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Achsani, Noer Azham
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Economics, Econometrics & Finance

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Pemodelan Volatilitas Return Saham: Studi Kasus Pasar Saham Asia Sari, Linda Karlina; Achsani, Noer Azham; Sartono, Bagus
Jurnal Ekonomi dan Pembangunan Indonesia Vol. 18, No. 1
Publisher : UI Scholars Hub

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Abstract

Volatility is one of the interesting phenomenon in financial market; the reason is because of its effect to the existence of global financial market. The existence of volatility closely related to the risk in stock model. This research aims to determine the right model in modeling stock return volatility taken from four Asian countries with symmetric and various asymmetric model of GARCH. The result from fitting the right model for all of four stock markets showed that asymmetric model of GARCH showing a better estimation in portraying stock return volatility. Moreover, the model can reveal the existence of asymmetric effects on those four stock markets.
Pengaruh Liberalisasi Keuangan terhadap Volatilitas Makroekonomi di Kawasan Asia-Pasifik Feriansyah, Feriansyah; Achsani, Noer Azham; Irawan, Tony
Jurnal Ekonomi dan Pembangunan Indonesia Vol. 18, No. 2
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This paper examines the effect of financial liberalization on growth volatility of macroeconomics variable using dynamic panel model for nineteen Asia-Pacific countries for period of 1976–2015. Our results showed that the benefit of financial liberalization in Asia-Pacific region caused by the low volatility of the macroeconomic growth only occur in the group of developed countries, and not occur in the group of developing countries. This proved that the existence of financial liberalization provides no full beneficial effects in Asia-Pacific region.
Dampak Perubahan Nilai Tukar terhadap Indeks Harga Konsumen Bahan Makanan di Indonesia Suarsih, Siti; Achsani, Noer Azham; Nuryartono, Nunung
Jurnal Ekonomi dan Pembangunan Indonesia Vol. 17, No. 1
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The fluctuation in exchange rate Indonesia may have an impact on the price of imported goods both consumer goods (finished goods) and raw materials. The aim of this study is to analyze the impact of exchange rate changes on the Consumer Price Index (CPI) of foods categories and analyze the role of the exchange rate in explaining fluctuations in the CPI of food category in Indonesia. Econometric analysis using vector error correction model, indicates that the greatest degree of pass-through occurs in the consumer price index groups of milk and eggs. Contributions of exchange rate as the result of decomposition of forecasting error variance is largest in the meat category.
Pengujian Trilemma Conditions pada Perekonomian Indonesia Yunita, Mela; Achsani, Noer Azham; Anggraeni, Lukytawati
Jurnal Ekonomi dan Pembangunan Indonesia Vol. 17, No. 2
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The key challenge for monetary policy in emerging market countries is simultaneously maintain monetary independence, exchange rate stability, and join with financial integration. This research explain the interaction of monetary policy in Indonesia over time to answer those three challenge with a Trilemma conditions. This research evaluate the Bank Indonesia’s decision to change the exchange rate regime and applied ”inflation targeting”. The methods include to build the Trilemma’ index and testing the Trilemma with constant regression. The results indicate that Bank Indonesia has tradeoff in determining the combination of monetary policy objectives. Tradeoff for Bank Indonesia more heavy under free floating due to fear of floating’s problem and tradeoff lighter when inflation targeting applied.
Co-Authors Bagus Sartono Feriansyah, Feriansyah Linda Karlina Sari Lukytawati Anggraeni Mela Yunita Nunung Nuryartono Suarsih, Siti Tony Irawan