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"The 1997-1999 currency crises series was a major shock to Indonesian economy. The crises had damaged Indonesian economy, since economic growth declined sharply and Indonesian banking system was in collapse. Should the monetary authority and business practitioners anticipated the currency crises, the social loss caused by it could be reduced. Learning from past mistakes, an early warning system to predict the possibility of currency crises occurrence in the near future is needed.This study applies the leading indicator approach to construct early warning system of currency crisis for Indonesia, both by using individual and composite leading indicators. A currency crises in this study is defined as any observation of exchange market pressure {EMI') over EMPs mean plus one time of EMPs standard deviation. Meanwhile, the threshold level for indicator's signal issuance is set to leave 20% best observations. Each indicator's performance is measured by using three criteria: (I) percentage of correctly called crises; (2) adjusted noise to signal ratio; and (3) probability of crisis following a signal.Results from this study show that there are five best individual indicators that can fulfil all of the criteria: (1) Rupiah REER misalignment over its trend value; (2) Deposit Money Banks' foreign assets growth; (3) financial account surplus; (4) base money growth; and (5) financial account surplus to GDP ratio. From the best individual indicators, 17 best composite indicators can be constructed. The first best composite indicator is the "VW', which is a direct combination of "Rupiah REER misalignment over its trend" and "Deposit Money Banks' foreign assets growth"."

"[ABSTRAKKrisis rupiah di tahun 1997-1999 adalah gejolak besar bagi ekonomi Indonesia dimana pertumbuhan ekonomi anjlok, sistem perbankan lumpuh, diikuti dengan konsekuensi sosial dan politik yang pahit. Diyakini jika otoritas moneter daan pembuat kebijakan lainnya dapat mengantisipasi krisis tersebut, segala konsekuensi yang tidak diinginkan tersebut dapat dikurangi dan mungkin dihindari.Sistem pendeteksian dini untuk krisis rupiah diharapkan dapat memberi waktu para pembuat kebijakan untuk mengantisipasi datangnya krisis. Namun salah satu faktor sukses yang kritikal dalam pembentukan sistem tersebut adalah seleksi indikator.Penelitian ini menerapkan Indication & Warning Intelligence (I&W)untuk sistem pendeteksian dini krisis rupiah dengan produk akhir berupa set indikator yang dianggap efektif memprediksi krisis rupiah. Dengan I&W diseleksi lima indikator, yang selanjutnya diuji keefektifannya dengan metode regresi logit, yang menyatakan bahwa terdapat tiga indikator yang dapat memprediksi krisis rupiah secara signifikan yang adalah: 1) Real Effective Exchange Rate, 2) Deposit Money Bank?s Foreign Asset Growth, dan 3) Inflasi.

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ABSTRACTCurrency crisis in Indonesia that took place in 1997-1999 was a major shock to the economy which plunge the growth, collapse the banking system with its bitter social and political consequences. It is acknowledged that if the monetary authority could anticipate such shock, the result would not be as devastating, it could be far lessen, and hopefully avoided.Early warning system for currency crisis is crucial for policy makers to anticipate the coming crisis with enough preparation. One of the most important factor in framing that system is indicators selection.This research apply Indication & Warning Intelligence (I&W) to early warning system of rupiah crisis with indicator set as its end product. With I&W five indicators are selected, which underwent further significance test with logistic regression method. This method results in three indicators being the most effective in predicting rupiah crisis, namely: 1) Real Effective Exchange Rate, 2) Deposit Money Bank?s Foreign Asset Growth, and 3) Inflation.;Currency crisis in Indonesia that took place in 1997-1999 was a major shock to the economy which plunge the growth, collapse the banking system with its bitter social and political consequences. It is acknowledged that if the monetary authority could anticipate such shock, the result would not be as devastating, it could be far lessen, and hopefully avoided.Early warning system for currency crisis is crucial for policy makers to anticipate the coming crisis with enough preparation. One of the most important factor in framing that system is indicators selection.This research apply Indication & Warning Intelligence (I&W) to early warning system of rupiah crisis with indicator set as its end product. With I&W five indicators are selected, which underwent further significance test with logistic regression method. This method results in three indicators being the most effective in predicting rupiah crisis, namely: 1) Real Effective Exchange Rate, 2) Deposit Money Bank’s Foreign Asset Growth, and 3) Inflation., Currency crisis in Indonesia that took place in 1997-1999 was a major shock to the economy which plunge the growth, collapse the banking system with its bitter social and political consequences. It is acknowledged that if the monetary authority could anticipate such shock, the result would not be as devastating, it could be far lessen, and hopefully avoided.Early warning system for currency crisis is crucial for policy makers to anticipate the coming crisis with enough preparation. One of the most important factor in framing that system is indicators selection.This research apply Indication & Warning Intelligence (I&W) to early warning system of rupiah crisis with indicator set as its end product. With I&W five indicators are selected, which underwent further significance test with logistic regression method. This method results in three indicators being the most effective in predicting rupiah crisis, namely: 1) Real Effective Exchange Rate, 2) Deposit Money Bank’s Foreign Asset Growth, and 3) Inflation.]"

"Penelitian ini berfokus untuk membangun sistem peringatan dini bagi krisis nilai tukar dan krisis perbankan di Indonesia. Tujuan tersebut dicapai dengan menemukan indikator penentu bagi setiap kasus krisis dengan membandingkan dua pendekatan, yakni estimasi multivariat logit dan ekstraksi sinyal. Output dari kedua pendekatan akan menjadi indikator penentu bagi sistem peringatan dini di Indonesia. Studi ini menggunakan data kuartal Indonesia periode 1990-2010. Penelitian ini menemukan bahwa pertumbuhan cadangan devisa, rasio M2 terhadap cadangan devisa, dan pertumbuhan M2 sebagai indikator penentu untuk krisis nilai tukar serta nilai tukar riil, rasio neraca berjalan terhadap PDB, dan deposito bank komersial sebagai indikator penentu untuk krisis perbankan.

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This study focuses on developing early warning system for currency crises and banking crises in Indonesia. It is achieved by determining leading indicators for each case of crises and comparing two approaches, i.e. multivariate logit estimation and signal extraction. Outcomes from both approaches will be joined into the set of leading indicators for early warning system in Indonesia. This study uses quarterly data for Indonesia in the period of 1990 until 2010. It is found that growth of foreign reserves, M2 to foreign reserves ratio, and growth of M2 are leading indicators for currency crises and real exchange rate, current account to GDP ratio, and commercial bank deposits are leading indicators for banking crises."

"ABSTRAKKrisis Keuangan Asia (AFC) 1997-98 dan Krisis Keuangan Global (GFC) 2008 telah mendorong turbulensi ekonomi dan mata uang negara-negara ASEAN-5. Fenomena ini meningkatkan kerentanan fundamental ekonomi makro dan memicu peneliti untuk membangun Indikator Peringatan Dini (EWI) sebagai alat untuk mencegah terjadinya krisis mata uang. Skripsi ini akan membandingkan 9 perilaku indikator ekonomi makro dari sektor domestik, eksternal, dan kerentanan moneter dan keuangan di negara-negara ASEAN-5 yang meningkatkan kemungkinan krisis mata uang terjadi, menggunakan matriks ERPD dan regresi logit biner pada periode AFC dan GFC. Hasil penelitian menunjukkan variabel sektor eksternal signifikan dalam meningkatkan kemungkinan krisis mata uang terjadi di negara-negara ASEAN-5 selama periode AFC dan GFC. Rasio impor terhadap cadangan devisa adalah indikator yang paling signifikan dan memiliki dampak positif pada kemungkinan terjadinya krisis. Semakin besar impor ke cadangan meningkatkan tekanan nilai tukar dan meningkatkan kemungkinan krisis mata uang terjadi.

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ABSTRACT

Asian Financial Crisis (AFC) 1997-98 and Global Financial Crisis (GFC) 2008 had driven economic and currency turbulence of ASEAN-5 countries. This phenomenon increases vulnerabilities of macroeconomic fundamentals and triggers the researcher to build an Early Warning Indicator (EWI) as a tool to mitigate the occurrence of a crisis. This research will compare 9 macroeconomic indicators behavior from real domestic, external, and monetary and financial vulnerabilities sector in ASEAN-5 countries that increase the possibility of currency crisis using the ERPD matrix and binary logit regression during the AFC and GFC period. The results show the external sector variables are significant in increasing the probability of currency crisis in ASEAN-5 countries during the AFC and GFC period. Import to reserves ratio is the most significant indicator and has a positive impact on the probability of crisis occurrence. The greater import to reserves increasing the exchange rate pressure and increase the probability of currency crisis to occur"

"Penelitian ini bertujuan untuk mengidentifikasi data pada level makroekonomi untuk mengetahui arah pergerakan dari sektor perbankan di Indonesia melalui seri acuan pertumbuhan kredit, pertumbuhan pembiayaan, non performing loan serta non performing finance yang diharapkan mampu menjadi sinyal awal perkembangan sektor perbankan. Penelitian ini menggunakan pendekatan OECD dalam pembentukan composite leading indicator. Penentuan titik balik diukur dengan bulan dan dilakukan dengan mengikuti kriteria Bry-Boschan dengan periode penelitian dari Januari 2012 ndash; September 2017.Dari data yang digunakan masing-masing seri acuan memiliki kombinasi variabel pembentuk leading indicatornya. Pertumbuhan kredit memiiki 10 variabel pembentuk composite leading indeksnya, pertumbuhan pembiyaan memiliki 4 variabel yang membentuk komposit indeksnya, CLI non perfoming loan dibentuk dari 13 variabel serta non performing loan ditentukan CLInya dengan 9 variabel.

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This research focuses on growth of credit and financing in banking sector to enhance decision making process. This paper present composite leading indicator for banking sector using four reference series which are credit growth, islamic financing growth, non performing loan, and . Adopting OECD methodology to construct these indicator and using Bry Boschan criteria to predict turning points of these reference series.The result show that during January 2012 until September 2017, each composite constructed differently. Credit growth composite index constructed from 10 individual leading indicator,financing growth consist 4 individual leading indikator, non performing loan compostie index constructed by 13 leading indicator, and contsructed by 9 individual variabels."

"Dalam satu dekade terakhir, perekonomian global tengah mengalami perlambatan ekonomi, inflasi yang rendah, dan memiliki suku bunga natural yang negative, terutama di negara maju. Gangguan dan ketidakstabilan makroekonomi ini dikenal dengan hipotesis stagnasi jangka panjang. Tabungan berlebih, penurunan populasi, dan penuaan demografi merupakan beberapa contoh dari faktor yang mendorong terjadinya kemerosotan ini. Penelitian ini mencoba untuk memeriksa dan mengembangkan sistem peringatan dini terkait stagnasi jangka panjang, khususnya di Indonesia. Stagnasi jangka panjang dianalisis dari sisi permintaan, penawaran, dan keterkaitan global dengan menggunakan kerangka data panel dan regresi generalized least squares. Beberapa pengujian juga dilakukan, seperti structural breaks, Markov switching models, and stagnation index construction. Hasil penelitian menunjukkan bahwa variabel dari sisi penawaran lebih banyak menjelaskan kondisi stagnasi. Selanjutnya, Indonesia itu sendiri dinilai tidak mengalami stagnasi jangka panjang, setidaknya belum terjadi. Kendati demikian, Indonesia sebaiknya tetap mengantisipasi dari ancaman ini dalam waktu dekat, hal ini disebabkan oleh adanya penurunan beberapa faktor seperti pertumbuhan produktivitas dan pertumbuhan populasi.

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In the last decade, global economies are experiencing sluggish economic growth, absent inflation, and has a negative natural interest rate, especially in the advanced economies. This macroeconomic instability and disturbance are well-known as the secular stagnation hypothesis. Excess savings, declined population, and demographic aging are some of the example factors that force behind this deterioration. This research is trying to examine and develops the early warning system regarding secular stagnation, particularly in Indonesia. The secular stagnation is analyzed from the demand-side, supply-side, and global linkage using panel data framework and generalized least squares regression. Several assessments are also being conducted, such as structural breaks, Markov switching models, and stagnation index construction. Results have found that supply-side variables are more explaining this stagnation condition. Furthermore, Indonesia itself is not experiencing secular stagnation, at least not even yet. However, Indonesia still should be anticipated this threat in near sooner, due to declined level of several factors such as productivity growth and population growth."