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Understanding Indonesia’S Macroeconomic Data: What Do We Know And What Are The Implications?

Author

Listed:
  • Susan Sunila Sharma

    (Deakin Business School)

  • Lutzardo Tobing

    (Bank Indonesia)

  • Prayudhi Azwar

    (Bank Indonesia)

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.

Suggested Citation

  • Susan Sunila Sharma & Lutzardo Tobing & Prayudhi Azwar, 2018. "Understanding Indonesia’S Macroeconomic Data: What Do We Know And What Are The Implications?," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 21(2), pages 217-250, October.
    • Handle: RePEc:idn:journl:v:21:y:2018:i:2:p:217-250
    DOI: https://doi.org/10.21098/bemp.v21i2.967
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    More about this item

    Keywords

    Unit root; Macroeconomic data; Structural breaks; Shocks; Econometric Modeling;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E1 - Macroeconomics and Monetary Economics - - General Aggregative Models

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