THE IMPACT OF GLOBAL LIQUIDITY ON MACROECONOMIC AND FINANCIAL VARIABLES OF SELECTED SOUTHEAST ASIAN COUNTRIES: A PANEL VECTOR AUTOREGRESSION METHOD

Abstract

The level of financial openness in developed and developing countries in Southeast Asia tends to increase in line with the loosening of foreign exchange regulations and international capital flows. Capital inflows to developing countries in selected Southeast Asia (Indonesia, Malaysia, the Philippines, and Singapore) have shown an increasing trend relative to GDP since the end of the Asian crisis. The awareness of economic actors and policymakers in the Association of Southeast Asian Nations (ASEAN) countries to the vulnerability of domestic economic conditions to fluctuations in global liquidity is also increasing. We developed a method that considers the financial heterogeneity of selected Southeast Asian (SEA) countries. Our research analyzes the response of the stock price index, inflation, consumer price index, and GDP in selected SEA countries due to disturbances from global variables such as VOX, world GDP, and world liquidity. This article applies the Panel Vector Autoregression model because of the dynamics and endogeneity between variables. The panel data consists of selected SEA countries from 2003 to 2019. The results show that the shock on the VOX variable, world GDP, and world liquidity affects inflation and GDP in selected SEA. The Governments in selected SEA countries must pay attention to changes in these variables that will affect GDP and inflation in selected SEA. Trade sources and support for production input factors are needed to keep GDP and inflation in selected SEA under control.

Keywords: panel vector autoregression, global liquidity, impulse response function,cholesky decomposition

Abstrak

Tingkat keterbukaan keuangan di negara-negara maju dan berkembang di Asia Tenggara cenderung meningkat sejalan dengan melonggarnya peraturan devisa dan arus modal internasional. Aliran modal masuk ke negara-negara berkembang di Asia Tenggara (Indonesia, Malaysia, Filipina, dan Singapura) telah menunjukkan tren yang meningkat relatif terhadap PDB sejak berakhirnya krisis Asia. Sejalan dengan itu, kesadaran para pelaku ekonomi dan pembuat kebijakan di beberapa negara (Association of Southeast Asian Nations) ASEAN terhadap kerentanan kondisi ekonomi domestik terhadap fluktuasi likuiditas global juga semakin meningkat. Kami membangun metode yang mempertimbangkan keberagaman keuangan beberapa negara Asia Tenggara (SEA). Penelitian kami menganalisis response Indeks Harga Saham, inflasi, indeks harga konsumen dan GDP di beberapa negara SEA akibat gangguan dari variabel global seperti VOX, GDP dunia dan likuiditas dunia. Artikel ini menerapkan model PVAR (Panel Vector Autoregression) karena dinamika dan hubungan endogenitas antar variabel. Data panel terdiri dari beberapa negara Asia Tenggara dari tahun 2003 hingga 2019. Hasil penelitian menunjukkan bahwa shock pada variabel VOX, GDP dunia, dan likuiditas dunia memengaruhi inflasi dan GDP di beberapa negara SEA. Implikasi penelitian sangat relevan dimana terjadi perubahan yang sangat cepat mengenai likuiditas global dan VOX saat ini. Pemerintah di beberapa negara SEA harus memerhatikan perubahan pada variabel-variabel ini yang akan memengaruhi GDP dan Inflasi di beberapa negara SEA. Sumber-sumber perdagangan dan dukungan faktor input produksi sangat diperlukan untuk mempertahankan GDP dan inflasi di beberapa negara Asia Tenggara tetap terjaga.

Kata kunci: panel vector autoregression, global liquidity, impulse response function, cholesky decomposition