Crude Oil Price and Exchange Rate: An Analysis of the Asymmetric Effect and Volatility Using the Non Linear Autoregressive Distributed Lag and General Autoregressive Conditional Heterochedasticity in Mean Models

Abstract

This study aims to examine the asymmetric effect of crude oil price and volatility on exchange rate. The price of West Texas Intermediate (WTI) crude oil is a proxy for crude oil, while IDR/USD exchange rate is a proxy for exchange rate. The time series of both WTI crude oil price and IDR/USD exchange rate span the period of January 2006 to December 2017. To test the asymmetric effect, the non linear autoregressive distributed lag -general autoregressive conditional heterochedasticity in mean model is used. The results of the analysis show that in the short-term there is an asymmetric effect of crude oil price and volatility on the IDR/USD exchange rate while in the long-term such effect does not exist.

Pengaruh Pengeluaran Pemerintah Terhadap Pasar Mata Uang Luar Negeri Di Indonesia: Suatu Aplikasi Model CCC-Garch

“…Banyak peneliti di dunia telah memberi perhatian untuk meneliti tentang faktor-faktor yang mempengaruhi kurs. Diantara faktorfaktor itu adalah: pertumbuhan ekonomi dan suku bunga (Dropsy, 1996), pertumbuhan penawaran uang (Levin, 1997), pengeluaran pemerintah (Balvers dan Bergstrand, 2002), inflasi (Dilmaghani dan Tehranchian, 2015;Purnomo, 2017), harga beras (Adam et al, 2018), ekspor dan impor (Rahim et al, 2020 ), harga minyak (Castro, dan Jiménez-Rodríguez, 2020;Suliman dan Abid, 2020;Saidi et al, 2020), produksi minyak (Ji et al, 2020), dan obligasi (Rosnawintang et al, 2021), Penelitian ini fokus pada pengeluaran pemerintah sebagai variabel indipenden. Sama halnya dengan mata uang luar negeri, pengeluaran pemerintah juga memiliki peran penting dalam perekonomian suatu negara.…”