Impact of Global Index, Gold Price and Macro Economic Variable for Indonesia Composite Index

The purpose of this research to analyze the influence of DIJA Index, FTSE100 Index, NIKKEI225 Index, KOSPI Index, Hang Sheng Index, Gold Price, Money Supply and net export to Indonesia Composite Index. Data for this research have been taken from Indonesian statistic center for macroeconomic variables, yahoo finance for index, and London Bullion Market Association (LBMA) for gold price. The methods of data analysis were multiple linear regresion models. The result of this study shows that DJIA, FTSE100, Hang Seng, money Supply and net export have not influence to Indonesia Composite Index. Meanwhile NIKKEI 225, KOSPI and gold price have positive relation with Indonesia Composite Index. The suggestion can be given to investors and listed companies is to respond the information regarding the Nikkei 225 index, Kospi, and the world gold price to predict Indonesia Composite Index investment decision on the right stock and when it will make the policy valuation company stock.For further research is recommended to increase the number of others who influence the stock price index is not included in this study are economic factors or external factors such as other indexes that exist in the world, the variable inflation, exchange rates, GDP, oil price and others. Subsequent research has also suggested using another index, for example a Kompas 100, LQ-45, and other indices Keywords: Global Index, Gold Price, Indonesia Composite Index, Macro Economic Variable. JEL classification: G14;G15;E51;E6

The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate: Evidence from South Africa

This paper studies drivers of high-frequency (daily) dynamics of the South African rand vis-à-vis the dollar from January 2001 to July 2007. We find strong nonlinear effects of commodity prices, perceived country and emerging market risk premium and changes in the dollareuro exchange rate on changes in daily returns of the rand-dollar exchange rate. We also identify a one-sided nonlinear mean reversion to the long-term monetary equilibrium. In addition we establish very short-lived effects on the exchange rate of selected macroeconomic surprises and central bank communication aimed at talking up the rand.http://deepblue.lib.umich.edu/bitstream/2027.42/64416/1/wp955.pd

A quantitative study on the impact of microeconomic and macroeconomic variables on the JSE stock prices.

Masters Degree. University of KwaZulu-Natal, Durban.Given the JSE's relevance in providing liquidity in the South African economy, it is crucial to understand the factors that impact the value of the All-Share Index (ALSI) of the JSE. In this study, the simultaneous impact of macro and microeconomic variables on the ALSI was analysed. Macroeconomic variables comprised the gold price, interest rate, exchange rate, gross domestic product, inflation and money supply. Microeconomic variables comprised the PE ratio, DPS, BVS, ROA and ROE. Similar research in South Africa has focused on the impact of macroeconomic variables on the ALSI. However, there is minimal research on the impact of microeconomic variables on the ALSI or the combined impact of macro and microeconomic variables on the ALSI. An understanding of the explanatory power that these economic variables have on the ALSI will help policymakers to make the right decisions at a macroeconomic level and investors to make decisions when buying shares. For this study, annual data was used from 1997 to 2016. The dependent variable was the JSE all-share index, and the independent variables were the macro and microeconomic variables. The PCA, VECM and best subset models were applied. Multicollinearity existed within the independent variables, hence the PCA model was applied to deal with the multicollinearity. After the VECM was applied, there was a presence of non-stationarity; thus, the VECM was not a suitable model. Consequently, the best subset model was applied. In the outcome of the best subset model, there was a presence of heteroscedasticity; however, the EWMA model could not remedy the heteroscedasticity. The outcome of the best subset model variables that had a significant influence on the ALSI were dividends per share and money supply with an adjusted R2 of 0.9788. In other words, macro and microeconomic variables do impact the ALSI. The impact of both macro and microeconomic variables on the ALSI is also supported by the fact that when the PCA model was applied, the first factor accounted for 52% of the variation of the ALSI and included the following variables: money supply, interest rate, gross domestic product, gold price, book value per share and dividends per share. The limitations of the study were the number of observations that could be attained, as only 20 observations were used. If financial results were made public on a monthly or weekly basis by listed companies, it would have allowed for a greater number of observations. With more observations, explorations of other models such as the ARCH/GARCH model can be carried out

Money and Sustainability

This paper overviews the political-economics of FIAT and asset-based money. The paper further highlights the presumably syariah standpoint of the impartiality character of money as the fundamental factor that differentiates money from her conventional counterpart. The paper argues that while it is ideal for asset-based money to make a comeback in the interest of holistic wellbeing (maslahah) of humankind, it necessarily be complemented by an appropriate financial and regulatory system to safeguard its impartiality, i.e., viz, non-tradable, non-interest bearing, and non-debt financing to avoid the recurring pitfalls which are immanent in conventional financial system. It is hoped this rather concise paper will offer a thought provoking discourse on how syariah principles may present the world a useful ideological construct for a new monetary and financial architecture in light of the global financial crises.Financial crises; Neutrality of money; FIAT money; Asset based money; Islamic perspectives of money; Financial regulatory system; Money and sustainability

Major issues in monetary and fiscal policies

International finance ; Monetary policy ; Fiscal policy

The Macroeconomics of the Great Depression: A Comparative Approach

Recently, research on the causes of the Great Depression has shifted from a heavy emphasis on events in the United States to a broader, more comparative approach that examines the interwar experiences of many countries simultaneously. In this lecture I survey the current state of our knowledge about the Depression from a comparative perspective. On the aggregate demand side of the economy, comparative analysis has greatly strengthened the empirical case for monetary shocks as a major driving force of the Depression; an interesting possibility suggested by this analysis is that the worldwide monetary collapse that began in 1931 may be interpreted as a jump from one Nash equilibrium to another. On the aggregate supply side, comparative empirical studies provide support for both induced financial crisis and sticky nominal wages as mechanisms by which nominal shocks had real effects. Still unresolved is why nominal wages did not adjust more quickly in the face of mass unemployment.

Is There Co-Movement of Agricultural Commodities Futures Prices and Crude Oil?

Demand and Price Analysis, Risk and Uncertainty,

Exposure-Based Cash-Flow-at-Risk for Value-Creating Risk Management under Macroeconomic Uncertainty

A strategically minded CFO will realize that strategic corporate risk management is about finding the right balance between risk prevention and proactive value generation. Efficient risk and performance management requires adequate assessment of risk and risk exposures on the one hand and performance on the other. Properly designed, a risk measure should provide information on to what extend the firm's performance is at risk, what is causing that risk, the relative importance of non-value-adding and value-adding risk, and the possibilities to use risk management to reduce total risk. In this chapter, we present an approach – exposure-based cash-flow-at-risk – to calculating a firm's downside risk conditional on the firm's exposure to non-value-adding macroeconomic and market risk and to analyzing corporate performance adjusted for the impact of non-value-adding risk.Cash-flow-at risk; Value at risk; Risk management; Value creation; Total risk

The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate: Evidence from South Africa

This paper studies drivers of high-frequency (daily) dynamics of the South African rand vis-à-vis the dollar from January 2001 to July 2007. We find strong nonlinear effects of commodity prices, perceived country and emerging market risk premium and changes in the dollareuro exchange rate on changes in daily returns of the rand-dollar exchange rate. We also identify a one-sided nonlinear mean reversion to the long-term monetary equilibrium. In addition we establish very short-lived effects on the exchange rate of selected macroeconomic surprises and central bank communication aimed at talking up the rand.Exchange rate, nonlinearity, commodity prices, monetary model, macroeconomic news, central bank communication, South Africa

The Changing Cyclical Variability of Economic Activity in the United States

This paper examines the changing cyclical variability of economic activity in the United States. It first shows that the decline in variability since World War II cannot be explained by changes in the composition of economic activity or by the avoidance of financial panics. We then show that increased automatic stabilization by the government, and the increased availability of private credit after World War II combined to stabilize consumption and reduce the variability of aggregate demand. The main argument of the paper holds that greater price rigidity in recent times may have contributed to economic stability by preventing destabilizing deflations and inflations. Empirical evidence is presented to support this proposition.