Open AccessANALISIS APLIKASI MODEL NERACA PEMBAYARAN DAN MODEL MONETER TERHADAP NILAI TUKAR RUPIAH/ DOLAR, PERIODE 1980.1 – 2000.4
Author(s) -
Didi Nuryadin,
M.Soc.Sc Bagus Santoso
Publication year - 2005
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 4
ISSN - 2460-9196
DOI - 10.21098/bemp.v7i2.111
Subject(s) - exchange rate , balance of payments , economics , econometrics , variable (mathematics) , devaluation , unit root test , current account , error correction model , cointegration , mathematics , monetary economics , mathematical analysis
This paper is aimed to analyze variables determines the exchange rate of rupiah. Using exchange rate model (balance of payment and monetary model) developed by Fullerton, Hattori and Calderon (2001) we incorporate two additional variables namely policy variable and crises variable.We apply unit root test to observe the existence of structural break during observed period. Prior the implementation of Engel-Granger Error Correction Model, we test whether our variables in equation are cointegrated. Following Hendry’s general to specific modeling procedure, we get two simple models namely balance of payment and monetary model.Our result shows all explanatory variables significantly determine exchange rate in both models. However international reserve and national income has opposite sign before and during the crisis. Devaluation which is captured by dummy variable has positive impact (depreciates) exchange rate as well as crisis dummy variable. We also note that the speed of adjustment in balance of payment model, 17.51% is greater than in monetary model, 12.47%.Keywords: Exchange rate, balance of payment, structural break, Error Correction ModelJEL: C32, F31, F41.