Indonesia’s Financial Stress Events And Macroeconomic Dynamics

Authors

Sugiharso Safuan, University of Indonesia, IndonesiaFollow
Eric Alexander Sugandi, Asian Development Bank Institute, JapanFollow
Okta Qomaruddin Aziz, Universitas Islam Negeri Maulana Malik Ibrahim Malang, IndonesiaFollow
Risna Triandhari, University of Indonesia, IndonesiaFollow

Document Type

Article

Abstract

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.

Recommended Citation

Safuan, Sugiharso; Sugandi, Eric Alexander; Aziz, Okta Qomaruddin; and Triandhari, Risna (2022) "Indonesia’s Financial Stress Events And Macroeconomic Dynamics," Bulletin of Monetary Economics and Banking: Vol. 25: No. 3, Article 3.
DOI: https://doi.org/10.21098/bemp.v25i3.1743
Available at: https://bulletin.bmeb-bi.org/bmeb/vol25/iss3/3

First Page

323

Last Page

370

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License

Country

Indonesia

Affiliation

Bank Indonesia