Electronic Resource

The Effect Of Real Business Cycle On Islamic Capital Market Resilience In Indonesia

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The objectives of this research are to investigate the extent of co-movement and the
effect of the Real Business Cycle (RBC) on the Islamic Capital Market (ICM) in
Indonesia. This research uses a quantitative approach which consists of a trial-stage
analytical method, that is (1) Hodrick-Prescott (HP) Filter, (2) cross-correlation
analysis, and (3) vector autoregressive or vector error correction model
(VAR/VECM). The findings show the existence of a quasi-periodic trend of RBC
and ICM data indicators. Furthermore, the findings are also evidence of the
significant effect of RBC indicators on ICM indicators. However, each indicator
has a different form of relationship. That is GDP and industrial production index
which affect JII positively significant, but otherwise, the unemployment rate
influences JII negatively. It also occurs in Sukuk which is affected negatively by
the unemployment rate. Meanwhile, the other indicators of RBC have a significant
positive impact on Sukuk

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Availability

Detail Information

Series Title

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Call Number

REF 332.6 IBR e

Publisher

Bogor : IAI Tazkia., 2022

Collation

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Language

English

ISBN/ISSN

NIM.2020405031

Classification

332.6

Content Type

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Media Type

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Carrier Type

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Edition

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Subject(s)

Real Business Cycle (RBC)
Islamic Capital Market (ICM)

Specific Detail Info

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Statement of Responsibility

Muhammad Yusuf Ibrahim

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