Papers by sugiharso safuan
Buletin Ekonomi Moneter dan Perbankan
This study analyzes the impact of domestic investors’ participation in government debt on bank lo... more This study analyzes the impact of domestic investors’ participation in government debt on bank loans to the private sector in advanced and emerging countries. We find that domestic bank participation in government debt has a more profound negative impact on bank loans to the private sector in advanced than in emerging countries. Meanwhile, domestic non-bank participation in government debt only negatively impacts bank loans to private sector in emerging countries. While both domestic bank and non-bank participation in government debt have a negative impact on bank loans to the private sector in emerging countries, the latter has a weaker impact.
Buletin Ekonomi Moneter dan Perbankan
This paper attempts to investigate the impact of policy mix in dealing with the COVID-19 pandemic... more This paper attempts to investigate the impact of policy mix in dealing with the COVID-19 pandemic. We employ the New Keynesian Dynamic Stochastic General Equilibrium (DSGE) framework and the Del Negro et al. (2007) approach to estimate the model. We investigate the effectiveness of policy mix in Indonesia by taking into account real and financial linkages, as well as other market imperfections. We intend to analyze and evaluate the adequacy of monetary, fiscal, and macroprudential policy by simulating each policy option using Indonesian-specific factors and comparing them. Our findings show that policy mix has a greater impact on accelerating economic recovery but does not necessarily lead to anchor inflation.
Cogent economics & finance, Aug 26, 2022
The objective of this paper is to examine foreign direct investment (FDI) impact on ASEAN-5 econo... more The objective of this paper is to examine foreign direct investment (FDI) impact on ASEAN-5 economic growth through its interaction with domestic absorption capacity, such as financial sector development, trade openness, and human capital. These three factors are exercised simultaneously in this paper with a purpose to show which factor being the most important precondition for FDI to have a positive impact on the economic growth. A panel dataset for ASEAN-5 member countries over 1980-2012 is employed and estimated by using Generalized Method of Moments approach. This paper empirically found that the interaction between FDI and domestic absorption capacity has a positive impact on the economic growth. The results also provide evidence that interaction of FDI with trade openness is more important than its interaction with human capital and financial sector development. Given these results, the role of FDI in integrating a country to regional or global supply chain should be prioritized and counted as a consideration in formulating incentive policy to FDI. Overall, assessment of this paper indicates region-specific evidences while previous findings mostly focused on bigger scope.
Jurnal ekonomi Malaysia, 2021
In this empirical note, we examine the relationship between the loss of employment and lockdown m... more In this empirical note, we examine the relationship between the loss of employment and lockdown measures undertaken by the Malaysian government during the Covid-19 pandemic outbreak over the period from 25 January 2020 to 10 September 2020. By using cointegration analysis, our results suggest that there are both long-run and short-run relationships between loss of employment and lockdown measures in Malaysia. Lockdown measures show positive impact on the number of workers who lost their jobs during the pandemic. The loss of employment increases by 0.35% to 1.1% for every 1% increase in the lockdown measures.
Universitas Indonesia, 2005
Jurnal Ekonomi dan Pembangunan Indonesia, 2012
International Risk Sharing (IRS) adalah pembagian risiko secara internasional antar-negara dalam ... more International Risk Sharing (IRS) adalah pembagian risiko secara internasional antar-negara dalam suatukawasan atau dalam kawasan berbeda yang disebabkan oleh adanya gejolak spesik terhadap suatuperekonomian yang menyebabkan pendapatan (konsumsinya) beruktuasi. Tujuan studi ini adalah untukmenganalisis pengaruh dari terjadinya penggabungan mata uang di negara-negara Uni Eropa terhadapperkembangan IRS dan home bias di negara-negara tersebut. Dengan melihat hubungan output danpendapatan suatu negara dengan output dan pendapatan rata-rata kawasan, menggunakan data sebelasnegara awal yang tergabung dalam mata uang tunggal Euro, studi ini menemukan bahwa penggabunganmata uang di wilayah negara-negara Uni Eropa meningkatkan risk sharing dan home bias secara signikan.
EUROPEAN RESEARCH STUDIES JOURNAL, 2017
This study analyzes the behavior of risk taking on economic agents such as banks, households, and... more This study analyzes the behavior of risk taking on economic agents such as banks, households, and firms as a repond of monetary policy and macroprudential choices in Indonesia. The behavior of economic agents modeled in a DSGE models. In the model, the credit risk is modeled endogenously. Credit risk is a function of household and firm leverage ratio, bank leverage ratio, property market and general economy condition. Moreover, there are two types of bank in assessing the risks of credit. The results show that, endogenous credit risk, has an impact on the deepen procyclicality in credit. Furthermore, this research model contributes to a deeper understanding of the prudential policy framework. In the event of risk taking, analysis optimal policy responses using the loss function of central banks.
EUROPEAN RESEARCH STUDIES JOURNAL, 2017
This paper examines the impact of exchange rate volatility on Indonesia's export to-United States... more This paper examines the impact of exchange rate volatility on Indonesia's export to-United States, Japan and China using both aggregate and disaggregate data. We first estimated each pair country with export demand equations based on data from 1996 to 2014. A set of export demand equations is estimated by using Seemingly Unrelated Regression to characterized the correlation of the disturbances across equations. In general, the estimation result shows that exchange rate volatility has negative impact on export. Estimations based on disaggregate data indicate that the impact of the exchange rate volatility on exports remains negative however it varies among industries in the countries under investigation.
Research in Economics, 2014
, and research seminars organized by the Laboratoire d'Economie d'Orléans (LEO) and the Groupe de... more , and research seminars organized by the Laboratoire d'Economie d'Orléans (LEO) and the Groupe de Recherche Angevin en Economie et Management (GRANEM). The usual disclaimer applies.
Buletin Ekonomi Moneter dan Perbankan
In this study, we use a Markov-Switching Bayesian Vector AutoRegression model to investigate the ... more In this study, we use a Markov-Switching Bayesian Vector AutoRegression model to investigate the episodic relationship between financial stress and the key macroeconomic variables in the case of Indonesia. We find different nature of relationships among Indonesia’s real sector variables (household consumption expenditure and consumer price index), financial sector variables (interbank money market rate) and the policy variable (broad money supply during the times of high and low financial stress). Regime changes occurred on several occasions, including during the 2008 global financial crisis period and at the beginning of the COVID-19 pandemic.
Economics and Finance in Indonesia, 2021
This study seeks to contribute to the emerging debate regarding the effects of financial inclusio... more This study seeks to contribute to the emerging debate regarding the effects of financial inclusion and openness on banking stability. Panel data from 217 developing and developed countries from 2004 to 2017 showed that financial inclusion did not affect banking stability. However, financial openness significantly affected banking stability in all countries worldwide. Furthermore, the interaction of financial inclusion and openness had a significant positive effect on banking stability in developing and all countries worldwide. This finding indicates that the more funds obtained by banks from the implementation of financial inclusion policy and financial openness policy, the greater the potential for banks to maintain their stability. Therefore, to maintain bank stability, each country needs to synchronize its policies on financial inclusion and financial openness. This finding also contributes to the literature on understanding the essential financial inclusion policies and financia...
Heliyon, 2021
We examine the relationship between financial sector development and the shadow economy in Indone... more We examine the relationship between financial sector development and the shadow economy in Indonesia from 1980 to 2020. We estimate the size of Indonesia's shadow economy using the "Modified Cash to Deposits Ratio" approach. We then construct a long-term model using the size of Indonesia's shadow economy as the dependent variable. We set financial sector development as the main independent variable in our model. We use per capita real gross domestic product, the misery index, and foreign direct investment as control variables in our model. We find that financial sector development and the size of Indonesia's shadow economy have a nonlinear relationship that shows an inverted U-shape curve. The size of the shadow economy expands at the early stages of financial sector development to a turning point and decreases when financial sector development increases further. We also find that foreign direct investment curtails Indonesia's shadow economy. Additionally, increases in income expand Indonesia's shadow economy while misery index shows ambiguous results. We suggest the Indonesian authorities widen access for micro, small, and medium firms to the credit markets and enhance existing programs to reduce poverty and narrow the income gap in the country. These efforts help to narrow the size of Indonesia's shadow economy.
International Journal of Business and Society, 2021
In this paper, we use daily administrative data from January 25, 2020 to December 31, 2020 to exa... more In this paper, we use daily administrative data from January 25, 2020 to December 31, 2020 to examine the relationship between job losses and the Malaysian lockdown measures. The Auto Regressive Distributed Lag (ARDL) approach is used to estimate both the long-run and short-run models. The results of the Bounds F-test for cointegration reveal that there is a long-run link between job losses and the Malaysian government lockdown measures (both linear and non-linear). The positive association between job loss and lockdown measures shows that as the lockdown gets tighter, more people will lose their jobs. However, as time passes, especially in conjunction with the government stimulus package programmes, job losses decrease.
A business cycle is a type of volatility found in aggregate economic activity representing the pr... more A business cycle is a type of volatility found in aggregate economic activity representing the presence of macro-financial risks. In the literature, it is held that the business cycle and firm performance are unequivocally interconnected, but they do not always have shared connections. For the most part, these cycles comprise two periods: an expansionary stage and a recessionary, or contractionary, stage. In this study, we analyse the effect of business cycles on firms’ earnings persistence. In contrast to existing studies, in terms of identifying cycles (i.e. periods of expansion and contraction), our approach relies on results from the Markovswitching model, with the application of ASEAN-5 data (from Indonesia, Malaysia, Singapore, Thailand and the Philippines). The results show that in an expansionary regime, earnings persistence is higher than during a period of contraction. They also support the notion that business cycles have a significant effect on earnings persistence, as e...
Jurnal Ekonomi Malaysia, 2021
In this empirical note, we examine the relationship between the loss of employment and lockdown m... more In this empirical note, we examine the relationship between the loss of employment and lockdown measures undertaken by the Malaysian government during the Covid-19 pandemic outbreak over the period from 25 January 2020 to 10 September 2020. By using cointegration analysis, our results suggest that there are both long-run and short-run relationships between loss of employment and lockdown measures in Malaysia. Lockdown measures show positive impact on the number of workers who lost their jobs during the pandemic. The loss of employment increases by 0.35% to 1.1% for every 1% increase in the lockdown measures. © 2021 Penerbit Universiti Kebangsaan Malaysia. All rights reserved.
Financial de-coupling occurs when the financial sector in an economy grows faster than the real s... more Financial de-coupling occurs when the financial sector in an economy grows faster than the real sectors. It has been argued that in the countries where its financial sector grow is very dependent on domestic banks for credit and increasing degree of financial de-coupling, it would be difficult for the central bank to implement monetary policy in driving the growth of the real sectors. In a recent empirical research, the existence of disintermediation (i.e. decoupling) in banking sectors has been a major invetigation among researchers. The objective of this study is to test on whether or not the evidence of disintermediation exists in Indonesia. We use banking credit growth data and real GDP and production index as measures of real variables during the periods of January 1997 to April 2010. Using three different methods for detecting financial decoupling, our empirical results support the hypothesis that the financial de-coupling does exist JEL Classification : E5,E50, E51
International Journal of Economics and Financial Issues, 2018
This study addresses an Early Warning System (EWS) of currency crisis, as well as proposes EWS wi... more This study addresses an Early Warning System (EWS) of currency crisis, as well as proposes EWS with an approach of early detection of vulnerability to crisis. Detecting vulnerabilities is a more effective step because it gives the policymakers plenty of time before determining the right policy responses to anticipate and prevent a crisis. The data used are monthly macroeconomic data from January 2002 to December 2012. The steps taken were to identify currency crises, determine indicators of currency crises, determine vulnerability indicators to currency crises with logistic regression, and build vulnerability index to currency crises with fuzzy logic. This research builds vulnerability index to currency crisis with vulnerability level consisting of normal, alert, standby, and crisis suspected condition. This research provides EWS with the approach of early detection of vulnerability to currency crisis and builds vulnerability index that can be used in assessing and monitoring econom...
International Journal of Business and Society, 2019
This study analyzes the response of corporate investment to exchange rate movements in five ASEAN... more This study analyzes the response of corporate investment to exchange rate movements in five ASEAN (ASEAN-5) countries. A theoretical framework is proposed for the real exchange rate, which affects corporate activities through at least three channels: revenue (exports), imported inputs, and imported finished goods. Estimations using dynamic panel data based on quarterly data (2001Q1–2014Q4) from 859 manufacturing corporations support the hypotheses. The results support the revenue channel for manufacturing in Indonesia, Malaysia, and the Philippines. Hence, depreciation is expected to increases sales, leading to increased corporate investment. The revenue channel in Singaporean manufacturing was significant after separating the penetration of low imported finished goods from that of high. Because exporter companies are also simultaneously big importers of inputs, the imported inputs channel generally increases corporate investment. In addition, the additional cost of imported inputs remains smaller than the additional gain from exports. The imported finished-goods channels demonstrate that the less imported finished-goods penetration the greater the impact of currency value on corporate investment. Research on investments and exchange rates is rare in the Southeast Asian context. Therefore, this paper contributes to the literature by analyzing the transmission mechanism of the impact of exchange rate movements on corporate investments. Keywords: Corporate investment; Dynamic panel data; International orientation; Real exchange rate.
Jurnal Ekonomi dan Pembangunan Indonesia, 2005
Makalah ini mengevaluasi perbedaan antara rata-rata pendidikan minimal yang dibutuhkan oleh suatu... more Makalah ini mengevaluasi perbedaan antara rata-rata pendidikan minimal yang dibutuhkan oleh suatu jenis pekerjaan dan pendidikan pekerja yang bekerja di jenis pekerjaan tersebut. Overeducation terjadi apabila pendidikan pekerja di jenis pekerjaan tertentu lebih tinggi dari yang dibutuhkan oleh jenis pekerjaan tersebut. Dengan menggunakan sample pekerja W1, sektor formal dari data Sakernas 1996, 1999, dan 2002, hasil studi menunjukkan bahwa persentase pekerja cenderung meningkat dari tahun ke tahun. Hasil estimasi juga menunjukkan dampak pendidikan meningkatkan penghasilan dan pekerja overeducated berpengaruh signifikan pada penghasilan pekerja meskipun telah dikontrol oleh usia, jenis kelamin, jam kerja serta karakteristik individu lainnya.
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Papers by sugiharso safuan