Volatility Spillover Effect of Macroeconomic Indicators on Inflation: A BEKK-GARCH Approach
DOI:
https://doi.org/10.36574/jpp.v9i2.711Keywords:
volatility spillover, inflation, bond yield spread, exchange rate, BEKK-AGARCH, IndonesiaAbstract
This study aims to examine the transmission of macroeconomic volatility—specifically, exchange rates and bond yield spreads—to inflation volatility, using monthly data from January 2012 to December 2024. The research begins with univariate modeling, employing GARCH and EGARCH to elucidate the volatility characteristics of each variable. The findings indicate that inflation and exchange rates exhibit asymmetric volatility, while the bond yield spread demonstrates a symmetric pattern. Furthermore, this study uses a multivariate BEKK-GARCH methodology to examine the influence of volatility from key macroeconomic indicators—specifically, the exchange rate and bond yield spread—on inflation in Indonesia. The results of the BEKK-AGARCH(1,1) model demonstrate significant volatility spillovers, notably a bidirectional link between inflation and the currency rate. Furthermore, this analysis confirms an asymmetric spillover effect from bond yield spreads to inflation, indicating that inflation volatility is more profoundly affected by negative shocks in the bond market than by positive shocks. The research highlights the necessity of monitoring macroeconomic volatility, as it profoundly affects the efficacy of monetary policy and inflation stability. This research offers policymakers crucial information to build more flexible methods for addressing inflation threats in an ever-evolving macroeconomic environment.
Downloads
References
Astari, N. P. R. P., & Badjra, I. B. (2018). Pengaruh Durasi, Konveksitas Dan Inflasi Terhadap Harga Obligasi Korporasi Di Bursa Efek Indonesia. E-Jurnal Manajemen Universitas Udayana, 7(5), 2450. https://doi.org/10.24843/ejmunud.2018.v07.i05.p07
Astuti, R. D., & Hastuti, S. R. B. (2020). Transmisi Kebijakan Moneter di Indonesia. Jurnal Ekonomi-QU, 10(1), 1–22.
Atmadja, A. S. (1999). Inflasi di Indonesia: Sumber-sumber Penyebab dan Pengendaliannya. Jurnal Akuntansi Dan Keuangan, 1(1), 54–67.
Bank Indonesia. (2025). Disagregasi Inflasi. https://www.bi.go.id/id/fungsi-utama/moneter/inflasi/Default.aspx
BPS. (2024). Perkembangan Indeks Harga Konsumen September 2024. Berita Resmi Statistik, 1–15. https://www.bps.go.id/id/pressrelease/2024/10/01/2308/inflasi-year-on-year--y-on-y--september- 2024-sebesar-1-84-persen-.html
Brooks, C. (2008). Introductory Econometrics for Finance Second Edition. In Sustainability (Switzerland) (Vol. 11, Issue 1). Cambridge University Press.
Desfitra, M. S., Aulia, Z., Utami, R. P., & Fitriana, N. (2024). Pengaruh Inflasi Terhadap Pertumbuhan Ekonomi Di Indonesia. Jurnal Ekonomi Dan Bisnis Digital, 2(1), 482–488.
Enders, W. (2014). Applied Econometric Time Series Fourth Edition. In Technometrics (Vol. 37, Issue 4). Wiley. https://doi.org/10.2307/1269759
Engle, R. F., & Kroner, K. F. (1995). Multivariate Simultaneous Generalized Arch. 11(1), 122–150. http://www.jstor.org/stable/3532933
Faizin, M. (2020). Analisis hubungan kurs terhadap inflasi. Akuntabel, 17(2), 314–319. http://journal.feb.unmul.ac.id/index.php/AKUNTABEL
Fauziyah, F. (2015). Kebijakan Moneter Dalam Mengatasi Inflasi Di Indonesia. Signifikan: Jurnal Ilmu Ekonomi, 4(1), 83–94. https://doi.org/10.15408/sjie.v4i1.2295
Ginting, A. M. (2016). ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI INFLASI: STUDI KASUS DI INDONESIA PERIODE TAHUN 2004-2014. In Kajian (pp. 37–58). Jurnal DPR. https://doi.org/https://doi.org/10.22212/kajian.v21i1.766
Gujarati, D. N., & Porter, D. C. (2008). Basic Econometrics Fifth Edition. The McGraw-Hill Companies.
Janah, I. U., & Pujiati, A. (2018). Analisis Mekanisme Transmisi Kebijakan Moneter Jalur Ekspektasi dalam Mempengaruhi Inflasi di Indonesia. Economics Development Analysis Journal, 7(4), 384–394. https://doi.org/10.15294/edaj.v7i4.27719
Judson, R., & Orphanides, A. (1999). Inflation, volatility and growth. International Finance, 2(1), 117–138. https://doi.org/10.1111/1468-2362.00021
Kementerian Keuangan RI. (2017). Peraturan Menteri Keuangan Nomor 124 Tahun 2017. Peraturan Menteri Keuangan No. 124/PMK.010/2017 Tentang Sasaran Inflasi Tahun 2019, Tahun 2020, Dan Tahun 2021, 1–4. www.jdih.kemenkeu.go.id
Kementerian Keuangan RI. (2021). Peraturan Menteri Keuangan Nomor 101 Tahun 2021. Peraturan Menteri Keuangan Nomor 101/PMK.010/2021 Tentang Sasaran Inflasi Tahun 2022, Tahun 2023 Dan Tahun 2024, 1–4.
Kiley, M. T. (2024). Monetary Policy Strategies to Foster Price Stability and a Strong Labor Market. Finance and Economics Discussion Series, 2854(2024–033), 1–51. https://doi.org/10.17016/feds.2024.033
Kroner, K. F., & Ng, V. K. (1998). Modeling asymmetric comovements of asset returns. Review of Financial Studies, 11(4), 817–844. https://doi.org/10.1093/rfs/11.4.817
Lestari, Y. I. (2020). Pengaruh Inflasi, Kupon, Jatuh Tempo dan Nilai Tukar terhadap Harga Obligasi Pemerintah Indonesia. In Perpustakaan Universitas Islam Riau. https://repository.uir.ac.id/1820/1/145210060.pdf
Listiawati, L. N., & Paramita, V. S. (2018). Pengaruh Tingkat Suku Bunga, Inflasi, Debt To Equity Ratio, Dan Ukuran Perusahaan Terhadap Yield Obligasi Pada Perusahaan Yang Terdaftar Di Bursa Efek Indonesia Tahun 2010 - 2016. Jurnal Manajemen, 15(1), 18–32. https://doi.org/10.25170/jm.v15i1.97
Lithin, B. M., Chakraborty, S., Iyer, V., Nikhil, M. N., & Ledwani, S. (2023). Modelling asymmetric sovereign bond yield volatility with univariate GARCH models: Evidence from India. Cogent Economics and Finance, 11(1). https://doi.org/10.1080/23322039.2023.2189589
Luwihadi, N. L. A., & Arka, S. (2017). Determinan Jumlah Uang Beredar dan Tingkat Inflasi Di Indonesia Periode 1984-2014. In Jurnal EP Unud.
Makridakis, S., Wheelwright, S., & Hyndman, R. (1997). Forecasting: Methods and Applications. John Wiley & Sons.
Maulidya, F. D., Sudarsono, R., & Layyinaturrobaniyah. (2024). DETERMINAN YIELD OBLIGASI (STUDI PADA OBLIGASI PEMERINTAH INDONESIA). Jurnal Penelitian Manajemen JPEMA, 2(2), 1–11.
Mello, L. De, & Moccero, D. (2009). Monetary policy and inflation expectations in Latin America: Long-run effects and volatility spillovers. Journal of Money, Credit and Banking, 41(8), 1671–1690. https://doi.org/10.1111/j.1538-4616.2009.00273.x
Mirovic, I., & Petrovic, V. (2023). The future of the dollar as a world reserve currency in new international circumstances. Ekonomski Signali, 18(2), 69–92. https://doi.org/10.5937/ekonsig2302069m
Muktiyanto, I., & Aulia, M. (2019). Determinan Tingkat Imbal Hasil (Yield) Surat Berharga Negara (SBN) Domestik. Kajian Ekonomi Dan Keuangan, 3(1), 18–30. https://doi.org/10.31685/kek.v3i1.190
Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347–370. https://doi.org/https://doi.org/10.2307/2938260
Ozcelebi, O., Perez-Montiel, J., & Manera, C. (2024). Bond yield spreads and exchange market pressure in emerging countries. International Journal of Emerging Markets. https://doi.org/10.1108/IJOEM-01- 2023/0052
Parulian, F. E. D. (2024). Pemodelan Volatilitas Harga Indeks Saham ESG versus Non-ESG (Studi Kasus: Indeks SRI-KEHATI dan IDX30). Jurnal Pendidikan Ekonomi UNEJ, 18(2), 290–302. https://doi.org/https://doi.org/10.19184/jpe.v18i2.48784
Parulian, F. E. D., A’mal, I., & Asrizal, S. N. (2024). Analisis Peramalan Harga Saham Konstruksi terhadap Sentimen Sovereign Wealth Funds (SWF) Indonesia dengan Pendekatan Model ARCH/GARCH. Eligible: Journal of Social Sciences, 3(1), 308–324.
Perlambang, H. (2010). Analisis Pengaruh Jumlah Uang Beredar, Suku Bunga SBI, Nilai Tukar Terhadap Tingkat Inflasi. Media Ekonomi, 19(2), 1–21.
Poole, W., & Wheelock, D. C. (2008). Stable Prices, Stable Economy. The Regional Economist, January. www.stlouisfed.org
Portes, R. (1979). Internal and external balance in a centrally planned economy. Journal of Comparative Economics, 3(4), 325–345. https://doi.org/10.1016/0147-5967(79)90001-5
Prananta, B., & Alexiou, C. (2024). Exchange rates, bond yields and the stock market: nonlinear evidence of Indonesia during the COVID-19 period. Asian Journal of Economics and Banking, 8(1), 83–99. https://doi.org/10.1108/ajeb-12-2022-0157
Purwanti, P., & Purwidianti, W. (2017). Pengaruh Perinigkat Obligasi, Tingkat Suku Bunga Sertifikat Bank Indonesia, Rasio Leverage, Ukuran Perusahaan, Umur Obliigasi, dan Tingkat inflasi pada Imbal Hasil Obligasi Korporasi di Bursa Efek Indonesia (Studi pada Semua Obligasi Korporasi di BEI). Jurnal Manajemen Dan Bisnis MEDIA EKONOMI, XVII(1).
Qarina. (2019). Analisis Determinan Nilai Tukar di Indonesia. Sibatik Journal, 2(2), 369–380. http://digilib.unila.ac.id/id/eprint/60832
R, D. L., Suhaedi, S., Kusmiarso, B., I, A., & Pramono, B. (2000). Suku Bunga Sebagai Salah Satu Indikator Ekspektasi Inflasi. Bulletin of Monetary Economics and Banking, 2(4). https://doi.org/https://doi.org/10.21098/bemp.v2i4.283
Rastogi, S., & Kanoujiya, J. (2023). The volatility spillover effect of macroeconomic indicators on inbound tourism in India. Tourism Review, 78(4), 1092–1115. https://doi.org/10.1108/TR-08-2022-0416
Rastogi, S., & Kanoujiya, J. (2024). The volatility spillover effect of macroeconomic indicators and strategic commodities on inflation: evidence from India. South Asian Journal of Business Studies, 13(2), 180–200. https://doi.org/10.1108/SAJBS-10-2021-0387
Rastogi, S., Kanoujiya, J., & Doifode, A. (2024). Volatility integration of crude oil, gold, and interest rates on the exchange rate: DCC GARCH and BEKK GARCH applications. Cogent Business and Management, 11(1). https://doi.org/10.1080/23311975.2023.2289700
Rudari, S., Arabi, S. H., & Sanaz Rahim. (2024). Volatility Spillover among Exchange Rate, Inflation and Liquidity in Iran’s Economy: A TVP -VAR-BK Approach. 28(97), 152–190.
Salsabila, F., Fatharani, R. A., Taqiyyuddin, T. A., & Rizki, M. I. (2022). Jurnal Sains Matematika dan Statistika Aplikasi Model ARCH/GARCH dalam Prediksi Laju Inflasi Bulanan Indonesia. JSMS: Jurnal Sains Matematika Dan Statistika, 8(1), 34–45. https://doi.org/http://dx.doi.org/10.24014/jsms.v8i1.13252
Sari, N. W. L. N., & Abundanti, N. (2015). VARIABEL-VARIABEL YANG MEMPENGARUHI YIELD OBLIGASI PADA PERUSAHAAN YANG TERDAFTAR DI BURSA EFEK INDONESIA Fakultas Ekonomi dan Bisnis Universitas Udayana ( Unud ), Bali-Indonesia Instrumen yang sering digunakan dalam berinvestasi dalam pasar modal yakni i. E-Jurnal Manajemen Unud, 4(11), 3796–3824.
Sari, S. P., & Nurjannah, S. (2023). Analisis Pengaruh Nilai Tukar, Jumlah Uang Beredar dan BI Rate Terhadap Inflasi di Indonesia dan Dampaknya Terhadap Daya Beli Masyarakat. AKTIVA: Journal of Accountancy and Management, 1(1), 21–29. https://doi.org/10.24260/aktiva.v1i1.1015
Sekarsari, D., Az Zahra, F. A., Ayuningtyas, F. R., & Fadilla, A. (2024). Analisis Dinamika Inflasi dan Implikasinya terhadap Stabilitas Ekonomi di Indonesia. Journal of Macroeconomics and Social Development, 1(3), 1–9. https://doi.org/10.47134/jmsd.v1i3.194
Setyawati, P., Handayani, M., Pitoyo, B. S., Yunita, T., & Hasanuddin. (2024). Analisis Harga Minyak Dunia, Nilai Tukar, dan Suku Bunga pada Tingkat Inflasi di Indonesia Periode 2015 - 2022. 2(2).
Sun, R. (2020). Monetary policy announcements and market interest rates’ response: Evidence from China. Journal of Banking and Finance, 113, 105766. https://doi.org/10.1016/j.jbankfin.2020.105766
Sunday, H. J., & Yuliarmi, N. N. (2024). Volatilitas Nilai Tukar Rupiah Yang Dipengaruhi Faktor Moneter Indonesia Dan Amerika Serikat. E-Jurnal Ekonomi Pembangunan Universitas Udayana, 13(1), 67–90. https://doi.org/10.24843/eep.2024.v13.i01.p05
Tagliafichi, A. R. (2003). The estimation of Market VaR using Garch models and a heavy tail distributions. 13th AFIR Colloquium 2003, 28.
Timmer, Y. (2018). Emerging market corporate bond yields and monetary policy. Emerging Markets Review, 36(April), 130–143. https://doi.org/10.1016/j.ememar.2018.04.001
Wulansari, D. A., Yundari, & Shantika, M. (2021). Pemodelan GJR-GARCH Pada Data Kurs Harian Rupiah Terhadap Dolar Amerika Saat Krisis Ekonomi. Buletin Ilmiah Math. Stat. Dan Terapannya (Bimaster), 10(2), 243–250. https://doi.org/https://doi.org/10.26418/bbimst.v10i2.45878
Yanti, Y. W. T. F., & Soebagiyo, D. (2022). Analisis Pengaruh JUB, Suku Bunga, Dan Nilai Tukar Terhadap Inflasi Indonesia Tahun 2005-2021. Jurnal Ekonomi Pembangunan, 8(2), 265–277.
Zuo, J. (2025). Impact of monetary policy on the stock market volatility: a GARCH-MIDAS approach in Malaysian economy. Cogent Economics and Finance, 13(1). https://doi.org/10.1080/23322039.2025.2459183
Downloads
Published
Issue
Section
License
Copyright (c) 2025 Jurnal Perencanaan Pembangunan: The Indonesian Journal of Development Planning
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
This open-access article is distributed under the terms of the Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License. Copyright © The Indonesian Journal of Development Planning
