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"Perubahan (kenaikan) harga minyak internasional mempunyai dampak ekonomi yang besar pada negara pengimpor minyak ncto. Untuk melihat pengaruh perubahan harga minyak internasional pada perekonomian domestik maka diperlukan model yang mampu menangkap perilaku pelaku ekonomi yang mempunyai ekspektasi terhadap setiap perubahan. Sementara model makro ekonometri struktural tidak dapat digunakan untuk pembentukan kebijakan karena mengandung Lucas Critique. Disertasi ini menganalisis pengaruh perubahan harga minyak internasional pada variabel makroekonomi dan respon kebijakan moneter di Indonesia dengan menggunakan model Dynamic Stochastic General Equilibrium, Model makroekonomi ini adalah berdasarkan mikroekonomi dalam New Keynesian tradition. Model memasukan minyak untuk konsumsi rumah tangga dan faktor input dalam produksi, Parameter dalam model diestimasi melalui metode Bayesian dengan teknik simulasi Markov Chain Monte Carlo (MCMC). Metode ini mengkombinasikan prior information dan data historis. Parameter estimasi menunjukkan karakteristik perekonomian Indonesia. Perilaku rumah tangga dipengaruhi oleh cukup tingginya tingkat habit persistence dalam konsumsi, rendahnya clastisitas penawaran tenaga kerja, rendahnya elastisitas substitusi konsumsi produk minyak dan produk non-minyak, dan rendahnya elastisitas substitusi konsumsi barang-barang domestik dan barang-barang luar negeri. Produsen Iebih sering melakukan pengaturan harga ulang dibanding pengaturan kembali upah optimal dengan tingkat penyesuaian terhadap inflasi periode lalu untuk upah lebih besar daripada harga. Elastisitas substitusi tenaga kerja dan minyak dalam produksi dan elastisitas permintaan barang domestik kc luar negeri mempunyai nilai yang rendah. Selanjutnya, respon kebijakan moneter berupa interest rate reaction function (Taylor rule) menghasilkan parameter estimasi yang sesuai dengan Strategi kebijakan Bank Indonesia. Walaupun penelitian ini memiliki keterbatasan, model ini masih mampu memberikan simulasi impulse response untuk menjelaskan perilaku dinamis perekonomian dan menggambarkan mekanisme transmisi pengaruh perubahan harga minyak internasional di Indonesia.

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The change (increase) of intcmational oil price causes immense economic impact to net oil-importer countries. In order to observe the influence ofthe change of international oil price in domestic economy, it is necessary to use a model which can contain the behavior of the agents who have expectation to every change. However, the model of structural macro econometric cannot be applied to construct policy for thc reason that it contains Lucas Critique. This dissertation analyzes the influence of the change of international oil price to the variables macroeconomic and the response of the monetaiy policy in Indonesia, using the model of Dynamic Stochastic General Equilibrium. This macroeconomic model is based on the microeconomic foundation in New Keynesian tradition, The model includes oil for household consumption and input factor in production, The parameter in the model is estimated by using Bayesian method with Markov Chain Monte Carlo (MCMC) simulation techniquc. This method combines prior information and historical data. Estimation parameter describes the characteristics of Indonesia's economy. The household behavior is affected by the moderately high level of habit persistence in consumption, the low elasticity of labor supply, the low elasticity of substitution between oil and non-oil consumption goods, and the low elasticity of substitution between domestic and Foreign consumption goods. Producers tend to instantaneously make pricing adjustment more fiequent than making wage re-optimizadon by way of amendment amount to the past inflation period for wage higher than price. The elasticity of substitution between labor and oil in production, and the elasticity of demands for domestic goods hom foreign countries are low. Subsequently, the response of the monetary policy in form of interest rate reaction function (Taylor rule) results the estimation parameter which is suitable to the policy strategy from Bank Indonesia. Despite the imperfection of this study, the model can still give impulse response simulation to explain dynamic behaviour of economy and to illustrate the transmission mechanism for the influence of the change of international oil price in Indonesia."

"Effective dynamics of stochastic partial differential equations focuses on stochastic partial differential equations with slow and fast time scales, or large and small spatial scales. The authors have developed basic techniques, such as averaging, slow manifolds, and homogenization, to extract effective dynamics from these stochastic partial differential equations.The authors’ experience both as researchers and teachers enable them to convert current research on extracting effective dynamics of stochastic partial differential equations into concise and comprehensive chapters. The book helps readers by providing an accessible introduction to probability tools in Hilbert space and basics of stochastic partial differential equations. Each chapter also includes exercises and problems to enhance comprehension."

"Penelitian ini mengukur tingkat efisiensi perbankan Indonesia baik dari segi biaya maupun profit serta melihat pengaruh rasio modal terhadap inefisiensi biaya dan profit dengan menggunakan Stochastic Frontier Analysis (SFA) one-step regression. Data dalam penelitian ini terdiri dari 102 bank umum konvensional Indonesia selama periode 2000-2014. Hasilnya adalah efisiensi biaya perbankan mengalami peningkatan sedangkan efisiensi profit berfluktuatif. Rasio modal terlihat memiliki pengaruh yang negatif signifikan terhadap inefisiensi biaya, tetapi tidak berpengaruh signifikan terhadap inefisiensi profit. Sehingga dapat disimpulkan bahwa dengan semakin ketatnya pengaturan pada rasio modal yang mengharuskan bank untuk memiliki tingkat rasio modal yang besar, maka akan menurunkan tingkat inefisiensi bank dari segi biaya.

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This research measures Indonesian banking cost and profit efficiency as well the influence of capital ratio to cost and profit inefficiency by using Stochastic Frontier Analysis (SFA) one-step regression. The data in this research consist of 102 conventional commercial bank in Indonesia during 2000-2014 period. The result is cost efficiency increased, while profit efficiency fluctuated. Capital ratio appear to has significant negative impact on the cost inefficiency, but not significant on profit inefficiency. Therefore, this research can conclude that with increase in capital ratio regulation that requires banks to have large capital ratio, will have lower bank inefficiency in terms of cost."

"ABSTRAKKeuntungan merupakan indikator penting dari kondisi finansial perusahaan danakan digunakan untuk pembiayaan segala aktivitas dalam perusahaan. Salah satusumber keuntungan perusahaan adalah dari hasil underwriting, dimana hasilunderwriting atas suatu produk asuransi jiwa harus menghasilkan surplus. Secaraumum, perhitungan surplus produk asuransi jiwa menggunakan pendekatandeterministik yang mengasumsikan nilai suatu variabel adalah konstan. Sepertidiketahui bahwa terdapat variabilitas dari tingkat pengembalian investasi, tingkatkematian atau tingkat lapse, sehingga pendekatan deterministik menjadi kurangsesuai untuk kondisi sebenarnya. Dalam penelitian ini dikaji mengenai penggunaanpendekatan stokastik dalam perhitungan surplus suatu produk asuransi jiwa. Hal inipenting untuk dikaji agar dapat menghasilkan perhitungan surplus yang mendekatikondisi sebenarnya. Peubah acak bersifat stokastik yang digunakan dalampenelitian ini adalah tingkat pengembalian investasi, tingkat bunga untukmenggambarkan tingkat pengembalian investasi serta tingkat kematian. Tingkatpengembalian investasi dimodelkan AR(1), tingkat suku bunga dimodelkan CoxIngersoll Ross (CIR), serta tingkat kematian menggunakan pendekatan hukummortalita Makeham. Perhitungan pendekatan stokastik menghasilkan nilai surplusyang berbeda pada tiap periode valuasi serta variabilitas dari nilai surplus pada masamendatang cukup tinggi. Selain itu pada periode tengah hingga akhir masa asuransi,surplus hasil perhitungan pendekatan stokastik lebih tinggi dibandingkanpendekatan deterministik. Perhitungan surplus pendekatan stokastik menggunakandata tingkat pengembalian investasi menghasilkan nilai surplus lebih tinggidibandingkan menggunakan data tingkat suku bunga pada beberapa periode di akhirmasa asuransi.

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ABSTRACTA profit is an important indicator of an insurance company?s financial conditionand will be used to financing all activities within the company. One of the sourcesof profit is underwriting results, which is the underwriting result must producesurplus. In general, the calculation of surplus for life insurance product usingdeterministic approach that assumes the value of variable is constant. However it isknown that there is variability in the level rate of return, mortality rate or lapse rate,so the deterministic approach would be less suited to the real conditions. This studyexamines the use of stochastic approach in the calculation of surplus for lifeinsurance product. This study is needed to provide calculation that resemble the realconditions. Stochastic random variables used were variable rate of return, interestrate to describe rate of return and mortality rate. The rate of return is modelled usingAR(1), interest rate is modelled using Cox Ingersoll Ross (CIR) and mortality ratesis approached by Makeham mortality law. The calculation of a stochastic approachproduce surplus value which varies in each period and the variability of futuresurplus value is quite high. In the middle until end of the insurance period, surplusfrom the calculation using stochastic approach is higher than the calculation usingdeterministic approach. The calculation of a stochastic approach when usingvariable rate of return produce higher surplus value than when using variableinterest rate at some period in the end of insurance period."

"Using the non-parametric method of Data Envelopment Analysis (DEA) and the parametric method of Stochastic Frontier Approach (SPA), this study investigates the efficiency of the Islamic Banking recent operations in Indonesia over the period 2005 to 2007. In specifying input-output variables of Islamic banks, the intermediation approach is selected as it is in line with the principle of Islamic financial system. The attributions of technical efficiency (utilization of capacity) and scale efficiency (optimality of scale achieved) are identified. The principal findings for the period under study indicated that technical and scale efficiency scores are improving but 100 percent optimal during research period. According to SFA approach, closer to 100 percent means a bank acts efficiently. Overall, the result shows that Islamic banks suffer slight inefficiencies during the period 2005-2007, and tend to be increasing. The study has several important policy implications to offer, one of which is that it could be taken as a guideline for the Indonesian government to chart a policy on banking deregulation and mergers. Moreover, the study provides some information and identifies the source of inefficiency, vyhich could, in turn, be used to assist banks? managements to overcome the problems of inefficiency."

"The economic crises attacking Asian regions in the mid of 1997 have brought depressing impacts to Indonesia?s economy. Indonesia experiences a declining share of investment? it is even the lowest amongst neighboring countries. Indonesia also ranks the first position in the issue of inefficiency which further discourages investors to invest in Indonesia. The study focuses on the issue of efficiency in the manufacturing industry whose share in the economy tends to increase during I988-2OO5 in a higher percentage than in the agriculture and services sectors. The objectives of the study are two-folds, first is to measure the score of efficiency in the manufacturing industry in order to identify which in industries are classified as efficient, moderately efficient, or less efficient. Secondly is to identify whether there is an association between input factor or output degree of protection and the score of in efficiency of a 5-digit-JSIC industry. The method employs in the study is the stochastic production frontier where efficiency is an explicit function of specifically determining factors. The study finds that wood preservative industry has the highest efficiency score, while garment and textile industry has the lowest. The study also discovers there are more industries with less and moderately efficient classification. Sources of inefficiency are from the high output tariffs, which have potential contributions to high price and less competitive products in the market. The study recommends that manufacturing industries with low scores of efficiency should improve their productivities through lower cost of production. The government has to make effort to reduce tariff for finished goods. Taxes on luxurious goods and duty charges for export oriented industries should be eliminated as an alternative to increase efficiency in the manufacturing industry. Comparative advantages, particularly for linkage industries, should be improved."

"Dalam studi ini, efisiensi teknis dari industri garmen di DKI Jakarta diperkirakan dengan mengakomodasi terjadinyaefek ketidakefisienan teknis dalam suatu model stochastic frontier fungsi produksi. Tujuannya adalah untukmemperkirakan efisiensi teknis dari perusahaan sekaligus menjelaskan sumber-sumber penyebab ketidakefisienandalam konteks kebijakan ekonomi makro di Indonesia. Hasil empiris menampilkan beberapa gambaran yang menarikdari kinerja ekonomi perusahaan garmen dalam kaitan dengan karakteristik spesifik yang diperkirakanmempengaruhinya. Dalam penelitian ini terbukti fungsi produksi Cobb-Douglas tidak representatif dalam menjelaskankasus efisiensi teknis di DKI Jakarta, tetapi sumber-sumber ketidakefisienan dan adanya perubahan teknis dapatdibuktikan.In this paper, the technical efficiency of garment firms in DKI Jakarta is estimated by incorporating a model for thetechnical inefficiency effects in the stochastic frontier production function. The aims are to estimate both the technicalefficiency of the firms and the sources of technical inefficiency within the context of Indonesia?s macro-economicpolicy. The empirical results point a number of noteworthy features of the economic performance of firms in relationwith some specific characteristics. It is found in the study that the Cobb douglas functional form was not adequate, butthe sources of technical inefficiency were found and technical change was present."

"This monograph is centered on quantitative analysis of nerve-cell behavior. The work is foundational, with many higher order problems still remaining, especially in connection with neural networks. Thoroughly addressed topics include stochastic problems in neurobiology, and the treatment of the theory of related Markov processes."

"In this research, an optimization and improvement of gas spring design is discussed. The gas spring is used as a suspension component of an energy storing prosthetic knee. The gas spring replaces the quadricep muscles of transfemoral amputee. A deterministic and a stochastic optimization is proposed in this research. Both models are used to determine the optimal design variables of the gas spring: cylinder diameter, cylinder length, extension stroke, and compression stroke. The optimal design variables resulted from the deterministic optimization model must be further analyzed to determine the effect of its variation to the objective function. Monte Carlo simulation is used to determine the effect of such variation and making improvement when necessary. Process capability index (Cp) is used as a criteria to make such improvement considering the contribution to variation of design variables to the objective function. Stochastic optimization is proposed to find the optimal design variables by taking into consideration the randomness of its parameters. The objective function of the stochastic optimization is to maximize the capability process. Both Monte Carlo simulation and stochastic optimization was solved using Oracle Crystal Ball Software. From the simulation, the reduction of compression stroke and extension stroke standard deviations resulted in 30% improvement of energy storage standard deviation. The Cp is also improved about 70% from 0.99 to 1.44. The stochastic optimization resulted in extension stroke and compression stroke which are shorter than deterministic optimization with 1.25 process capabilty."

"Penelitian ini meneliti bagaimana pengaruh aktivitas ekspor terhadap inefisiensi teknis pada industri andalan ekspor Indonesia dengan menggunakan data level perusahaan yang bersumber dari Survei Industri Besar Sedang BPS periode 2010 sampai dengan 2014. Penelitian ini menggunakan model stochastic frontier dengan one step approach yang diterapkan pada fungsi produksi translog. Hasil dari penelitian ini adalah aktivitas ekspor berpengaruh terhadap tingkat efisiensi perusahaan, yang mana industri yang tergolong dalam industri dengan tingkat teknologi rendah memiliki tingkat inefisiensi yang lebih rendah dibandingkan industri dengan tingkat teknologi tinggi.

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Inefficiency of Indonesian manufacturing sector has been the concern of many parties because of importance of this sector for the Indonesian economy and several studies have been conducted to determine the source of these inefficiencies with different approaches. This study examines the effect of export activity on the technical efficiency. As we know that in this era of globalization or trade opennes many firms have adopted an export-oriented strategy to seek their organic growth. We do so by using firm level panel data taken from Annual Survey of Manufacturing conducted by BPS for the period 2010 to 2014 and focus on Indonesia’s mainstay export industry which is divided into two types, resource-based exports and technology-based exports. A stochastic frontier model is applied to the translog production function to estimate firm level technical efficiency. In general we expect a positive relationship between export activities and firm’s efficiency. The implication is that firms can learn more and understand the market of their products, thereby improving their performance."