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Foreign Exchange Expectations In Indonesia: Regime Switching Chartists And Fundamentalists Approach

Author

Listed:
  • Ferry Syarifuddin

    (Bogor Agricultural University)

  • Noer Azam Achsani

    (Bogor Agricultural University)

  • Dedi Budiman Hakim

    (Bogor Agricultural University)

  • Toni Bakhtiar

    (Bogor Agricultural University)

Abstract

In this research, the effect of central bank intervention within a heterogeneous expectation exchange rate model is investigated. The results are supporting both chartists and fundamentalist regimes. In the period investigated, chartist dominates in determining the exchange rate. While BI foreign exchange intervention can effectively push the market exchange-rate to its long-run fundamental equilibrium, however, Bank Indonesia’s effort to exert a stabilizing effect of foreign exchange interventions, the result does not show a success.

Suggested Citation

  • Ferry Syarifuddin & Noer Azam Achsani & Dedi Budiman Hakim & Toni Bakhtiar, 2014. "Foreign Exchange Expectations In Indonesia: Regime Switching Chartists And Fundamentalists Approach," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 17(2), pages 1-24, October.
    • Handle: RePEc:idn:journl:v:17:y:2014:i:2c:p:1-24
    DOI: https://doi.org/10.21098/bemp.v17i2.49
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    Cited by:

    1. Naufa, Ahmad Maulin & Lantara, I Wayan Nuka & Lau, Wee-Yeap, 2019. "The impact of foreign ownership on return volatility, volume, and stock risks: Evidence from ASEAN countries," Economic Analysis and Policy, Elsevier, vol. 64(C), pages 221-235.

    More about this item

    Keywords

    exchange rates; foreign-exchange intervention; switching regression;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models

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