The time series regression analysis in evaluating the economic impact of COVID-19 cases in Indonesia | Zendy

Utriweni Mukhaiyar | Zendy; Devina Widyanti | Zendy; Sandy Vantika | Zendy

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The time series regression analysis in evaluating the economic impact of COVID-19 cases in Indonesia

Author(s) -

Utriweni Mukhaiyar,

Devina Widyanti,

Sandy Vantika

Publication year - 2021

Publication title -

model assisted statistics and applications

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.178

H-Index - 11

eISSN - 1875-9068

pISSN - 1574-1699

DOI - 10.3233/mas-210533

Subject(s) - covid-19 , exchange rate , autoregressive model , time series , regression analysis , econometrics , statistics , economics , mathematics , medicine , monetary economics , disease , infectious disease (medical specialty)

This study aims to determine the impact of COVID-19 cases in Indonesia on the USD/IDR exchange rate using the Transfer Function Model and Vector Autoregressive Moving-Average with Exogenous Regressors (VARMAX) Model. This paper uses daily data on the COVID-19 case in Indonesia, the USD/IDR exchange rate, and the IDX Composite period from 1 March to 29 June 2020. The analysis shows: (1) the higher the increase of the number of COVID-19 cases in Indonesia will significantly weaken the USD/IDR exchange rate, (2) an increase of 1% in the number of COVID-19 cases in Indonesia six days ago will weaken the USD/IDR exchange rate by 0.003%, (3) an increase of 1% in the number of COVID-19 cases in Indonesia seven days ago will weaken the USD/IDR exchange rate by 0.17%, and (4) an increase of 1% in the number of COVID-19 cases in Indonesia eight days ago will weaken the USD/IDR exchange rate by 0.24%.

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