One of the advantages to analyze the economic links between two countries on the basis of stock market data, rather than aggregate economic data published by national statistical offices, is that stock market data are readily available, allowing analysis in almost real time. We consider a...

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To identify the impact of external shock focusing on research exchange rate volatility on banking industry, micro level. This important since the response of individual Bank may vary: and as well as their strategy from monetary authority perspective this research can provide a more precise...

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Bank runs and banking crises have become global phenomena occurring repeatedly in both developed and developing countries during the last few decades. Bank runs and banking crises have increased since financial liberalization in the 1980?s and 1990?s (Davis and Karim, 2007). In Indonesia, bank...

The standard vector error correction (VEC) model assumes the iid normal distribution of disturbance term in the model. This paper extends this assumption to include GARCH process. We call this model as VEC-GARCH model. However as the number of parameters in a VEC-GARCH model is large, the...

A well-functioning financial system is necessary for an effective monetary policy transmission. Simultaneously, monetary policy can also influence financial system stability through its effect on financial condition and behavior of the financial market. Changes in policy rate will have an effect...