Hubungan Antara Perkembangan Sektor Keuangan dengan Volatilitas Ekonomi di Indonesia
The causality test is done using Granger-causality test. If the estimated variables are not stationary, yet cointegrated, thus the causality test will be in Error Correction Model (ECM). If the estimated variables are neither stationary nor cointegrated, thus the causality test will use all variables in the ffirst difference. The result shows that there is a Granger-causality in the short run from financial development to the economic volatility when the ratio of broad money and the ratio of banking credit to GDP are used. Meanwhile, when the ratio of demand deposit to narrow money is used, there is no granger-causality relationship between financial sector development and economic volatility.
Keywords: GARCH, financial sector development, economic volatility, granger causality.
Metrics powered by PLOS ALM
Economic Journal of Emerging Markets (EJEM)
ISSN 2086-3128 (print), ISSN 2502-180X (online)
Center for Economic Studies, Department of Economics,
Universitas Islam Indonesia, Indonesia.
EJEM by http://journal.uii.ac.id/index.php/JEP/ is licensed under a Creative Commons Attribution 4.0 International License.