Arima Forecasting of Indonesia’s Sovereign Sukuk as a Sustainable Financing Instrument
DOI:
https://doi.org/10.21580/economica.2025.16.2.28256Keywords:
ARIMA Modeling, Fiscal Sustainability, Sharia Financing, Sovereign Sukuk, Sustainable FinanceAbstract
Sukuk development in Indonesia, along with SBSN (Surat Berharga Syariah Negara) sovereign securitization sukuk SBSN, sovereign securitization sukuk (SBSN), sustainable and diverse in-structure financing sukuk SBSN, is being balanced with the increasing usage of Sharia-compliant instruments for the financing of fiscal deficits and the management of sovereign debts, which continues to expand. An Autoregressive Integrated Moving Average (ARIMA) model is employed in this study, using monthly time series data for the period 2019 to 2024. Among the time series modeling techniques, ARIMA was chosen because explicit macroeconomic theories are not required for time series projection; thus, it is more suitable for modeling historical time series. The study has found that while the values of outstanding sukuk will no doubt increase, the uncertainty of longer-term forecasting will also increase. Forecasting in the present study lacks immediate quantification; however, the analyses provide a relevant and sustained policy framework for sovereign debt, and the analyses support the potentially strategic role of thematized instruments in fiscal management and for the sustainability of sukuk, in particular, focused sukuk, green sukuk, and retail sukuk. The research outlines strategic considerations for managing Shariah-compliant, long-term, and dynamic debt in Indonesia, thereby aligning financial innovation with national development interests.
Downloads
References
AAOIFI. (2015). Shari’ah Standard No. 17: Investment Sukuk.
Aloui, C., Hammoudeh, S., & Hamida, H. Ben. (2015). Co-movement between sharia stocks and sukuk in the GCC markets: A time-frequency analysis. Journal of International Financial Markets, Institutions and Money, 34, 69–79. https://doi.org/10.1016/j.intfin.2014.11.003
Boukhatem, J. (2021). Sukuk Market and Economic Welfare Nexus: A Partial Equilibrium Approach. International Journal of Economics and Financial Issues, 11(3), 142–145. https://doi.org/10.32479/ijefi.11507
Box, G. E. P., Jenkins, G. M., Reinsel, G. C., & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). John Wiley & Sons.
Brockwell, J, P., Davis, & A, R. (2002). Introduction to Time Series and Forecasting. In P. J. Brockwell & R. A. Davis (Eds.), Springer Texts in Statistics. Springer New York. https://doi.org/10.1007/b97391
Çetin, D. T., & Metlek, S. (2021). Forecasting of Turkish Sovereign Sukuk Prices Using Artificial Neural Network Model. Acta Infologica, 5(2), 241–254. https://doi.org/10.26650/acin.907990
Climate Bonds Initiative. (2020). Green Sukuk: Unlocking Islamic finance potential for climate change. https://www.climatebonds.net/files/documents/publications/Unlocking-green-bonds-in-Indonesia-a-guide-for-issuers-regulators-and-investors.pdf
Dickey, D. A., & Fuller, W. A. (1979). Distribution of the Estimators for Autoregressive Time Series With a Unit Root. Journal of the American Statistical Association, 74(366), 427. https://doi.org/10.2307/2286348
Dusuki, A. W., & Bouheraoua, S. (2011). The Framework of Maqasid al-Shari’ah and its Implication for Islamic Finance. ICR Journal, 2(2), 316–336. https://doi.org/10.52282/icr.v2i2.651
Ediger, V. Ş., & Akar, S. (2007). ARIMA forecasting of primary energy demand by fuel in Turkey. Energy Policy, 35(3), 1701–1708. https://doi.org/10.1016/j.enpol.2006.05.009
Godlewski, C. J., Turk-Ariss, R., & Weill, L. (2013). Sukuk vs. conventional bonds: A stock market perspective. Journal of Comparative Economics, 41(3), 745–761. https://doi.org/10.1016/j.jce.2013.02.006
Greene, W. H. (2018). Econometric Analysis (8th ed.). Pearson.
Gujarati, D. N., & Porter, D. C. (2009). Basic econometrics. McGraw-Hill Irwin.
Hakim, A. (2024). Aligning Values With Investments: the Potential of Sukuk for Sustainable Development in Islamic Finance. https://doi.org/10.2139/ssrn.4860676
Hyndman, R. J., & Athanasopoulos, G. (2018). Forecasting: Principles and Practice. OTexts. https://otexts.com/fpp2/
International Monetary Fund. (2021). Chapter 2: A Fair Shot. In Fiscal Monitor: A Fair Shot. International Monetary Fund. https://www.imf.org/-/media/files/publications/fiscal-monitor/2021/april/english/ch2.pdf
Iqbal, Z., & Mirakhor, A. (2011). An Introduction to Islamic Finance. Wiley. https://doi.org/10.1002/9781118390474
Islamic Financial Services Board. (2013). IFSB-15: Revised Capital Adequacy Standard for Institutions Offering Islamic Financial Services. https://www.ifsb.org/wp-content/uploads/2023/10/2013-12-16_eng_IFSB15-Revised-Capital-Adequacy_Dec-2013.pdf
Izzaty, N. (2024). Fixed Income Securities: A Study of Islamic Finance Principles in Bond Structuring. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.4845444
Kementerian Keuangan Republik Indonesia. (2022). Kerangka ekonomi makro dan pokok-pokok kebijakan fiskal tahun 2023. https://fiskal.kemenkeu.go.id/files/kemppkf/file/1653025074_kemppkf2023.pdf
Laldin, M. A., & Furqani, H. (2013). Developing Islamic finance in the framework of maqasid al-Shari’ah. International Journal of Islamic and Middle Eastern Finance and Management, 6(4), 278–289. https://doi.org/10.1108/IMEFM-05-2013-0057
Lewis, C. D. (1982). Industrial and Business Forecasting Methods: A Practical Guide to Exponential Smoothing and Curve Fitting. Butterworth Scientific.
Makridakis, S., Wheelwright, S. C., & Hyndman, R. J. (1998). Forecasting: Methods and applications. Wiley India Pvt. Limited.
Mishkin, F. S., & Eakins, S. (2018). Financial markets and institutions (9th ed.). Pearson.
Naz, S. A., Gulzar, S., & Hassan, M. K. (2025). Sukuk, financial crises and growth: empirical evidence from Islamic capital markets. Journal of Business and Socio-Economic Development, 1–22. https://doi.org/10.1108/JBSED-06-2025-0204
Nurhanifah, N. V. (2024). Understanding Sukuk Market Development: An Overview of Opportunities and Challenges. Journal of Waqf and Islamic Economic Philanthropy, 1(2), 1–11. https://doi.org/10.47134/wiep.v1i2.155
OECD. (2020). How Islamic finance contributes to achieving the Sustainable Development Goals (OECD Development Policy Papers, Vol. 30). https://doi.org/10.1787/ac1480ca-en
Otoritas Jasa Keuangan. (2023). Laporan Perkembangan Keuangan Syariah Indonesia 2023. https://ojk.go.id/id/berita-dan-kegiatan/info-terkini/Pages/Laporan-Perkembangan-Keuangan-Syariah-Indonesia-2023.aspx
Pindyck, R., Rubinfeld, D., Pindyck, R. S., & Rubinfeld, D. L. (1998). Econometric models and economic forecasts. McGraw-Hill/Irwin.
Ramadan, A., Morshed, A., & T. Khrais, L. (2025). IFRS 9 misalignment and its impact on Sukuk investment strategies: Evidence from Jordan. Investment Management and Financial Innovations, 22(3), 237–247. https://doi.org/10.21511/imfi.22(3).2025.18
Sabu, M. D. (2024). Effective Risk Management in Bond Market and Investment: Sukuk Market Insights. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.4846673
Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599–607. https://doi.org/10.1093/biomet/71.3.599
Shmueli, G., & Jr., K. C. L. (2017). Practical Time Series Forecasting with R: A Hands-On Guide. Axelrod Schnall Publishers.
Ulfah, I. F. (2023). The Potential of Municipal Sukuk Issuance in Indonesia - A Review of Theoretical Research. Perisai : Islamic Banking and Finance Journal, 7(2), 293–311. https://doi.org/10.21070/perisai.v7i2.1664
Wibowo, A. (2023). Enhancing Economic Growth for the Achievement of Sustainable Development Goals through Digital Era Fundraising Schemes for Sustainable Community Development: A Policy Analysis from the Islamic Economic Perspective. Proceeding of International Conference on Islamic Philantrophy, 1, 26–37. https://doi.org/10.24090/icip.v1i1.301
World Bank, & Islamic Development Bank. (2021). Mobilizing Islamic Finance for Infrastructure Public-Private Partnerships. https://ppp.worldbank.org/sites/default/files/2024-08/Mobilizing_Islamic_Finance_for_Infrastructure_PPPs_FINAL.pdf
Yusuf, A. A., & Sumner, A. (2015). Growth, Poverty, and Inequality under Jokowi. Bulletin of Indonesian Economic Studies, 51(3), 323–348. https://doi.org/10.1080/00074918.2015.1110685
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2025 Economica: Jurnal Ekonomi Islam
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
Authors who publish with this journal agree to the following terms:
Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this journal.
Authors can enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), acknowledging its initial publication in this journal.
Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) before and during the submission process, as it can lead to productive exchanges and earlier and greater citation of published work (See The Effect of Open Access).
