Mansor Jusoh, - and Mohd. Azlan Shah Zaidi, - and Rossanto Dwi Handoyo, - (2015) Impact of Monetary Policy and Fiscal Policy on Indonesian Stock Market. Expert Journal of Economics, 3 (2). pp. 113-126. ISSN 2359-7704

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Abstract

This paper attempts to investigate the effect of fiscal and monetary policy on Indonesian Stock price as well as main sectors stock price such as agricultural, mining, manufacture, and financial sector indexes. We consider the world oil price as a foreign variable that will influence domestic economy as in regular small open economy model. In this paper, we employ the Monte Carlo algorithm to Near-SVAR models (If some of the VAR equations have regressors not included in the others). We find that there is a positive stock price response to monetary policy shock both aggregated and sectoral stock price. In term of interaction between fiscal policy shock and stock market, we find that all sectors respond negative relationship. From this empirical finding, fiscal policy crowd out private sector activity in market, thus, its effect will be impotent in economy. We also provide the evidence that not only both policies are able to influence the stock price individually, but also the interaction between monetary and fiscal policy is important in explaining stock market performance.

Item Type:	Article
Uncontrolled Keywords:	fiscal policy, impulses response, monetary policy, Monte Carlo SVAR model, stock price
Subjects:	H Social Sciences H Social Sciences > HG Finance H Social Sciences > HG Finance > HG3810-4000 Foreign exchange. International finance. International monetary system
Divisions:	04. Fakultas Ekonomi dan Bisnis > Magister Ilmu Ekonomi
Creators:	Creators NIM Mansor Jusoh, - UNSPECIFIED Mohd. Azlan Shah Zaidi, - UNSPECIFIED Rossanto Dwi Handoyo, - NIDN0024087602
Depositing User:	Tn Sugeng Riyanto
Date Deposited:	24 Aug 2022 01:33
Last Modified:	19 Oct 2022 03:25
URI:	http://repository.unair.ac.id/id/eprint/117647
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