Exchange Rate of Indonesia: Does Rupiah Overshoot?

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Exchange Rate of Indonesia: Does Rupiah Overshoot?

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Pratomo, Wahyu Ario

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Wahyu Ario Pratomo

Abstract

This research attempts to analyze whether Rupiah overshoots when the crisis hit Indonesia in mid of 1998. It also try to find out the fundamental macroeconomic factors that influence exchange rate when economic crisis hit Indonesia. It uses ordinary least square method and also cointegration in order to see long-term relationship. Furthermore, in order to examine the stability of exchange rate when the exchange rate system changed from managed floating to free floating, this paper apply Chow Test. The result shows that when the economic crisis hit Indonesia, Rupiah overshoots and there has been a structural change of exchange rate after 1998.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 7381.

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Date of creation: Sep 2005
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Handle: RePEc:pra:mprapa:7381

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Find related papers by JEL classification:
E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
F31 - International Economics - - International Finance - - - Foreign Exchange
E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates

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Frankel, Jeffrey A, 1979. "On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials," American Economic Review, American Economic Association, vol. 69(4), pages 610-22, September. [Downloadable!] (restricted)
Maurice Obstfeld & Kenneth Rogoff, 2000. "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?," NBER Working Papers 7777, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Other versions:
- Maurice Obstfeld & Kenneth Rogoff, 2001. "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?," International Trade 0012003, EconWPA. [Downloadable!]
- Maurice Obstfeld and Kenneth Rogoff., 2000. "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?," Center for International and Development Economics Research (CIDER) Working Papers C00-112, University of California at Berkeley. [Downloadable!]
- Maurice Obstfeld & Kenneth Rogoff, 2000. "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?," Center for International and Development Economics Research, Working Paper Series 1010, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley. [Downloadable!]
- Maurice Obstfeld & Kenneth Rogoff, 2001. "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?," NBER Chapters, in: NBER Macroeconomics Annual 2000, Volume 15, pages 339-412 National Bureau of Economic Research, Inc. [Downloadable!]
Papell, David H., 1988. "Expectations and exchange rate dynamics after a decade of floating," Journal of International Economics, Elsevier, vol. 25(3-4), pages 303-317, November. [Downloadable!] (restricted)
Other versions:
- Papell, D.H., 1988. "Expectations And Exchange Rate Dynamics After A Decade Of Floating," Papers 9, Houston - Department of Economics.
Bahmani-Oskooee, Mohsen, 1998. "Do exchange rates follow a random walk process in Middle Eastern countries?," Economics Letters, Elsevier, vol. 58(3), pages 339-344, March. [Downloadable!] (restricted)
David Backus, 1984. "Empirical Models of the Exchange Rate: Separating the Wheat from the Chaff," Canadian Journal of Economics, Canadian Economics Association, vol. 17(4), pages 824-46, November. [Downloadable!] (restricted)
Other versions:
- David Backus, 1982. "Empirical Models of the Exchange Rate: Separating the Wheat from the Chaff," Working Papers 463, Queen's University, Department of Economics.
Driskill, Robert A, 1981. "Exchange-Rate Dynamics: An Empirical Investigation," Journal of Political Economy, University of Chicago Press, vol. 89(2), pages 357-71, April. [Downloadable!] (restricted)

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