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Andri Putra Kesmawan
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INDONESIA
Journal of Macroeconomics and Social Development
Published by Indonesian Journal Publisher
ISSN : -     EISSN : 30262887     DOI : https://doi.org/10.47134/jmsd
Core Subject : Economy,
Economics, Econometrics & Finance
Journal of Macroeconomics and Social Development (3026-2887) publishes original research that examines the interactions between macroeconomic and social policies and their impact on economic growth, development, and social welfare. The journals scope includes a wide range of topics, such as: Macroeconomic theory and policy Economic growth and development Poverty and inequality Labor markets and social security Education and health care Environmental economics International trade and finance The journal welcomes submissions from a wide range of disciplines, including economics, sociology, political science, and public policy. The journal is committed to publishing high-quality research that is relevant to policymakers, academics, and the general public.
Arjuna Subject : Ilmu Ekonomi, Ekonometrika dan Keuangan (semua kategori) - Ilmu Ekomomi dan Ekonometrika
Articles 2 Documents
 1 
Search results for , issue "Vol. 3 No. 2 (2025): December" : 2 Documents clear
Volatility Modelling and Forecasting of Indonesia-USA Currency Using Constant Conditional Multivariate GARCH Suwondo, Juwita
Journal of Macroeconomics and Social Development Vol. 3 No. 2 (2025): December
Publisher : Indonesian Journal Publisher

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47134/jmsd.v3i2.953

Abstract

This paper estimated and forecasted the volatility of USD/IDR exchange rate using Constant Conditional Multivariate GARCH (Generalized Autoregressive Conditional Heteroskedasticity) and ARIMA (Autoregressive Moving Average) as the methods. The objective of this study is to comprehend and to execute a projection of the currency of Indonesia and Philippines while understanding the rapid movement of the variables (volatilility). The variables used are USD/IDR, Jakarta Stock Exchange Composite Index (JCI), World Oil Price, and Nominal Broad U.S. Dollar Index. The data was daily, taken from World Bank, Federal Reserve Economic Data, and Indonesian Stock Exchange during 2006-2025. The result showed that there was short term autoregressive moving average dynamics in USD/IDR return, through Mean Equation. The GARCH model showed high persistence of volatility and the shocks showed indication of long-lasting in term of duration. Persistent volatility implied that USD/IDR was sensitive to external shocks. The result also confirmed that the volatility is time-varying, meaning the fluctuations tend to cluster into specific downturn or upturn movement. The method used in this study did not consider about different period in volatility (leverage effect) as it used symmetric volatility as assumption.
The Impact of Inflation, World Oil Prices, and the Rupiah Exchange Rate on Sectoral Stock Index Returns in the Indonesia Stock Exchange Arifin, Arya Firma; Ababil, Maulana Ikhrom; W, Rafif Putra; Peri, Leonardus Reynhard; Pandin, Maria Yovita R.
Journal of Macroeconomics and Social Development Vol. 3 No. 2 (2025): December
Publisher : Indonesian Journal Publisher

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47134/jmsd.v3i2.1002

Abstract

This study examines the effects of inflation (X1), global crude oil prices (X2), and the rupiah exchange rate (X3) on sectoral stock index returns (Y) in the energy sector listed on the Indonesia Stock Exchange. This research employs a quantitative approach using secondary data obtained from Bank Indonesia, the Indonesia Stock Exchange, and Investing.com over a five-year period. Multiple linear regression analysis was conducted using SPSS to evaluate both partial and simultaneous effects of the independent variables on stock index returns. The results show that inflation has a negative but statistically insignificant effect on sectoral stock index returns, while global crude oil prices exhibit a positive yet insignificant influence. In contrast, the rupiah exchange rate has a positive and statistically significant effect on sectoral stock index returns. These findings indicate that exchange rate movements play a dominant role in explaining return variability in the energy sector. Therefore, investors and policymakers should pay close attention to exchange rate stability when making investment and economic policy decisions.

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