COMPOSITE INDEX AND MACROECONOMIC VURNERABILITIES IN ADVANCED ECONOMIES (Case Study : Indonesia)
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Date
2020
Journal Title
Journal ISSN
Volume Title
Publisher
International Journal of Psychosocial Rehabilitation, Vol.24, Issue 02
Abstract
This study examined the relation between the macroeconomic variables on the Indonesian
composite index. The macroeconomic factors in Indonesia are exchange rate, GDP, inflation and interest rates.
The study used time series data from 2010.1-2019.4 The results showed that the exchange rate, economic
growth, inflation and interest rate did not influence the composite index, but were influenced by the composition
of the variable itself (composite index) which lags 1 (1⁄4 aforementioned). There are no two paths, but only one
direction, from the performance of the granger causality test. Analysis based on Impulse Response (IR) shows
that CI reacts to short-term and stable macroeconomic transition shocks. And the 10-quarter Variance
Decompition (VD) forecast, the Composite Index ' variety, firstly with inflation, second with interest rate, third
with interest rate, and fourth with economic growth.
Description
Keywords
Composit Index, Macroeconomic Variables, Vector Auto Regression