Open AccessPartial modeling of macroeconomic variables in industrial fields
Author(s) -
Nina Valentika,
Siti Alida John Abdullah,
Ilmadi,
Sri Istiyarti Uswatun Chasanah,
Agusyarif Rezka Nuha,
Mochammad Nurul Huda,
Vivi Iswanti Nursyirwan
Publication year - 2020
Publication title -
iop conference series. materials science and engineering
Language(s) - English
Resource type - Journals
eISSN - 1757-899X
pISSN - 1757-8981
DOI - 10.1088/1757-899x/909/1/012091
Subject(s) - cointegration , vector autoregression , exchange rate , econometrics , granger causality , error correction model , autoregressive model , mathematics , lag , causality (physics) , economics , statistics , macroeconomics , computer science , physics , quantum mechanics , computer network
This study modifies Catalbas’s (2016) and Pratikto’s (2012) research. The analysis used in this study is cross-correlation and analysis of the Vector Autoregression (VAR) method, Vector Autoregression in difference form (VARD) or Vector Error Correction Model (VECM) to test the relationship between variables with the ordinary least square (OLS) method and the causality test to test the relationship (causal relationship) between variables with the Granger Causality (GC) Test. Based on the correlation analysis, it is obtained that exports, imports, and interest rates have a negative and statistically significant relationship at the real level of 5% of the rupiah exchange rate. The model between exports and the rupiah exchange rate is the VAR (2) model. The model between imports and the rupiah exchange rate is a VECM with lag 3, there is 1 cointegration and the deterministic trend used is none intercept no trend. The model between the interest rate and the rupiah exchange rate is a VARD vector model with a lag 1. The model between inflation and the rupiah exchange rate is a VECM with lag 2 and the deterministic trend used is none intercept no trend and there is 1 significant cointegration at the 5% level.