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UNDERSTANDING INDONESIA’S MACROECONOMIC DATA: WHAT DO WE KNOW AND WHAT ARE THE IMPLICATIONS?

journal contribution
posted on 2018-10-01, 00:00 authored by Susan SharmaSusan Sharma, Lutzardo Tobing, Prayudhi Azwar
Unit root properties of macroeconomic data are important for both econometric modeling and policymaking. The form of variables (whether they are a unit root process) helps determine the correct econometric model. Equally, the form of variables helps explain how they react to shocks (both internal and external). Macroeconomic time-series data are often at the forefront of shock analysis and econometric modeling. There is a growing research emphasis on Indonesia using time-series data; yet, there is limited understanding of the data characteristics and shock response of these data. Using an extensive dataset comprising 33 macroeconomic time-series variables, we provide an informative empirical analysis of unit root properties of this data. We find that, regardless of data frequency, empirical evidence of unit roots is mixed. Some data series respond quickly to shocks while others take more time. Almost all macroeconomic data suffer from structural breaks. We draw implications from these findings.

History

Journal

Bulletin of Monetary Economics and Banking

Volume

21

Issue

2

Pagination

217 - 250

Publisher

Bank Indonesia

Location

Jakarta, Indonesia

eISSN

1873-1295

Language

eng

Publication classification

CN.1 Other journal article; C Journal article

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