Perilaku Nilai Tukar Rupiah Dan Alternatif Perhitungan Nilai Tukar Riil Keseimbangan

Kurniati, Yati; Hardiyanto, A.V.

doi:10.21098/bemp.v2i2.196

Cited by 2 publications

(2 citation statements)

References 1 publication

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“…Penelitian ini menyatakan bahwa kenaikan term of trade (rasio ekspor-impor) menyebabkan apresiasi Lira Turki (Alper & Saglam, 2001). Penelitian lain yang sejalan adalah Kurniati & Hardiyanto (2003) yang menyatakan bahwa dalam jangka pendek terms of trade (lag 3), faktor risiko (lag 3), perubahan produktivitas, dan perubahan tingkat suku bunga terbukti memengaruhi keseimbangan nilai tukar jangka pendek secara signifikan. Selain itu, Nafisah (2018) dalam penelitiannya juga menyatakan bahwa variabel ekspor dan impor berpengaruh negatif dan signifikan terhadap nilai tukar rupiah dalam persamaan jangka pendek.…”

Section: Interpretasi Modelunclassified

Pengaruh Quantitative Easing dan Tapering Off serta Indikator Makroekonomi terhadap Nilai Tukar Rupiah

Dinata¹,

Oktora²

2020

KEK

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Since the 2008 financial crisis, rupiah’s volatility has experienced high volatility. This volatility is indicated associated with other macroeconomic indicators such as BI-Rate, export-import ratio, CPI, IHSG, and foreign exchange reserves against the rupiah exchange rate. In addition, in terms of an external factor, there is a nonconventional monetary policy package taken by The Fed to restore the economy of the United States after the 2008 financial crisis called Quantitative Easing (QE) and Tapering Off (TO). This study aims to see the effect of these two policies and macroeconomic variables on the rupiah exchange rate. This research uses time-series data from January 2005-December 2017 is carried out using the Autoregressive Distributed Lag (ARDL) method. Based on the result, we concluded that the model obtained was ARDL (3,0,5,0,4,3). We found that rupiah exchange rate 1st and 3rd lag, export-import ratio 3rd lag, foreign exchange reserves current period, CPI 4th lag, IHSG current period, 1st, 2nd, and 3rd lag, and the QE policy significantly affect the rupiah’s volatility. This shows that the stability of the rupiah is not only based on fundamental economic variables but also based on the monetary policies of other countries.

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Section: Interpretasi Modelunclassified

Pengaruh Quantitative Easing dan Tapering Off serta Indikator Makroekonomi terhadap Nilai Tukar Rupiah

Dinata¹,

Oktora²

2020

KEK

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“…For example, net foreign assets deteriorate, there will be a depreciation in the equilibrium exchange rate. If the actual real exchange rate does not change to its equilibrium exchange rate there will be misalignment (Kurniati, 1999)…”

Section: Literature Reviewmentioning

confidence: 99%

Determinant of Rupiah Exchange Rate and Misalignment (2000-2018)

Tamery¹,

Wijaya²

2020

IJSSER

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This study aims to analyze the determinants of rupiah exchange rate and explain the amount of currency misalignment. The variables used in this study are real equilibrium exchange rate, terms of trade, net foreign assets, relative price of non-traded to traded goods, trade openness and real interest rate differential. This study uses the Behavioral Equilibrium Exchange Rate (BEER) approach to estimate the rupiah equilibrium value quarterly over the period 2000-2018. The method used in this study is Error Correction Model (ECM). The results of the study found that variables that are significant determinants of long-run equilibrium exchange rates are net foreign assets and terms of trade, while in the short term are terms of traded and relative price of nontraded to traded goods. Based on the estimation of currency misalignment, it was concluded that the rupiah tended to approach equilibrium exchange rates during the study period. In 2001Q2 was the highest undervalued period -13.51% , while the 2006Q1 period showed the highest overvalued 13%. The findings of this study indicate that the rupiah is still vulnerable to undervaluation shocks.

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Perilaku Nilai Tukar Rupiah Dan Alternatif Perhitungan Nilai Tukar Riil Keseimbangan

Cited by 2 publications

References 1 publication

Pengaruh Quantitative Easing dan Tapering Off serta Indikator Makroekonomi terhadap Nilai Tukar Rupiah

Pengaruh Quantitative Easing dan Tapering Off serta Indikator Makroekonomi terhadap Nilai Tukar Rupiah

Determinant of Rupiah Exchange Rate and Misalignment (2000-2018)

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