Astuti, Alfira Mulya (2020) Forecasting financial system stability using vector error correction model approach. CAUCHY –Jurnal Matematika Murni dan Aplikasi, 6 (3). pp. 109-116. ISSN 2477-3344

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Abstract

Indonesia is one of the developing countries whose economic system is still very dependent on other developed countries. This reliance often becomes one of the causes of the occurrence of economic turmoil sectors that interfere with financial system stability in Indonesia. Therefore, to forecast financial system stability indicators, primarily macroeconomic variables, become essential to do to provide an accurate index value. This research aims to forecast indicators that affect Indonesia's financial stability using the Vector Error Correction Model (VECM) approach. The indicators used are Banking Stability Index, Jakarta Stock Exchange Composite Index, Inflation, and Exchange Rate. Forecasting using the VECM method produces two models i.e., deterministic model using the intercept and deterministic model without intercept. The best model is a deterministic model with intercept and without a trend. The result of forecasting for Bank Stability Index, inflation, and exchange rate can be used to forecast 12 periods ahead. The Banking Stability Index affects Exchange Rate, the Jakarta Stock Exchange Composite Index, and Inflation.

Item Type:	Article
Uncontrolled Keywords:	financial; macroeconomic; forecasting; vecm approach
Subjects:	01 MATHEMATICAL SCIENCES > 0104 Statistics > 010401 Applied Statistics 14 ECONOMICS > 1402 Applied Economics > 140207 Financial Economics
Divisions:	Fakultas Tarbiyah dan Keguruan > Jurusan Tadris Matematika
Depositing User:	Dr. Alfira Mulya Astuti
Date Deposited:	13 Jun 2023 06:30
Last Modified:	20 Jun 2023 10:56
URI:	http://repository.uinmataram.ac.id/id/eprint/3184

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