth.
Exchange Rate Responses and Volatility Spillover Effects during the COVID-19 Pandemic in Indonesia Febiyansah, Panky Tri
Economics and Finance in Indonesia Vol. 69, No. 2
Publisher : UI Scholars Hub

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Abstract

This paper aims to assess the impact of the confirmed COVID-19 cases, the timing of the outbreak, and physical measures on the returns and spillover effects of exchange rate in Indonesia. The model will be tested by the exponential generalized autoregressive conditional heteroskedastic (EGARCH) process and the spillover volatility index. The study discovers that the confirmed cases, outbreak news, and the implementation of large-scale social restrictions simultaneously contribute to a leverage effect on the volatility of a direct quote of Indonesian Rupiah to Australian Dollar, Euro, US Dollar, Singapore Dollar, and Great British Pound. To a certain extent, the heatwave as well as the meteor-shower effects as a result of clustering events and intense spillover effects in the currency market of Indonesia are observed.
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