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The Comparative Analysis between Real Variable and Monetary Approach in Estimating and Forecasting Foreign Exchange Rate of Rupiah

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  • Bambang SUPRAYITNO

    (Universitas Negeri Yogyakarta)

Abstract

This paper aims to compare forecasting foreign exchange rate between real variable approach and monetary approach Estimation model of ECM is used to estimate and forecast through those approaches Completing the comparison We also involve estimating and forecasting through adaptive expectation we run ARIMA model to estimate and forecast real exchange rate We utilize data of Indonesia in 1979 2000 to estimate the models Parameter resulted is used to forecast ex post real exchange rate in interval 2001 2009 Empirical analysis shows that ARIMA s prediction trend follows nearest the actual The analysis supports the fact which is provide by step by step forecasting and explain that ARIMA outperform than others in 1st three years 2001 2003 the 2nd 2004 2006 the 3rd 2007 2009 and all of nine years horizon forecasting It also shows that MON consistently outperforms REAL One of interesting points REAL outperforms all method in the longer observation all observation in estimating parameters

Suggested Citation

  • Bambang SUPRAYITNO, 2017. "The Comparative Analysis between Real Variable and Monetary Approach in Estimating and Forecasting Foreign Exchange Rate of Rupiah," Journal of Advanced Research in Law and Economics, ASERS Publishing, vol. 8(6), pages 1966-1974.
    • Handle: RePEc:srs:jarle0:v:8:y:2017:i:6:p:1966-1974
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