Wilman San Marino, - and Nugraha, - and Ikaputera Waspada, - and Maya Sari, - (2025) MODEL PORTFOLIO FLOWS. S3 thesis, Universitas Pendidikan Indonesia.
Abstract
Penelitian ini mengkaji pengaruh tidak langsung Fed Fund Rate terhadap Portfolio Equity Flows ke negara berkembang melalui dua variabel mediasi, yaitu Produk Domestik Bruto (GDP) dan Market Return, dengan mempertimbangkan peran moderasi wilayah geografis negara berkembang Asia dan Non-Asia. Menggunakan data dari 37 negara berkembang selama 3 dekade dan pendekatan Hayes PROCESS Model 89, penelitian ini menganalisis tiga jalur utama yang merepresentasikan transmisi kebijakan moneter global ke pasar keuangan domestik. Jalur pertama menunjukkan bahwa Fed Fund Rate secara signifikan memengaruhi GDP, dan GDP berkontribusi positif terhadap Portfolio Equity Flows, mengindikasikan bahwa sektor riil menjadi saluran utama dalam menyalurkan dampak global. Jalur kedua memperlihatkan bahwa meskipun Fed Fund Rate berdampak pada Market Return, hubungan antara Market Return dan arus portofolio tidak signifikan secara agregat; namun, ditemukan adanya efek moderasi wilayah, di mana pengaruh jalur ini bervariasi antara negara berkembang Asia dan Non-Asia. Jalur ketiga, sebagai mediasi berantai, menunjukkan bahwa Fed Fund Rate memengaruhi GDP, yang selanjutnya memengaruhi Market Return, dan kemudian berdampak pada Portfolio Equity Flows. Meskipun jalur ini tidak signifikan secara langsung, indeks moderated mediation menunjukkan bahwa wilayah memoderasi kekuatan hubungan berantai tersebut secara signifikan. Temuan ini menegaskan bahwa heterogenitas institusional dan geografis di negara berkembang memainkan peran penting dalam efektivitas transmisi kebijakan global terhadap investasi portofolio, serta menekankan pentingnya pendekatan berbasis wilayah dalam merancang kebijakan ekonomi makro yang responsif terhadap dinamika global. This study investigates the indirect influence of the United States Federal Funds Rate on portfolio equity flows to emerging markets through two mediating variables: Gross Domestic Product (GDP) and Market Return, while considering the moderating role of geographic emerging markets regions (Asia vs. Non-Asia). Utilizing data from 37 emerging market countries and employing Hayes' PROCESS Model 89, the research analyzes three primary pathways that represent the transmission channels of global monetary policy into domestic financial markets. The first pathway reveals that the Federal Funds Rate significantly affects GDP, which in turn positively contributes to portfolio equity flows—indicating that the real sector serves as a critical channel for policy transmission. The second pathway demonstrates that although the Federal Funds Rate influences Market Return, the subsequent impact on portfolio flows is not statistically significant overall; however, significant moderating effects are observed across regions, suggesting that this relationship varies between Asian and Non-Asian countries. The third pathway, a serial mediation model, shows that while the Federal Funds Rate significantly impacts GDP, and GDP affects Market Return, the full pathway toward portfolio flows is not directly significant. Nonetheless, the index of moderated mediation is significant, indicating that regional context meaningfully alters the strength of this serial relationship. These findings underscore the importance of institutional and geographic heterogeneity in shaping the effectiveness of global monetary policy transmission to capital flows. The study contributes to a deeper understanding of the interplay between the real economy and financial markets and emphasizes the relevance of regionally tailored macroeconomic policies in an increasingly interconnected global environment.
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Item Type: | Thesis (S3) |
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Additional Information: | https://scholar.google.com/citations?user=De-agiIAAAAJ&hl=id&authuser=1 ID SINTA Dosen Pembimbing Nugraha 5994754 Ikaputera Waspada 5993422 Maya Sari5984857 |
Uncontrolled Keywords: | Fed Fund Rate, GDP, Market Return, Portfolio Equity Flows, Conditional Process, Negara Berkembang, Asia, Non-Asia Federal Funds Rate, GDP, Market Return, Portfolio Equity Flows, Conditional Process, Emerging Markets, Asia, Non-Asia |
Subjects: | H Social Sciences > HG Finance |
Divisions: | Fakultas Pendidikan Ekonomi dan Bisnis > S3 Manajemen |
Depositing User: | Wilman San Marino |
Date Deposited: | 09 Sep 2025 10:44 |
Last Modified: | 09 Sep 2025 10:44 |
URI: | http://repository.upi.edu/id/eprint/137432 |
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