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Analisis Aplikasi Model Neraca Pembayaran Dan Model Moneter Terhadap Nilai Tukar Rupiah/ Dolar, Periode 1980.1 – 2000.4

Author

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  • Didi Nuryadin

    (Gadjah Mada University)

  • Bagus Santoso

    (Gadjah Mada University)

Abstract

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%.

Suggested Citation

  • Didi Nuryadin & Bagus Santoso, 2004. "Analisis Aplikasi Model Neraca Pembayaran Dan Model Moneter Terhadap Nilai Tukar Rupiah/ Dolar, Periode 1980.1 – 2000.4," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 7(2), pages 1-24, September.
    • Handle: RePEc:idn:journl:v:7:y:2004:i:2:p:1-24
    DOI: https://doi.org/10.21098/bemp.v7i2.111
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    More about this item

    Keywords

    Exchange Rate; Balance of Payment; Structural Break; Error Correction Model;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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