Application of vector error correction model on macroeconomic variables toward changes in the composite stock price index
Macroeconomic variables are still interesting to study because some studies still find
inconsistent results and dependence on the dynamics of the capital market and international
financial markets, especially when there is turmoil in the domestic and international stock
markets. This study aims to analyze the causality and cointegration relationship of
macroeconomic variables, namely: interest rates (BI Rate), inflation and exchange rates to
changes in the composite stock price index (CSPI) using the Vector Error Correction Model …
inconsistent results and dependence on the dynamics of the capital market and international
financial markets, especially when there is turmoil in the domestic and international stock
markets. This study aims to analyze the causality and cointegration relationship of
macroeconomic variables, namely: interest rates (BI Rate), inflation and exchange rates to
changes in the composite stock price index (CSPI) using the Vector Error Correction Model …
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