Balance Sheet Approach for Fiscal Sustainability in Indonesia

Jaka SRİYANA; Abdul HAKİM

Article Details

Balance Sheet Approach for Fiscal Sustainability in Indonesia

Authors:

Jaka SRİYANA | Abdul HAKİM

Publisher:

İlhan ÖZTÜRK

Journal:

International Journal of Economics and Financial Issues 2017 Vol.7 Issue 1, pp.68-72

Document Type:

Article

Publication Date:

2/2017

Document Language:

Turkish

Document ID (Org No.):

2000812006

Frequency:

Bimonthly

eISSN:

2146-4138

Abstract:

 

This paper models fiscal sustainability in Indonesia using the measure of liabilities-to-asset ratio (LAR), a simple measure of a country’s balanced-sheet. It uses the approach of conditional Value-at-Risk (VaR), assuming normal or t distributions, to define the risky level. The conditional standard deviation in the conditional VaR is modelled using a univariate Generalized Autoregressive Heteroscedasticity (GARCH) family model. The conditional mean equation is modelled using a simple autoregressive equation. Using quarterly data from 1990 to 2014, the paper finds that the autoregressive term significantly influences the conditional mean of LAR. It also finds that both ARCH and GARCH terms significantly influence the conditional variance. Applying the conditional variance to calculate conditional VaR with 95% confidence level, and comparing the result with the actual LAR, it finds that there are no violations occurred during the period of estimation. This means that the fiscal sustainability in Indonesia is deemed safe. The violation occurs using the confidence level of 90% only.

Article Details

Balance Sheet Approach for Fiscal Sustainability in Indonesia

Authors: Jaka SRİYANA | Abdul HAKİM

Publisher: İlhan ÖZTÜRK

Journal: International Journal of Economics and Financial Issues 2017 Vol.7 Issue 1, pp.68-72

Document Type: Article

Publication Date: 2/2017

Document Language: Turkish

Document ID (Org No.): 2000812006

Frequency: Bimonthly

eISSN: 2146-4138

Issues

Authors:

Jaka SRİYANA | Abdul HAKİM

Publisher:

İlhan ÖZTÜRK

Journal:

International Journal of Economics and Financial Issues 2017 Vol.7 Issue 1, pp.68-72

Document Type:

Article

Publication Date:

2/2017

Document Language:

Turkish

Document ID (Org No.):

2000812006

Frequency:

Bimonthly

eISSN:

2146-4138