Open AccessCrises and the Volatility of Indonesian Macro-Indicators
Author(s) -
Catur Sugiyanto
Publication year - 2010
Publication title -
international journal of management studies/international journal of management studies
Language(s) - English
Resource type - Journals
eISSN - 2232-1608
pISSN - 2180-2467
DOI - 10.32890/ijms.17.2010.10192
Subject(s) - overtime , indonesian , volatility (finance) , economics , macro , financial crisis , econometrics , shock (circulatory) , exchange rate , inflation (cosmology) , monetary economics , financial economics , macroeconomics , labour economics , computer science , medicine , linguistics , philosophy , physics , theoretical physics , programming language
This paper examines the volatility of some of Indonesian macroeconomic indicators, namely the Bank Indonesia rate, inflation, and exchange rates. It is argued that after the financial crisis the variability of these variables increases and this makes it more difficult to predict them. The estimated ARCH parameters increases overtime, indicating higher contribution of shock over several periods. From the random walk, historical mean, moving average and simple regression, it was found that the quality of prediction after the crisis decreases. Financial manager and other policy makers may adjust their strategy to account for this increase in variability.