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Autor
Aji Tony Seno (Universitas Negeri Surabaya, Indonesia), Prabowo Prayudi Setiawan (Universitas Negeri Surabaya, Indonesia), Canggih Clarashinta (Universitas Negeri Surabaya, Indonesia)
Tytuł
Causality Relationship Among Interest Rate, Inflation, Exchange Rate Using Vector Autoregression
Źródło
Economics, Management and Sustainability, 2021, vol. 6, nr 1, s. 49-60, rys., tab., bibliogr. 13 poz.
Słowa kluczowe
Stopa procentowa, Inflacja, Kurs walutowy, Model wektorowej autoregresji
Interest rate, Inflation, Exchange rates, Vector Autoregression Model (VAR)
Uwagi
Klasyfikacja JEL: C01, C02, E31, E43
summ.
Kraj/Region
Indonezja
Indonesia
Abstrakt
This paper aimed to analyze the causal relationship between interest rates, inflation, and exchange rates in Indonesia. This paper used Vector Autoregression (VAR). The Granger causality showed that the interest rate did not affect inflation, but inflation affected the interest rates. The exchange rate affected inflation, but inflation did not affect the exchange rate. As for the interest rate and the exchange rate, they did not affect each other. The Impulse Response Function of the interest rate was due to the shock of a positive change in one of its standard deviations. Inflation response to the change in one standard deviation of the interest rate initially was null in period one, increased in period two, and gradually decreased until period ten. The inflation response was due to the shock of a positive change in one of its standard deviations. In Variance Decomposition, interest rate shifting in period one and period two were still very dominantly influenced by the interest rate itself. Next, it was affected by inflation. Furthermore, changes in inflation in period one and period two were influenced dominantly by inflation itself. In the next period, interest rates and exchange rates affected inflation in a small percentage. (original abstract)
Pełny tekst
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Bibliografia
Pokaż
  1. Aji, T. S., Ismail, M., Maski, G., & Santoso, D. B. (2016). Determinant of exchange rate with hybrid model: Empirical evidence from Indonesia. Journal of Applied Economic Sciences, 11(6).
  2. Aji, T.S., Cahyono, H., & Yasin, A. (2019). Analysis of Exchange Rate of the Balance of Payment Approach Using Autoregressive Method. Journal of Applied Economics and Business, 7(1), 1857-8721. Retrieved from http://www.aebjournal.org/article070102.php
  3. Atmadja, A. S. (2002). Analisa pergerakan nilai tukar rupiah terhadap dolar amerika setelah diterapkannya kebijakan sistem nilai tukar mengambang bebas di indonesia. 4(1), 69-78. https://doi.org/https://doi.org/10.9744/jak.4.1.pp. 69-78
  4. Gujarati, D. N. (2004). Basic Econometrics (4th ed.). New York: Mc Graw Hill.
  5. Le, T. (2015). Exchange rate determination in Vietnam. 35(1), 657-664. Retrieved from http://www.accessecon.com/Pubs/EB/2015/Volume35/EB-15-V35-I1-P70.pdf
  6. Mankiw, N. G. (2019). Macroeconomics (10th ed.). New York: Macmillan Learning.
  7. Meisuri, P. E. A. (2013). Analisa Faktor-Faktor yang Mempengaruhi Nilai Tukar Rupiah terhadap Dollar Amerika. Equator Journal of Management and Entrepreneurship, 1(1). https://doi.org/http://dx.doi.org/10.26418/ejme.v1i1.1158
  8. Mishkin, F. (2016). The Economics of Money, Banking and Financial Markets (11th ed.). New York: Pearson.
  9. Pratiwi, T. E., Santosa, H. P. B. (2012). Analisis Perilaku Kurs Rupiah (IDR) terhadap Dollar Amerika (USD) pada Sistem Kurs Mengambang Bebas di Indonesia. Periode 1997.3 - 2011.4 (Aplikasi Pendekatan Keynesian Sticky Price Model). I(1), 1-13. Retrieved from https://ejournal3.undip.ac.id/index.php/jme/article/view/646/646
  10. Suseno, S. A. (2009). Inflasi. Jakarta: Bank Indonesia.
  11. Triyono. (2008). Analisis Perubahan Kurs Rupiah terhadap Dollar Amerika. Jurnal Ekonomi d Pembangunan, 9(2), 156-167. https://doi.org/https://doi.org/10.23917/jep.v9i2.1022
  12. Wibowo, T., & Amir, H. (2005). Faktor-faktor yang Mempengaruhi Nilai Tukar Rupiah. Kajian Ekonomi Dan Keuangan, 9(4), 17-41.
  13. Widarjono, A. (2016). Ekonometrika, Teori dan Aplikasi untuk Ekonomi dan Bisnis (5th ed.). Yogyakarta: UPP STIM YKPN.
Cytowane przez
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ISSN
2520-6303
Język
eng
URI / DOI
http://dx.doi.org/10.14254/jems.2021.6-1.4
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