IDEAS home Printed from https://ideas.repec.org/a/idn/journl/v8y2005i3p1-24.html
   My bibliography  Save this article

ESTIMASI NILAI TUKAR RUPIAH PASKA KRISIS: Pendekatan Model Komposit

Author

Listed:
  • Jardine Ariena Husman

    (Bank Indonesia)

Abstract

This paper examines the factors that determined the Indonesian rupiah against US dollar nominal exchange rate post crisis period. The effect of the oil prices and the interaction of supply and demand in the foreign exchange market are included as part of explanatory variables besides other fundamentals, using an Error Correction Model (ECM). The use of composite model that incorporates a number of familiar approaches in exchange rate determination is found to outperform the model based on one single approach in term of their forecast performance. The estimation results show that the increase in oil price will depreciate the rupiah exchange rate and that risk factor is the most important factor that influences the rupiah development.

Suggested Citation

  • Jardine Ariena Husman, 2005. "ESTIMASI NILAI TUKAR RUPIAH PASKA KRISIS: Pendekatan Model Komposit," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 8(3), pages 1-24, December.
    • Handle: RePEc:idn:journl:v:8:y:2005:i:3:p:1-24
    DOI: https://doi.org/10.21098/bemp.v8i3.139
    as

    Download full text from publisher

    File URL: https://bulletin.bmeb-bi.org/cgi/viewcontent.cgi?article=1440&context=bmeb
    Download Restriction: no
    File URL: https://libkey.io/https://doi.org/10.21098/bemp.v8i3.139?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Sugeng & M. Noor Nugroho & Ibrahim & Yanfitri, 2010. "Pengaruh Dinamika Penawaran dan Permintaan Valas terhadap Nilai Tukar Rupiah dan Kinerja Perekonomian Indonesia," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 12(3), pages 289-328, January.
    2. Sugeng & M. Noor Nugroho & Ibrahim & Yanfitri, 2010. "Effects of Foreign Exchange Supply and Demand Dynamics to Rupiah Exchange Rate and Economic Performance," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 12(3), pages 289-328, January.

    More about this item

    Keywords

    Exchange Rate; ECM; composite model; BEER; CEER; forecasting; political risk; economic risk; financial risk;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:idn:journl:v:8:y:2005:i:3:p:1-24. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Lutzardo Tobing or Jimmy Kathon (email available below). General contact details of provider: https://edirc.repec.org/data/bigovid.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.