Variable Interest Rate Research Articles

Estimation of the unemployment rate in Turkey: A comparison of the ARIMA and machine learning models including Covid-19 pandemic periods

The article focuses on analyzing the robustness of Auto Regressive Integrated Moving Average (ARIMA) and Artificial Neural Networks (ANN) methods in unemployment rate estimation. In this context, a stochastic trend in the unemployment rate was determined by using monthly data in Turkey. The oil price, real exchange rate, interest rate and unemployment rate variables are imported into the ARIMA and ANN models with 176 data samples for the period of 01.01.2008-31.08.2022. The results of the conventional linear ARIMA and nonlinear ANN regressor models are compared. The comparison results show that the ARMA (2,1) model is the most suitable model for the unemployment rate estimation. This conclusion was reached based on ARMA (2,1) and ANN's RMSE, MAE, MAPE and R2 parameters. From the results of the specified criteria, it was found that both models gave results close to the actual unemployment rate however ARMA (2,1) was the more appropriate model for the current data set. The actual unemployment data and the estimated values are also given verifying the better modeling of the developed ARMA (2,1) model. In addition, there are meaningful relationships between month variables and the employment rate. This result supports that the unemployment possesses chronic reasons in Turkey. On the other side, the unemployment rate forecasting error of the ARMA (2,1) is higher than the ANN model for the 2020–2021 period during the intense pandemic. This result is important because it shows that during the times of the economic uncertainty caused by the Covid-19 pandemic, forecasts employing the neural network model is observed to have lower errors than the results of autoregressive moving average model. Therefore, under an economic uncertainty, it is shown that modeling the unemployment rate using artificial neural network provides novel insights for economic forecasting.

The optimization of continuous discount function through the continuous yield curve trajectories involving the parsimonious Nelson-siegel model

Yield curves which explain the variation in interest rates over varying maturities, provide important indicators with potentially useful implications on the investment choices, risk management strategies of financial institutions and fiscal policies of regulators. Accurately estimating the parsimonious parameters of the yield curve and modelling the discount function is highly important. The continuous forward rate function is a transformed discount function as a numerical device employed to obtain the price of a collection of bonds since the present value of a set of cash flows is computed by finding the product of these cash flows and the associated discount function. Nigeria’s bond market representing a major segment of the capital market and an important means of monetary transmission framework has suffered continuous liquidity problems. The lack of functional capital market instruments in form of government bonds has accounted for the poor performance of bond market. Consequently, this study intends to (i) Compute the discount function and (ii) Show its applications on life insurance offerings. This study analysed the term structure of interest rates using the Nigerian Eurobond which was collected for the years 2018 and 2019 from which the discount functions were constructed by adopting the continuous Nelson Siegel continuous function. A t-test conducted on the adjusted R2 on the model using Ordinary Least Square method after fixing the shape parameters was applied after computing the exponentially decaying factor. Computational evidence from the results reveals that the adjusted 𝑅square for 2018 and 2019 are 0.976and respectively0.986. This indicates that 97.6%of 2018 and 98.6% of the observed data can be explained by the Nelson-Siegel model of data using the estimated parameters for the two years and hence the result suggests a high level of accuracy confirming the degree to which the Nelson-Siegel yield curve parameters has estimated the illiquid Nigerian financial market.

Pengaruh Harga Minyak dan Suku Bunga Terhadap Harga Saham Sub Sektor Makanan Minuman di BEI

This study aims to analyze the effect of oil prices and interest rates on stock prices of manufacturing companies in the food and beverage sub-sector listed on the IDX. The study uses quantitative research methods which are carried out through data collection with secondary data, the population is the Financial Statements of food and beverage manufacturing companies listed on the Indonesia Stock Exchange (IDX) for the 2016-2021 period. The sample in this study is in the form of balance sheets and profit/loss reports for manufacturing companies in the food and beverage sector listed on the Indonesia Stock Exchange (IDX) for the 2016-2021 period, data analysis using multiple Linear Regression statistical methods and hypothesis testing. The results show that 1) The oil price variable has no effect on the stock price of manufacturing companies in the food and beverage sub-sector listed on the Indonesia Stock Exchange (IDX) for the period 2017-2021 2) The interest rate variable has an effect on stock prices in manufacturing companies in the food and beverage sub-sector. beverages listed on the Indonesia Stock Exchange (IDX) for the period 2017-2021

The Impact of a Cashless Payment System on Inflation

The rise of transactions without using money or what is commonly referred to as cashless transactions. Cashless transactions have several advantages, namely, functional, effortless, and quick. In addition, cashless transactions get an impact on monetary policy in Indonesia. The convenience obtained when conducting cashless transactions results in the acceleration of the velocity of money. Although the number of cash transactions in the community has decreased, the rate of money creates a high intensity with the use of cashless transactions. If the power of money circulation is high, it is feared that it will cause inflationary effects. This study aims to determine the impact of the cashless payment system on inflation. A quantitative approach was used in this study with secondary data which in the source obtained through documentation techniques obtained from Bank Indonesia (BI) and the Central Statistics Agency (BPS). from January 2009 until December 2020. The analysis technique uses multiple linear regression analysis. The results showed that the electronic-money variables had a significant negative effect, the debit card variables had a significant positive impact, the credit card variables had an insignificant negative effect, and the interest rate variables had a significant positive impact.

Covid-19 Pandemi Döneminde Makroekonomik Değişkenlerin Konut Piyasasına Etkisi

Konut piyasası barınma ihtiyacını giderme dışında önemli bir yatırım aracı olarak dikkat çekmektedir. Dünya ekonomisini derinden sarsan Covid-19 pandemisi birçok sektörü olduğu gibi konut piyasasını da etkilemiştir. Bu çerçevede çalışmanın amacı Türkiye’de Covid-19 pandemi döneminde makroekonomik faktörlerin konut piyasasına olan etkisini incelemektir. Çalışmada konut piyasasının göstergesi olarak toplam konut satışı ele alınmıştır. Konut piyasasını etkileyen makroekonomik faktörler olarak ise TÜFE, reel efektif döviz kuru, tahvil faizi, konut kredi faizi, BİST100, altın fiyatları ve istihdam oranı değişkenleri kullanılmıştır. Değişkenlerin durağanlık dereceleri için ADF ve PP birim kök testleri yapılmıştır. Ardından ARDL Sınır Testi yöntemi ile değişkenler arasındaki kısa ve uzun dönem etki incelenmiştir. Elde edilen bulgulara göre Covid-19 pandemi döneminde TÜFE, konut kredi faizi ve altın fiyatları toplam konut satışını negatif etkilerken; tahvil faizi, BİST100 ve istihdam oranı ise pozitif etkilemektedir. Reel efektif döviz kurunun ise anlamlı bir etkisinin olmadığı sonucuna ulaşılmıştır.

Зарубіжний досвід використання муніципальних фінансових інструментів

The municipalities and united territorial communities of Ukraine after the Russian aggression have a huge deficit of financial resources to reconstruct all the destruction caused to the infrastructure. One of the possible ways to obtain funding is to attract private resources. The best practices of other states show that it is possible through the municipal financial instruments, particularly the municipal debt securities. The purpose of the article is to analyze the best practices of attracting financial resources by the municipalities and territorial communities and establish the most efficient financial instruments for Ukraine. It was determined that the municipalities use several mechanisms to attract additional funding and they are evolving continuously. Depending on the purpose for the allocation of the resources and financial health of the territorial community the local authorities choose the best and the most cost-efficient way to issue the debt securities and determine their nominal value, maturity, coupon interest rate and backing. It was established that the maturity and the type of the coupon interest rates depend heavily on the economic situation in general and the volatility on the capital markets, so the local authorities prefer to issue short and medium-term securities with the variable interest rates. For the capital projects the municipalities tend to issue revenue bonds. It was substantiated that for Ukraine it is preferable to issue medium term revenue bonds as they do not require the international credit rating and depend on the quality and efficiency of the investment project they are to finance. The service of the debt is at the cost of the revenues from the project so it is not an additional burden for the limited local budget resources.

Pengaruh tingkat suku bunga kredit terhadap permintaan kredit usaha produktif Koperasi Credit Union Sauan Sibarrung Kabupaten Tana Toraja

This study aims to determine the effect of credit interest rates on the demand for productive business credit of the Sauan Sibarrung Credit Union Cooperative, Tana Toraja Regency. The data analysis method used is descriptive quantitative using a credit report that contains the loan amount based on the credit interest rate at the Sauan Sibarrung CU Cooperative. The analytical technique used is simple linear regression analysis and significance test using the SPSS version 26 program. Based on the results of calculations with the t test on the loan interest rate variable, the results of t count (-2,3) < t table (3.182), so it can be concluded that the loan interest rate variable has no effect on the demand for productive business loans at the Sauan Sibarrung Credit Union Cooperative, Tana Toraja Regency. From the results of the Coefficient of Determination, it shows that 65.2% of the loan interest rate affects the demand for productive business loans while 34.8% is influenced by other variables not included in the study, while the correlation between the interest rate variable and the demand for productive business loans is 0.807, which means strong relationship between variables.

Analysis of the Factors Influencing Credit Distribution at PT. Bank BTN (Persero) Tbk. Medan Branch Office

The formulation of the problem in this study is how to influence Third Party Funds (DPK), Return on Assets (ROA) and interest rates on lending at PT. Bank BTN (Persero) Tbk. Medan Branch Office. While the objective of this research is to analyze the effect of third party funds (DPK), Return on Assets (ROA) and interest rates on lending at PT. Bank BTN (Persero) Tbk. Medan Branch Office either partially or simultaneously. The data source in this study is the 2012-2016 financial reports. The data analysis technique used was multiple linear regression using the SPSS version 17.0 program. The results showed that the t-count value for the DPK variable (X1) (13.112) > (12.706) or (0.048) < (0.05), partially DPK has a positive and significant effect on LDR. The t-count value for the variable ROA (X2) (11.659) < (12.706) or (0.054) > (0.05), partially ROA has no positive and significant effect on LDR. The t-count value for the variable interest rate (X3) (13.152) > (12.706) or (0.048) < (0.05), partially the interest rate has a positive and significant effect on LDR. Simultaneously the DPK, ROA and interest rate variables have a significant effect on LDR at PT. State Savings Bank (Persero) Tbk. Medan Branch (Fcount > Ftable (75.504 > 19.16) or sig F <5% (0.084 > 0.05).

Dampak Covid 19 Terhadap Perubahan Harga Saham Perbankan di Indonesia Sebelum dan Saat Pandemi

Abstract: Purpose: Aims of this research to examine the differences among internal and external factors that affect stock prices before and during the Covid-19 pandemic. Methodology: Research methods uses a quantitative approach method, obtained as many as 18 banks registered at IDX for 2016-2021. Data were processed using the Wilxocon sign test and the paired sample t test using SPSS software. Results: The results show a significant difference, during a pandemic ROA decreased by 1.3%, ROE decreased by 1.91%. Hypothesis testing using paired sample t test on the DER, exchange rate, and interest rates variables show significant differences before and during the Covid-19 pandemic. During the pandemic, DER increased by 0.03%, the exchange rate decreased by 0.02%, and interest rates decreased by 0.13%. Limitations: This research found that there was an influence on banking stock prices before and during the pandemic, as well as significant differences in stock prices. This research is also limited by using a sample of 19 companies in the banking sector that are listed on the IDX. Contribution: This research is expected to be input for banks in managing stocks properly and considering the Covid-19 pandemic. Research contribution to the field of science through the management of stock prices before and during the pandemic. Keywords: 1. ROA 2. ROE 3. DER 4. Rupiah Exchange Rate 5. Interest Rate 6. Stock Price

Optimizing Monetary Policy Transmission Through The Emerging Market Interest Rate Channel

Research using the ARDL Panel Model includes Inflation, Gross Domestic Product, Total Money Supply, Exchange Rates, Consumption, Investment, and Interest Rate in Asia's Three Emerging Markets namely India, China, and Indonesia which aims to boost the economy. This study uses secondary data with a quantitative research type using ARDL Panel Regression, the software used is Eviews 10 with cross-section data for 3 Emerging Market Countries, namely India, China, and Indonesia time series data for 2001-2020. The research results show that Exchange Rates, Investments, and Interest Rates can also be leading indicators to support price stability in Indonesia, China, and India, but their positions are unstable in the long run and short run. The main leading indicator in optimizing the variables in controlling price stability in the Three Emerging Markets Asia is Consumption seen from the stability of the short run and long run, where the long-term and short-term interest rate variables are significant in controlling price stability.
 

An economic price based demand response using overlapping generation model in distribution systems

Demand response (DR) is a conducive phenomenon to enable interaction between the supplier and customers in the power system. It is usually described through DR models. However, modeling the customer’s response in DR is a complex and rigorous approach. It requires a sophisticated model to generalize their load behavior. Hence, a price-based DR model using a microeconomics behavioral framework known as Overlapping Generation (OLG) is proposed to represent the customer’s load behavior with minimal parameters. OLG is a multi-state, discrete time-variant model, and changes its consumption with the variation in interest rate, and a degree of risk-aversion. These characteristics in DR are envisioned through a change in the relative price of the different periods and customer’s willingness, respectively. Further, load recovery in DR is deduced using human altruistic behavior. The proposed model is investigated on 33-bus and Indian 108-bus distribution systems and is compared with the existing DR models. Numerical results show the adequacy of the proposed model to represent the customer’s load behavior appropriately. • An economic PBDR using three-state Overlapping Generation model is proposed. • It models the customer’ behavior using the minimal parameters in DR. • A fuzzy inference system is developed to define the customer’s willingness in DR. • A class-wise DR analysis is performed to assess the impact of DR.

Dynamic analysis of the determinants of long-term microfinance interest rates: Macro and micro factors.

A recent increase in interest rates has raised doubts about the stability of micro-finance institutions (MFI) A recent increase in interest rates has raised doubts about the stability of MFI in many countries. This has compelled governments to consider some MFI practices unethical. This paper studies the MFI interest rates by using a dynamic panel method to identify the determining factors of the viability, financial, and social execution of microfinance firms. The research shows that the long-term interest rate evolution depends on the anticipation of loan loss rates (LLR), profit, or macroeconomic factors like inflation and the short-term current interest rate. The Study used database of 897 microfinance institutions in 106 countries and six geographic regions with a representative sample size of 5,075 observations between 2008 and 2020. The external factors considered are the market structure (Competition), economics (inflation), cultural and technological political conditions, and banking regulations in effect (regulation). Financial costs, operational costs, the write-off rate, and the average size of the loan are the most important determinant factors in MFI interest rate fluctuations. The research find that other factors like gender, legal status, and regulations also contribute to the MFI interest rate variation. The research also discovered that there is a threshold effect in the relationship between women borrowers (WB) and the interest rate. Another important finding of this study is that MFIs do not anticipate inflation in the definition of the interest rate. From an institutional point of view, it is necessary to promote competition, as the study shows that well-regulated competition helps to keep interest rates at a reasonable level.

PENGARUH HARGA MINYAK DUNIA, KESTABILAN POLITIK DAN SUKU BUNGA TERHADAP NILAI TUKAR DI INDONESIA

This study discusses the relationship between world oil prices, political stability and interest rates on exchange rates in Indonesia which is analyzed using monthly time series data for 2010-2020 and processed using the E-Views application and tested with multiple linear regression. After research, it was found that world oil prices have a negative and significant effect on the exchange rate, political stability has a positive and significant effect on the exchange rate, while interest rates have no significant relationship with the exchange rate. Meanwhile, based on the results of the tests carried out, the variables of world oil prices, political stability and interest rates have a proportion of 56% in explaining the exchange rate as the dependent variable, while the remaining 44% is influenced by other variables outside of this research variable. Investors and international economic actors must be able to paying attention to world oil prices and political stability in predicting changes in exchange rates. The government as a policy maker have to maintain crude oil supplies, maintain political stability, and control interest rates to maintain exchange rates stability

THE EFFECT OF FINANCIAL DEEPENING, FOREIGN DIRECT INVESTMENT, AND INTEREST RATES ON ECONOMIC GROWTH IN INDONESIA

Economic growth determines the extent to which the activities of the economy are able to manifest additional income and sustainable economic development. Therefore, it cannot be separated from the existence of the financial sector, foreign direct investment, and interest rates for the economy. This study aims to determine the effect of financial deepening, foreign direct investment, and interest rates on economic growth in Indonesia in 1988-2020. Empirically, this study uses time series data with the Error Correction Model Engle-Granger (ECM-EG) method. The results show that financial deepening, FDI, and interest rates have a significant effect on economic growth. The variables of FDI and interest rates have a positive and significant effect on economic growth, while financial deepening has a negative and significant effect on economic growth. Likewise, national economic policies must be directed at maintaining overall economic activity and achieving sustainable growth.

Analyzing Indonesia’s Inflation in 1998-2020: Error Correction Model Approach

Inflation is a macroeconomic problem that is of concern, unstable inflation has a negative impact on people's welfare, so inflation control is important. The purpose of this study is to estimate the factors that influence inflation in Indonesia for the period 1998-2020. The research method uses descriptive analysis by providing an overview of the development of inflation, interest rates, exchange rates, household consumption, and GDP in Indonesia during 1998-2020. Quantitative analysis using Error Correction Model (ECM). This study uses secondary data from the Central Statistics Agency (BPS) and Bank Indonesia (BI). The results obtained indicate that all variables (interest rates, exchange rates, household consumption and GDP) simultaneously have a significant effect on inflation, both in the long and short term. Based on the results of the partial test, the interest rate variable has a positive and significant effect on inflation in Indonesia both in the long and short term. The exchange rate variable partially has a negative and significant effect on inflation in Indonesia, both in the long and short term. Furthermore, the GDP variable partially has a positive and significant effect on inflation in the long term but not significant in the short term. Meanwhile, the household consumption variable partially has no significant effect on inflation in Indonesia during the 1998-2020 period.

Quantitative impact assessment of temperature on the economics of a rooftop solar photovoltaic system.

This paper analyzes the economics of a grid-interactive rooftop solar photovoltaic (PV) system and the impact of the temperature on it. The analysis related to energy metrics, lifecycle costing, and environmental economics was performed considering the PV system's life as 30years. The system economics is also compared at different conditions like theoretical, temperature-corrected, and real electricity generation data. The parameters like energy payback time (EPBT), energy return on energy invested (EROI), and lifecycle conversion efficiency are determined as 5.95years, 5.04, and 0.078, respectively, based on actual generation. The unit electricity cost of the rooftop PV system was estimated as INR 5.37 at the 5% interest rate. The electricity cost varies with the interest rate variation and operation system life. The results show a reduction in overall economic performance on the increase in module temperature. The effect of temperature on the economics of the system is presented in terms of the per degree rise of module temperature. One degree increase of module temperature 8.5days in EPBT of the PV system increases, and INR 0.021 increases in the unit cost of electricity considering a reference temperature 25°C. A PV system has environmental benefits by reducing greenhouse gas emissions, which are also affected by the rise of module temperature. The system lost INR 355.93 in carbon credits at an increase of one-degree module temperature.

PENGARUH SUKU BUNGA, KURS, INFLASI, VOLUME TRANSAKSI, DAN PELANGGAN TERHADAP HARGA SAHAM

The Covid-19 pandemic has made many changes, especially in the world's economy and stock market conditions. So this study is intended to examine whether or not the influence of interest rates, exchange rates, inflation, transaction volume, and the number of customers on stock prices in operator companies in six countries with the most internet users in the world during pandemic. This research is quantitative research with a linear regression method which data collection is obtained through several pages needed in research. The collected data were then processed and tested through classical assumption tests (normality test, multicollinearity test, heteroscedasticity test, autocorrelation test) and hypothesis testing with linear regression analysis and coefficient of determination. The test in this research uses an econometric application program, E-views version 10. The results of this research showed that the exchange rate (X2) and transaction volume (X4) have no effect on stock prices (Y), and the interest rate variable (X1) has a negative effect and significant to the stock price (Y), while the inflation variable (X3) and the number of customers partially have a positive and significant effect on stock prices (Y). Simultaneously, the variable interest rate (X1), exchange rate (X2), inflation (X3), transaction volume (X4), and the number of customers (X5) affect stock prices (Y) by 97%, while the remaining 3% is affected by other variables outside the model adopted in this research.

Pengaruh Tingkat Bunga, Nilai Kurs, Kebijakan Dividen, dan Inflasi terhadap Return Saham Perusahaan Perbankan:


 Stock Return is the value obtained as a result of investment activities. The expected return is in the form of dividends for stock investments and interest income for investments. Return is the main goal of investors to get results from investments made by investors. Therefore, to be able to find out how much return will be obtained by investors, investors need to predict in order to find out how much return they will get. interest, exchange rate, dividend policy, and inflation on stock returns of banking companies on the IDX in 2016-2020. The sample in this study is 11 banking companies. Purposive sampling method is the method used to determine the sample of this research. The analytical method used is descriptive test, classical assumption test, and multiple regression analysis test using the SPSS application. The results of this study show that the interest rate and exchange rate variables have a positive effect, while dividend and inflation policies have a negative effect on stock returns.
 Keywords: the effect of interest rates, exchange rates, dividend policy, and stock inflation

How do variations in dollar exchange rate impact food commodity prices in Africa?

Aim: Commodity exporting nations have significant terms of trade swings, making their actual exchange rate unstable. This study looked at how variations in dollar exchange rate affected food commodity prices in Africa between 1990 and 2021.
 Design/Research methods: The study conducted GARCH analysis for ascertaining prevalence of volatilities of exchange rates and interest rates respectively in selected African countries. Also, we estimated both static and dynamic analysis driven by panel least squares and generalized method of moments (GMM) estimators on panel data from some commodity-exporting African, namely, Ghana, Gabon, Tunisia, Nigeria, and South Africa.
 Findings: The dynamic GMM results reveal exchange rate and interest rate variations taken together had positive effects on commodity prices. GARCH estimates demonstrate significant volatility growth using both normal and t multivariate distributions. However, based on empirical findings, t-distribution had largest maximized log-likelihood of -8920.1 and also had a satisfactory df of 26.82 (<30). The results demonstrate that the Nigerian Naira had highest coefficient of volatility of approximately 71.2%. This was followed by the Ghanaian Cedi with a negative volatility rate of 71% and the South African rand with a coefficient of 65%. However, while all countries had negative volatility with respect to interest rate, all countries except Ghana had positive volatility in exchange rate of their currency. Ghana, Gabon, Tunisia, and Nigeria showed negative exchange rate volatility. A possible explanation for this high volatilities in the aforementioned countries is persistent domestic inflation.
 Originality: The originality is rooted on establishment of food prices having some positive relation with pervasive exchange rate shocks. This is an indication of adverse effects of downward adjustment of exchange rate of local African currencies vis-à-vis the US dollar on food prices in the African countries covered in the study.
 Contributions: The contribution of the study lies on its explanation of the increase of food commodity prices due to variability calculated in terms of depreciation in dollar exchange rate. Empirically, it is a confirmation of a significant structural problem, exchange rate variation as a cause of domestic inflation in selected African countries.
 Limitations: Results have to be interpreted with care due to the small sample size. The results are rather a working hypothesis for future research.
 JEL: A20, F46, G20

Effectiveness of the Asset Price Channel as a Monetary Policy Transmission Mechanism in Malawi: Evidence from Time Series Data

This paper first, investigates the responsiveness of stock prices to changes in interest rates in Malawi, a low-income country in sub-Saharan Africa. Secondly, determines whether Gross Domestic Product of such economies respond significantly to changes in stock prices. Time series data from January 2001 to December 2019 are utilised. Unit root tests indicate that each variable is integrated of order one and the Johansen test for cointegration reveal that the variables are cointegrated, with one cointegrating equation. Therefore, a vector error correction model has been adopted to investigate the short and long-run dynamic relationship among the variables. Results of Granger causality tests and impulse response analysis indicate that stock prices do respond to changes in interest rates. Moreover, Gross Domestic Product also responds to changes in stock prices. Thus, contrary to previous studies, this paper finds that an asset price channel operating through stock prices exists in Malawi. More specifically, this study finds that variations in interest rates cause significant changes in stock prices which in turn cause changes in Gross Domestic Product. Among others, the study recommends that the monetary authorities should raise public awareness on investment opportunities available in stock markets.