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All Journal JIET (Jurnal Ilmu Ekonomi Terapan) East Java Economic Journal
Syamad
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Economics, Econometrics & Finance Social Sciences

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Is There J-Curve Phenomenon and Asymmetric Effects of Exchange Rate on Trade Balance in East Java? Pertiwi, Rizki; Syamad
East Java Economic Journal Vol. 8 No. 1 (2024)
Publisher : Kantor Perwakilan Bank Indonesia Provinsi Jawa Timur

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.53572/ejavec.v8i1.125

Abstract

This study aims to analyze the effect of exchange rate asymmetry on the trade balance between East Java Province and the largest trading partner countries (China, Japan, and the United States) in the short-run and long-run and to detect the J-Curve phenomenon. This study uses the Nonlinear Autoregressive Distributed-Lag (NARDL) method with 2010Q1 - 2023Q1 time-series data. The results of the study show that in the short-run, both the appreciation (NEG) and depreciation (POS) of the exchange rate have no effect on East Java's trade balance in all models. However, in the long-run, exchange rate appreciation and depreciation have a significant negative effect on East Java's trade balance across all models. Based on the estimation results, it can be concluded that there is no J-Curve phenomenon in East Java's trade balance with trading partner countries. Because in the asymmetry model, the J-Curve phenomenon can occur if depreciation or appreciation has a significant positive effect and is cointegrated in the long-run, regardless of the short-run coefficient being positive or negative and significant or not significant. From these conditions, it can be concluded that the trade industry in East Java is called inelastic. That is, price changes do not affect demand for export and import volumes. Therefore, the policy of depreciating the Rupiah exchange rate is not the best strategy to be implemented as an export promotion for East Java because only a few sectors benefit.
Oil Price Fluctuations and Job Creation Sectors in East Java Province: Testing for Non-Linearity Devina Audrey Subagya; Syamad
East Java Economic Journal Vol. 8 No. 2 (2024)
Publisher : Kantor Perwakilan Bank Indonesia Provinsi Jawa Timur

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.53572/ejavec.v8i2.136

Abstract

This research intends to trace the effects of fluctuations in Brent and WTI oil prices on the job creation sector of East Java Province. The GARCH (1,1) method is used to track the value of oil price fluctuations and the NARDL method is used to find the magnitude of the asymmetric effects. Data in the form of quarterly time series 2011Q1-2022Q4 is also used in this research. The results of the asymmetric test show that there is a significant positive influence between negative fluctuations in Brent and WTI oil prices on the job creation sector in the short-run and there is a significant negative influence between positive fluctuations in Brent and WTI oil prices in the long-run. The test results have contributed to a more complex theoretical study of the impact of oil price fluctuations on the business sector at the provincial level. The test results have produced effective recommendations for stakeholders in East Java Province, namely policymakers and business actors who need to create and use new alternative fuels in production activities. For example, using domestic oil or renewable energy so that it can reduce dependence on international oil price movements. Policymakers can also implement international oil import tariffs and quotas to curb its use.
Analysis of Symmetric and Asymmetric Effects of Exchange Rate Pass-Through in Inflation-Targeting Countries Syamad; Handoyo, Rossanto Dwi
Jurnal Ilmu Ekonomi Terapan Vol. 8 No. 2 (2023)
Publisher : Department of Economics, Faculty of Economics and Business, Universitas Airlangga

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20473/jiet.v8i2.45150

Abstract

The main purpose of this study is to analyze the effects of symmetry and asymmetry of the exchange rate pass-through in Middle-Income and High-Income countries that implement inflation-targeting policies. This study uses a sample of Middle-Income Countries (South Africa, Brazil, India, Indonesia, and Mexico) and High-Income Countries (Australia, Japan, Canada, Norway, and Sweden) in the form of time-series 2000:Q1- 2021:Q4 with the method of Autoregressive Distribution Lag (ARDL) and Nonlinear Autoregressive Distributed Lag (NARDL). The results showed that five countries have a significant positive effect on the real exchange rate on inflation in the short-run in the ARDL method. In addition, in the NARDL method, five countries significantly positively affect the depreciation of the real exchange rate on inflation in the short-run. Then, only one country has a significant negative effect between the appreciation of the real exchange rate on inflation in the short-run and eight countries in the long-run. Based on the estimation results, it can be concluded that the average quantity of real exchange rate effect on inflation (exchange rate pass-through) in Middle-Income Countries is greater than in High-Income Countries. Therefore, inflation-targeting policies are more flexible to be applied in high-income countries. In addition to the exchange rate, other variables such as oil prices, money supply, and real GDP also greatly affect inflation and have different effects in each country.
The Effects of Money Supply on Exchange Rate: Evidence of Dornbusch Overshooting Model in Indonesia (2000-2021) Syamad; Rossanto Dwi Handoyo
Jurnal Ilmu Ekonomi Terapan Vol. 8 No. 1 (2023)
Publisher : Department of Economics, Faculty of Economics and Business, Universitas Airlangga

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20473/jiet.v8i1.45177

Abstract

This study aims to analyze the effects of money supply on exchange rate in Indonesia and to investigate whether there is an application of the Dornbusch Overshooting Model. The Autoregressive Distributed-Lag (ARDL) method is used to analyze short-term and long-term effects and uses time-series data from 2000:Q1 to 2021:Q4. The results of this study show that the long-term coefficient of the money supply has a smaller effect on the depreciating exchange rate than the short-term coefficient. Based on the estimation results, it can be concluded that there is an application of the Dornbusch Overshooting Model in Indonesia. A further implication of this research is that the factors that influence exchange rate fluctuations are of great concern in an effort to maintain exchange rate stability. For example, growth in the money supply because a 1 percent change in the money supply results in a change of more than 1 percent in the exchange rate. In addition to the money supply, other variables such as inflation and interest rates also have a large influence on changes in exchange rates and have different magnitudes of influence in the short and long-run.
Co-Authors Devina Audrey Subagya Pertiwi, Rizki Rossanto Dwi Handoyo