STUDY OF CYCLICITY AND MACROECONOMIC IMPACT ON INVEST- MENT FLOWS IN EAST JAVA
Keywords:
Capital Inflows, Macroeconomics, Business Cycle, East Java
Abstract
This paper aims to analysis the cyclicity pattern and to estimates the effect of macroeconomics indicators on capital inflows in East Java. The first analysis by using Hodrick-Prescott (HP) filter shows that capital inflows in East Java have a tendency to move in procyclical pattern. While the second by using VAR analysis shows that macroeconomics indicators are dominant factor for investors to invest their funds in East Java. Likewise, this paper indicates the pattern of capital inflows in East Java is tend to procyclical. Moreover,the macroeconomics indicators that affect capital inflows in East Java are economic growth and inflation. Based on the result, this paper suggest for local governments to synchronize the development of capital inflows together with macroeconomics conditions. Furthermore, the capital inflows can be managed properly to avoid the “surges” and “sudden stop” phenomenon.
References
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Totonchi, Jalil. “Macroeconomy Theories of Inflation”, International Conference on Economics and Finance Research, Vol. 4, 2011.
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Wardhono, Adhitya; Qori’ah, Ciplis Gema; dan Wulandari, Christina Dwi Ayu. “Studi Kesinambungan Fiskal Pada Variabel Makro Ekonomi Indonesia: Analisis VAR”, Jurnal Ekonomi Kuantitatif Terapan, Agustus 2015, 8(2), hal. 113-121.
Webster, Federick, (1999), Behavioral Customer in Marketing Relationship, 3th Edition, Princetown University Press, New Jersey.
Wehinger, Gert. “Fostering Long-Term Investment and Economic Growth”, OECD Journal: Financial Market Trends, Vol. 1, 2011.
Widarjono, Agus, (2005), Ekonometrika Pengantar dan Aplikasinya. Ekonosia, Yogyakarta.
Aizenman, Joshua dan Pasricha, Gurnain Kaur. “Why Do Emerging Markets Liberalize Capital Outflow Controls? Fiscal versus Net Capital Flow Concerns”, Journal of International Money and Finance, 2013(39), hal. 28-64.
Alesina, A dan Roubini, N. "Political Cycles and the Macroeconomics", Cambridge, The MIT Press, (1997).
Almfraji, Mohammad dan Almsafir, Mahmoud Khalid. “Foreign Direct Investment and Economic Growth Literature Review from 1994 to 2012”, Procedia-Social and Behavioral Sciences, 2014(129), hal. 206-213.
Anwer, Muhammad S. dan Sampath R. K. “Investment and Economic Growth”. Western Agricultural Economics Association Annual Meeting, 1999.
Arias, Fernando dan Parra, Daira Garrido Y. Daniel. “Do The Different Types of Capital Flows Respond to The Same Fundamentals and in The Same Degree? Recent Evidence for Emerging Markets”, XI Emerging Markets Workshop “The New Economic and Financial Landscape in The Aftermath of The Crisis, 2013.
Arsyad, Lincolin, (1999), Pengantar Perencanaan dan Pembangunan Ekonomi Daerah, BPFE. Yogyakarta.
Badan Penanaman Modal Provinsi Jawa Timur, (2012), Jatim Primadona Investasi, http://bpm.jatimprov.go.id/bpm/index.php?page=east_java_investment/, 2012.
Badan Pusat Statistik Provinsi Jawa Timur, (2015), Berita Resmi Statistik, https://jatim.bps.go.id/4dm!n/brs_ind/brsInd-20160205113804.pdf
Badan Pusat Statistik, (2013), Berita Resmi Statistik, https://www.bps.go.id/website/brs_ind/pdb_06nov13.pdf
Baharumshah, Ahmad Zubaidi dan Thanoon, Marwan Abdul Malik. “Foreign Capital Flows and Economic Growth in East Asian countries”, China Economic Review, 2006(17), hal. 70– 83.
Bank Indonesia, (2013), Laporan Perekonomian Indonesia, http://www.bi.go.id/id/publikasi/laporan-tahunan/perekonomian.pdf
Brafu, W. R. “Determinants Of Foreign Capital Flows: The Experience Of Selected Sub Saharan African Countries”, Journal Of Applied Economics, Mei 2014, 17(1), hal. 63-88.
Byrne, Joseph P. dan Fiess, Norbert. “International Capital Flows to Emerging and Developing Countries: National and Global Determinants”, Sire Discussion Paper Sire, 2011.
Cardarelli, Roberto; Elekdag, Selim; dan Kose, M. Ayhan. “Capital Inflows: Macroeconomic Implications and Policy Responses”, Economic Systems, Januari 2010(34), hal. 333–356.
Cogley, Timothi dan Nason James, B. “Effects of The Hodrick-Prescott Filter on Trend and Difference Stationary Time Series Implications for Business Cycle Research”, Journal Of Economic Dynamics and Control, 1995(19), hal. 253- 278.
Danthine, Jean Pierre dan Girardin, Michel. “Business Cycle in Switzerland: A Comparative Study”, European Economic Review, 1989(33), hal. 31-50.
Dhakal, D., Mixon, F; dan Upadhyaya, K. “Foreign Direct Investment and Transition Economies: Empirical Evidence from a Panel Data Estimator”, Economics Bulletin Vanderbilt Education, Agustus 2007, 6(33), hal. 1-9.
Drehmann, Mathias; Borio, Claudio; Gambacorta, Leonardo; Jimenez Gabriel; dan Trucharte, Carlos. “Countercyclical Capital Buffers: Exploring Options”. Bank for International Settlements Working Papers No 317, 2010.
Granger, Clive W. J. “Investigating Causal Relationship by Econometric and Cross Spectral Methods”. Econometrica, 1969(37), hal. 424-438.
Gujarati, Damodar dan Porter, Dawn, (2002), Basic Econometric, Forth Edition, The McGraw-Hill, New York:
Gujarati, Damodar dan Porter, Dawn, (2009). Dasar-Dasar Ekonometrika, Salemba Empat, Jakarta.
International Monetary Fund, (2012), Coping with High Debt and Sluggish Growth, https://www.cliclavoro.gov.it/world_economic_outlook_october_2012.pdf
Jhingnan, M. L., (2003), Ekonomi Pembangunan dan perencanaan, PT. Raja Grafindo Persada, Jakarta.
Kaminsky, Graciela L; Reinhart, Carmen M; dan Vegh, Carlos A. “When It Rain, It Pours: Procyclical Capital Flows and Macroeconomic Policies”. National Bureau of Economic Research (Macroeconomics Annual) Working Paper Vol.19, 2004.
Kawai, Masahiro dan Lamberte, Mario B. “Managing Capital Flows in Asia: Policy Issues and Challenges”. Asian Development Bank Institute’s Research Policy Brief No. 26, 2008.
Kurz, Heinz D. dan Salvadori, Neri. “Theories of Economic Growth-Old and New”, https://www.researchgate.net/publication/252313772_Theories_of_Economic _Growth_-_Old_and_New/, 2017.
Lipsey, Richard G., (1997), Pengantar Makro Ekonomi, Jilid Dua, Bina Rupa Aksara, Jakarta.
Mankiw, N. Gregory, (2006), Makroekonomi, Edisi Keenam, Erlangga, Jakarta.
Mankiw, N. Gregory, (2012), Macroeconomics, Eight Edition, Worth Publishers, New York.
Mavridis, Savvas Chr dan Vatalis, Konstantinos I. “Investment in Construction and Economic Growth in Greece”, Procedia-Economic and Finance, 2015(24), hal. 386-394.
McQueen, Grant dan Thorley, Steven. “Asymmetric Business Cycle Turning Points”, Journal of Monetary Economics, 1993(31), hal. 341-362.
Nachrowi, D., dan Usman, Harius, (2006). Ekonometrika untuk Analisis Ekonomi dan Keuangan, Lembaga Penerbit Fakultas Ekonomi Universitas Indonesia, Jakarta.
Pasricha, Gurnain Kaur. “Recent Trends in Measures to Manage Capital Flows in Emerging Economies”, North American Journal of Economics and Finance, 2012(23), hal. 286–309.
Rodrik, D. “Who Needs Capital-Account Convertibility? In Should the IMF Purse Capital-Account Convertibility?”, Princeton Essays in International Finance, 1998.
Rosadi, Dedi, (2012), Ekonometrika dan Analisis Runtun Waktu Terapan dengan Eviews, Penerbit Andi, Yogyakarta.
Sims, C.A. “Macroeconomics and Reality”. Econometrica, 1980(48), hal. 1-48.
Sutha, Ary dan I Putu Gede, (2000), Menuju Pasar Modal Modern, Cetakan Kedua, Yayasan SAD Satria Bakti, Jakarta.
Tandelilin, Eduardus, (2010), Portofolio dan Investasi: Teori dan Aplikasi, Edisi Pertama, Kanisius, Yogyakarta.
Totonchi, Jalil. “Macroeconomy Theories of Inflation”, International Conference on Economics and Finance Research, Vol. 4, 2011.
Wardhono, Adhitya, (2004), Mengenal Ekonometrika: Teori dan Aplikasi, Edisi Pertama. Universitas Jember, Jember.
Wardhono, Adhitya; Qori’ah, Ciplis Gema; dan Wulandari, Christina Dwi Ayu. “Studi Kesinambungan Fiskal Pada Variabel Makro Ekonomi Indonesia: Analisis VAR”, Jurnal Ekonomi Kuantitatif Terapan, Agustus 2015, 8(2), hal. 113-121.
Webster, Federick, (1999), Behavioral Customer in Marketing Relationship, 3th Edition, Princetown University Press, New Jersey.
Wehinger, Gert. “Fostering Long-Term Investment and Economic Growth”, OECD Journal: Financial Market Trends, Vol. 1, 2011.
Widarjono, Agus, (2005), Ekonometrika Pengantar dan Aplikasinya. Ekonosia, Yogyakarta.
Published
2017-09-30
How to Cite
Ariz Aprilia, & Wulansari, N. (2017). STUDY OF CYCLICITY AND MACROECONOMIC IMPACT ON INVEST- MENT FLOWS IN EAST JAVA. East Java Economic Journal, 1(1), 43-62. https://doi.org/10.53572/ejavec.v1i1.7
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