Research Article
How Domestic and Foreign Assets Interact Through Granger Causality and Dynamic Models
@INPROCEEDINGS{10.4108/eai.4-9-2024.2353586, author={Thomas Andrian and Edwin Russel and Aryan Danil Mirza BR and Ukhti Ciptawaty}, title={How Domestic and Foreign Assets Interact Through Granger Causality and Dynamic Models}, proceedings={Proceedings of the 7th International Conference of Economics, Business, and Entrepreneurship, ICEBE 2024, 4-5 September 2024, Shah Alam, Selangor, Malaysia}, publisher={EAI}, proceedings_a={ICEBE}, year={2024}, month={12}, keywords={foreign assets domestic assets vecm cointegration indonesian economy economic policy financial stability}, doi={10.4108/eai.4-9-2024.2353586} }- Thomas Andrian
Edwin Russel
Aryan Danil Mirza BR
Ukhti Ciptawaty
Year: 2024
How Domestic and Foreign Assets Interact Through Granger Causality and Dynamic Models
ICEBE
EAI
DOI: 10.4108/eai.4-9-2024.2353586
Abstract
This study investigates the long-term interactions between foreign assets (ALN) and domestic assets (ADN) within the Indonesian economy from January 2013 to November 2020. Utilizing the Vector Error Correction Model (VECM), the research reveals a significant cointegration relationship, indicating that ALN and ADN influence each other over the long term. The findings underscore the importance of considering these interactions in the formulation of economic policies. The model's residuals exhibit some deviations from normal distribution, yet it remains effective in capturing the primary dynamics between these variables. The practical implications of this study suggest that policymakers need to account for the interplay between foreign and domestic assets to enhance national economic and financial stability.
