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Ditemukan 162 dokumen yang sesuai dengan query
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Rudi Purwono
Abstrak :
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. ......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.
Depok: Fakultas Ekonomi dan Bisnis Universitas Indonesia, 2009
D960
UI - Disertasi Open  Universitas Indonesia Library
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Kefas Sidauruk
Abstrak :
Pada 2009-2018, tingkat Rasio Kecukupan Modal (CAR) di ASEAN-5 sedang dalam tren naik. Sementara itu, efisiensi keuntungan bank dalam tren menurun. Fenomena ini tidak sesuai dengan temuan dari estimasi linear dimana CAR dan efisiensi laba bank memiliki hubungan positif. Penulis kemudian menguji hubungan non-linearitas di bawah hipotesa Expected Bankruptcy Cost. Hipotesis menunjukkan bahwa hubungan antara modal dan kinerja bank adalah positif non-linear atau U terbalik. Skripsi ini menguji apakah dampak CAR terhadap efisiensi laba bank sebagai proksi kinerja bank di ASEAN-5 adalah secara non-linear. Penulis menghitung efisiensi laba bank menggunakan Stochastic Frontier Analysis (SFA). Untuk menguji hubungan antara CAR dan efisiensi laba bank di ASEAN - 5, sistem GMM digunakan. Temuan estimasi non-linear adalah CAR dan efisiensi keuntungan bank di ASEAN - 5 memiliki hubungan non-linier positif atau U terbalik yang sesuai dengan hipotesa Expected Bankruptcy Cost. Di bawah hipotesis, jika modal bank lebih tinggi dari nilai optimalnya, peningkatan modal akan mengurangi kinerja bank. Ini sesuai dengan temuan yang berarti CAR di ASEAN - 5 saat ini sedang di atas nilai optimalnya, oleh karena itu, meningkatkan CAR akan menurunkan efisiensi keuntungan bank. ...... From 2009 – 2018, Capital Adequacy Ratio (CAR) level in ASEAN – 5 is in an uptrend. Meanwhile, bank’s profit efficiency is in a downtrend. This phenomenon doesn’t match the finding from linear estimation that CAR and bank’s profit efficiency has a positive relationship. The author then looks to test for non-linearity relationship under Expected Bankruptcy Cost Hypothesis. The hypothesis shows that the relationship between capital and bank’s performance is positive non-linear or inverted U. This undergraduate thesis test whether the impact of CAR to bank’s profit efficiency as the proxy of bank’s performance in ASEAN – 5 is in a non-linear way. The author calculates the bank’s profit efficiency using Stochastic Frontier Analysis (SFA). To test the relationship between CAR and bank’s profit efficiency in ASEAN – 5, system GMM is used. The finding of the non-linear estimation is CAR and bank’s profit efficiency in ASEAN – 5 has a positive non-linear or inverted U relationship which correspond with the Expected Bankruptcy Cost Hypothesis. Under the hypothesis, if bank’s capital is higher than its optimum value, increasing capital will reduce bank’s performance. This match with the finding which means that the CAR in ASEAN – 5 is currently above its optimum value, therefore, increasing the CAR will result in the decrease of bank’s profit efficiency.
Depok: Fakultas Ekonomi Dan Bisnis Universitas Indonesia, 2020
S-Pdf
UI - Skripsi Membership  Universitas Indonesia Library
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Irfan Adhityo Dinutistomo
Abstrak :
Penelitian ini bertujuan untuk menguji efek dari penyaluran kredit kepada UMKM terhadap efisiensi bank yang ada di Indonesia. Penelitian ini menggunakan sampel sejumlah 35 bank umum di Indonesia selama periode observasi 2014 hingga 2018. Dalam penelitian ini, peneliti menggunakan stochastic frontier approach dalam mengestimasikan cost efficiency bank dengan menggunakan model yang dikembangkan oleh Batesse dan Coelli (1995). Peneliti juga menganalisis efek profitabilitas, kapabilitas manajemen, tingkat kecukupan modal, serta faktor regional banks terhadap efisiensi bank. Dari hasil penelitian ini, ditemukan pengaruh positif yang signifikan antara proporsi kredit UMKM dengan efisiensi bank. Selain itu, peneliti juga menemukan efek negatif yang bersifat signifikan antara profitabilitas dengan efisiensi bank. Kemudian, tingkat kecukupan modal terbukti memiliki pengaruh positif yang signifikan terhadap efisiensi bank.
This study examines how MSME lending affects the efficiency of banks in Indonesia by employing a stochastic frontier approach using Batesse and Coelli (1995)s cost efficiency model. This study uses a sample of 35 commercial banks in Indonesia from 2014 to 2018. This study also analyzes the effects of profitability, management capabilities, capital adequacy levels, and regional bank as control variables on bank efficiency. The result of this study shows a significant and positive impact of MSME lendings proportion on bank efficiency. We also found a significant negative effect of profitability on bank efficiency while the level of capital adequacy is proven to have a significant positive effect on bank efficiency.
Depok: Fakultas Ekonomi dan Bisnis Universitas Indonesia, 2020
S-Pdf
UI - Skripsi Membership  Universitas Indonesia Library
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Thivany Agnesty Z.
Abstrak :
Penelitian ini bertujuan untuk menganalisis efisiensi biaya dan efisiensi profit perbankan syariah di Indonesia khususnya Unit Usaha Syariah (UUS). Efisiensi merupakan parameter untuk mengukur kinerja perbankan. Terdapat 18 UUS yang digunakan sebagai sampel penelitian ini dengan jangka waktu penelitian selama 5 tahun yaitu tahun 2007-2011. Dalam penelitian ini akan digunakan metode Stochastic Frontier Analysis (SFA) dengan fungsi biaya dan profit guna mengukur efisiensi perbankan syariah pada UUS di Indonesia. Data penelitian ini diolah dengan menggunakan software frontier 4.1. Semakin mendekati angka 1 maka semakin efisien bank tersebut. Variabel dipilih berdasarkan pendekatan intermediasi. Variabel input dalam penelitian ini adalah harga tenaga kerja, harga dana, dan harga modal. Sementara variabel output berupa total pembiayaan dan aktiva produktif lainnya. Hasil analisis menunjukkan bahwa tidak ada UUS yang mempunyai nilai 1 dalam efisiensi biaya dan efisiensi profit. Rata-rata efisiensi biaya selama 5 tahun sebesar 1.252 dan rata-rata efisiensi profit sebesar 0.881. Hal ini berarti selama tahun 2007-2011 inefisiensi biaya UUS sebesar 0.252, sementara nilai inefisiensi profit sebesar 0.1192. Nilai inefisiensi profit lebih rendah dibandingkan nilai inefisiensi biaya, artinya selama periode penelitian UUS lebih efisien dalam menghasilkan profit dibandingkan mengendalikan biaya. ......This research purpose to analyze the cost efficiency and profit efficiency of Islamic Business Unit. Efficiency is a parameter to measure the performance of banks. There are 18 Islamic Business Unit are used as the sample of this study for 5 years during 2007-2011. In this research, the method of Stochastic Frontier Analysis (SFA) in order to measure the cost and profit efficiency of Islamic Business Unit in Indonesia. The research data were processed using the software Frontier 4.1. The closer to 1, the more efficient the bank. Variables selected based intermediation approach. Input variable in this study is the price of labor, the price of funds, and the price of capital. While the output variables such as total financing and other earning assets. The analysis showed that there was no UUS which has 1 of value in cost efficiency and profit efficiency. The average cost efficiency for 5years is 1,252 and the average profit efficiency is 0.881. It means that during 2007-2011 the inefficiency of cost is 0.252, and the inefficiency of profit is 0.1192. The value of profit inefficiency is lower than the cost inefficiency, it means that during the research period, UUS more efficient in generating profits than controlling costs.
Depok: Fakultas Ekonomi dan Bisnis Universitas Indonesia, 2013
S53439
UI - Skripsi Membership  Universitas Indonesia Library
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Dhanu Sukma Utomo
Abstrak :
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. ...... 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.
Depok: Fakultas Ekonomi dan Bisnis Universitas Indonesia, 2016
S64553
UI - Skripsi Membership  Universitas Indonesia Library
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Capasso, Vincenzo
Abstrak :
[This book is an introduction to the theory of continuous-time stochastic processes. A balance of theory and applications, the work features concrete examples of modeling real-world problems from biology, medicine, finance, and insurance using stochastic methods. This textbook, offers a rigorous and self-contained introduction to the theory of continuous-time stochastic processes, stochastic integrals, and stochastic differential equations. Expertly balancing theory and applications, the work features concrete examples of modeling real-world problems from biology, medicine, industrial applications, finance, and insurance using stochastic methods. Key topics include: Markov processes Stochastic differential equations Arbitrage-free markets and financial derivatives Insurance risk Population dynamics, and epidemics Agent-based models., This book is an introduction to the theory of continuous-time stochastic processes. A balance of theory and applications, the work features concrete examples of modeling real-world problems from biology, medicine, finance, and insurance using stochastic methods. This textbook, offers a rigorous and self-contained introduction to the theory of continuous-time stochastic processes, stochastic integrals, and stochastic differential equations. Expertly balancing theory and applications, the work features concrete examples of modeling real-world problems from biology, medicine, industrial applications, finance, and insurance using stochastic methods. Key topics include: Markov processes Stochastic differential equations Arbitrage-free markets and financial derivatives Insurance risk Population dynamics, and epidemics Agent-based models.]
Boston: [Springer, ], 2012
e20395147
eBooks  Universitas Indonesia Library
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Stein, Jerome L.
Abstrak :
[Stochastic Optimal Control (SOC), a mathematical theory concerned with minimizing a cost (or maximizing a payout) pertaining to a controlled dynamic process under uncertainty—has proven incredibly helpful to understanding and predicting debt crises and evaluating proposed financial regulation and risk management. Stochastic Optimal Control and the U.S. Financial Debt Crisis analyzes SOC in relation to the 2008 U.S. financial crisis, and offers a detailed framework depicting why such a methodology is best suited for reducing financial risk and addressing key regulatory issues. Topics discussed include the inadequacies of the current approaches underlying financial regulations, the use of SOC to explain debt crises and superiority over existing approaches to regulation, and the domestic and international applications of SOC to financial crises. , Stochastic Optimal Control (SOC), a mathematical theory concerned with minimizing a cost (or maximizing a payout) pertaining to a controlled dynamic process under uncertainty—has proven incredibly helpful to understanding and predicting debt crises and evaluating proposed financial regulation and risk management. Stochastic Optimal Control and the U.S. Financial Debt Crisis analyzes SOC in relation to the 2008 U.S. financial crisis, and offers a detailed framework depicting why such a methodology is best suited for reducing financial risk and addressing key regulatory issues. Topics discussed include the inadequacies of the current approaches underlying financial regulations, the use of SOC to explain debt crises and superiority over existing approaches to regulation, and the domestic and international applications of SOC to financial crises. ]
New York: [Springer, ], 2012
e20397304
eBooks  Universitas Indonesia Library
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Touri, Behrouz
Abstrak :
The thesis deals with averaging dynamics in a multiagent networked system, which is a main mechanism for diffusing the information over such networks. It arises in a wide range of applications in engineered physical networks (such as mobile communication and sensor networks), as well as social and economic networks. The thesis provides in depth study of stability and other phenomena characterizing the limiting behavior of both deterministic and random averaging dynamics. By developing new concepts, and using the tools from dynamic system theory and non-negative matrix theory, several novel fundamental results are rigorously developed. These contribute significantly to our understanding of averaging dynamics as well as to non-negative random matrix theory.
Berlin: [, Springer], 2012
e20398714
eBooks  Universitas Indonesia Library
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Abstrak :
This book constitutes the refereed proceedings of the 19th International Conference on Analytical and Stochastic Modelling Techniques and Applications, ASMTA 2012, held in Grenoble, France, in June 2012. The 20 revised full papers presented were carefully reviewed and selected from numerous submissions. The papers are organized in topical sections on queueing systems; networking applications, Markov chains, stochastic modelling.
Berlin : Springer-Verlag, 2012
e20410486
eBooks  Universitas Indonesia Library
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Shu-Jun, Liu
Abstrak :
This book treats methods inspired by attempts to understand the seemingly non-mathematical question of bacterial chemotaxis and their application in other environments. The text presents significant generalizations on existing stochastic averaging theory developed from scratch and necessitated by the need to avoid violation of previous theoretical assumptions by algorithms which are otherwise effective in treating these systems. Coverage is given to four main topics. Stochastic averaging theorems are developed for the analysis of continuous-time nonlinear systems with random forcing, removing prior restrictions on nonlinearity growth and on the finiteness of the time interval. The new stochastic averaging theorems are usable not only as approximation tools but also for providing stability guarantees. Stochastic extremum-seeking algorithms are introduced for optimization of systems without available models. Both gradient- and Newton-based algorithms are presented, offering the user the choice between the simplicity of implementation (gradient) and the ability to achieve a known, arbitrary convergence rate (Newton). The design of algorithms for non-cooperative/adversarial games is described. The analysis of their convergence to Nash equilibria is provided. The algorithms are illustrated on models of economic competition and on problems of the deployment of teams of robotic vehicles. Bacterial locomotion, such as chemotaxis in E. coli, is explored with the aim of identifying two simple feedback laws for climbing nutrient gradients. Stochastic extremum seeking is shown to be a biologically-plausible interpretation for chemotaxis. For the same chemotaxis-inspired stochastic feedback laws, the book also provides a detailed analysis of convergence for models of nonholonomic robotic vehicles operating in GPS-denied environments. The book contains block diagrams and several simulation examples, including examples arising from bacterial locomotion, multi-agent robotic systems, and economic market models. Stochastic averaging and extremum seeking will be informative for control engineers from backgrounds in electrical, mechanical, chemical and aerospace engineering and to applied mathematicians. Economics researchers, biologists, biophysicists and roboticists will find the applications examples instructive.
London: Springer-Verlag, 2012
e20418747
eBooks  Universitas Indonesia Library
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