Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257320 
Year of Publication: 
2021
Citation: 
[Journal:] Economies [ISSN:] 2227-7099 [Volume:] 9 [Issue:] 4 [Article No.:] 162 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-20
Publisher: 
MDPI, Basel
Abstract: 
Empirical studies of the global liquidity spillover on Indonesia's economy are still relatively limited. Most of the global contagion literature on Indonesia's economy focuses only on the effects of real shock (on output) due to financial shock. We assert that the effect of global output on Indonesia macroeconomic conditions is a fairly relevant issue to be studied. This research aims to investigate the interdependent relationships between world GDP, world commodity prices, world inflation, trade flows, capital inflow, capital account transactions, reserve accumulation, global liquidity (e.g., global broad money), and monetary aggregates, with regard to Indonesia's GDP variables and inflation. This paper uses threshold vector autoregression (TVAR) to capture regime changes in the variables of the world economy. World economic data and Indonesia's economic data were utilized to prove different responses to the world economic situation in two different regimes. This research identified two groups of upper regime and lower regime world variables-namely, world inflation, world GDP, and world commodity prices. TVAR estimation resulted in a smaller residual sum of squares compared to VAR estimation. Different regimes resulted in differences in Indonesia's economic responses due to the shock of world economic variables. The findings generated by this research are expected to be insightful to monetary policymakers in Indonesia.
Subjects: 
commodity
exchange rate
finance liquidity
financial global
global inflation
inflation
threshold VAR
JEL: 
E31
E32
C33
E60
E42
F32
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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