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Economic Journal of Emerging Markets
Published by Universitas Islam Indonesia
ISSN : 20863128     EISSN : 2502180x     DOI : -
Core Subject : Economy,
Economics, Econometrics & Finance
The Economic Journal of Emerging Markets (EJEM) is a peer-reviewed journal which provides a forum for scientific works pertaining to emerging market economies. Published every April and October, this journal welcomes original research papers on all aspects of economic development issues. The journal is fully open access for scholarly readers.
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Articles 6 Documents
 1 
Search results for , issue "Volume 1 Issue 1, 2009" : 6 Documents clear
Characteristic of Demography, Economics Factors and Poverty in Gunung Kidul Regency Suripto Suripto
Economic Journal of Emerging Markets Volume 1 Issue 1, 2009
Publisher : Universitas Islam Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20885/ejem.v1i1.2283

Abstract

This paper aims to analyze the determinants of poverty in Gunungkidul Regency in 2006. Itanalyses SUSENAS data using the logit model with the estimation method of Maximum LikelihoodEstimator (MLE). The variables included in the model are the characteristics of demography,economic factors, residential region and business loan. The result shows thatpoverty in Gunungkidul Regency is associated with residential region, household size, levelof employment in agricultural sector, level of education, and the age of household’s head. Italso shows that household size is the main source of poverty. In addition, business loan is ofimportant determinant factors in poverty reduction.Keywords: demography, poverty, household size, business loan
Forcasting Portofolio Value-At-Risk for International Stocks, Bonds, and Foreign Exchange Emerging Market Evidence Abdul Hakim
Economic Journal of Emerging Markets Volume 1 Issue 1, 2009
Publisher : Universitas Islam Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20885/ejem.v1i1.2281

Abstract

This paper uncovers the nature of conditional correlations between and volatility spilloversacross bond, stock and foreign exchange in Indonesia, Malaysia, the Philippines, and Thailand.Using various multivariate Generalized Autoregressive Conditional Heteroscedasticity(GARCH) models, it finds the evidence of highly persistence in the conditional variance,volatility spillovers across assets, and time-varying conditional correlations in all markets. Italso provides Value-at-Risk forecast based on the estimated models. Assuming normal distribution,the tests suggest that incorporating volatility spillovers and time-varying conditionalcorrelations does not help in providing Value-at-Risk forecasts. Assuming t distribution, thetests suggest that incorporating volatility spillovers provides better VaR forecasts.Keywords: conditional correlations, volatility spillovers, VaR forecast
International Price Relationship and Volatility Transmission Between Stock Index and Stock Index Futures ArIsmail bin Ahmad; Fahmi bin Abdul Rahim
Economic Journal of Emerging Markets Volume 1 Issue 1, 2009
Publisher : Universitas Islam Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20885/ejem.v1i1.2285

Abstract

This study investigates the international price relationship and volatility transmissions betweenstock index and stock index futures of Malaysia, Hong Kong and Japan. Vector Autoregression(VAR) GJR-GARCH model was applied to the nine years daily price. Japanesemarkets are the main information producer to the market price changes. International marketinterdependence only affected the domestic volatility transmission of spot and futuresmarket in Hong Kong. Asymmetric effects exist in all markets and the volatility persistence ineach market is high. Finally, the overall conditional correlation estimates for spot and futuresmarkets are higher in the unrestricted model form compared to the restricted modelform.Keywords: spot-futures, lead-lags, volatility, VAR GJR-GARCH, Asian financial markets
Modelling Domestic Tourism Demand in Australia A Dynamic Panel Data Approach Ghialy Yap
Economic Journal of Emerging Markets Volume 1 Issue 1, 2009
Publisher : Universitas Islam Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20885/ejem.v1i1.2280

Abstract

Domestic tourism in Australia generates about 74% of total tourism revenue. Given that, thispaper examines whether changes in Australian households’ income and the prices of domestictravel can influence the demand for domestic travel. It reveals some notable results. First,Australian households will not choose to travel domestically when there is an increase inhousehold income. Second, an increase in the current prices of domestic travel can cause thedemand for domestic trips to fall in the next one or two quarters ahead. Finally, the coefficientsfor lagged dependent variables are negative, indicating perhaps, that trips are madeon a periodic basis.Keywords: domestic tourism, Australia, households’ income, domestic travel
Spatial Distribution Based on Semivariogram Model Gandi Pawitan
Economic Journal of Emerging Markets Volume 1 Issue 1, 2009
Publisher : Universitas Islam Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20885/ejem.v1i1.2282

Abstract

This article aims to discuss some aspects in conducting inferential analysis of census data.In this analysis, the assumptions of normality and IID (independently and identically distribution)in the observations are no longer realistic. Hence conventional analyses which arebased on these assumptions are invalid and unreliable. Other alternatives can be considered,such as semivariogram analysis. Semivariogram analysis assumes that observationsare dependent geographically. The analysis is useful in understanding spatial distribution ofcharacteristics under investigation.Keywords: census, aggregation, semivariogram, autocorrelation, spatial distribution
An Ardl Approach to Identify Bank Landing Channel in Indonesia Akhsyim Afandi
Economic Journal of Emerging Markets Volume 1 Issue 1, 2009
Publisher : Universitas Islam Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20885/ejem.v1i1.2284

Abstract

This paper tests whether the bank lending channel works in Indonesia. It develops an errorcorrection representation of the Autoregressive Distributed Lag (ARDL) model of two bankcredit markets. Each model takes account of one structural break associated with the 1998financial crisis. The date of the crisis is determined by a unit root test that includes twostructural breaks. Instead of Johansen’s cointegrating procedure, bounds test procedure isimplemented. The estimated error correction model for both markets suggests that bankloans adjust more strongly towards loan supply, implying that monetary-induced disturbancesin bank loans originate from the supply side.Keywords: bank lending channel, unit root, structural breaks

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