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

Susan Sunila Sharma (), Lutzardo Tobing and Prayudhi Azwar ()
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Susan Sunila Sharma: Deakin Business School
Lutzardo Tobing: Bank Indonesia
Prayudhi Azwar: Bank Indonesia

Bulletin of Monetary Economics and Banking, 2018, vol. 21, issue 2, 217-250

Abstract: 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.

Keywords: Unit root; Macroeconomic data; Structural breaks; Shocks; Econometric Modeling (search for similar items in EconPapers)
JEL-codes: C5 E1 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:21:y:2018:i:2:p:217-250

DOI: 10.21098/bemp.v21i2.967

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