Dataset on Global Uncertainty Transmission and Central Bank Dual-Intervention in Indonesia (2015–2025)
Description
This dataset contains monthly time-series observations covering the period from January 2015 to December 2025 (N = 132), specifically constructed to examine the transmission channels of global uncertainty shocks to Indonesia's macro-financial stability and the effectiveness of central bank dual-intervention policies within a Structural Vector Autoregression (SVAR) framework. 1. Variable Specifications & Data Sources GPR (Geopolitical Risk Index): Global geopolitical uncertainty index benchmarked by Caldara & Iacoviello (2022). Mean = 110.88, Range = 58.42–318.95. VIX (CBOE Volatility Index): Proxy for global financial market panic and investor risk aversion (Source: FRED). Mean = 18.41, Range = 9.51–53.54. FFR (Federal Funds Rate): US Federal Reserve benchmark policy rate in percentage (Source: FRED). Mean = 2.16%, Range = 0.25%–5.50%. PORTFOLIO (Foreign Portfolio Investment): Non-resident portfolio holdings in Indonesian sovereign debt and equities in billion IDR (Source: DJPPR Ministry of Finance). Mean = 826,235 billion IDR. EXRATE & LN_EXRATE: IDR/USD spot exchange rate and its natural logarithm (Source: Bank Indonesia). Mean = IDR 14,546/USD, Range = 12,787–16,711. RESERVES & LN_RESERVES: Gross international reserves in million USD and its natural logarithm (Source: Bank Indonesia). Mean = USD 130,440 million, Range = 100,240–157,090. BI_RATE: Bank Indonesia key policy interest rate in percentage (Source: Bank Indonesia). Mean = 5.25%, Range = 3.50%–7.75%. INF (Inflation Rate): Year-on-year headline consumer price index inflation in percentage (Source: BPS-Statistics Indonesia). Mean = 3.24%, Range = -0.09%–7.26%. EXPORT & LN_EXPORT: Total monthly export value in billion IDR and its natural logarithm (Source: BPS-Statistics Indonesia). Mean = 1,434,840 billion IDR. 2. Key Statistical Properties & Data Preprocessing The dataset captures major global economic regimes over the 11-year observation window, including the 2020 COVID-19 financial shock (VIX peak of 53.54), the 2022 Russia-Ukraine conflict escalation (GPR peak of 318.95), and the global monetary tightening cycle (FFR reaching 5.50%). Logarithmic transformations (LN_EXRATE, LN_RESERVES, LN_EXPORT) were applied to monetary aggregates to stabilize variance and ensure empirical robust estimation in the SVAR model.
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Institutions
- Warmadewa UniversityBali, Denpasar