The M-Arch Model: A New Concept of Nasal Tip Dynamics

Exchange rate is one tool to measure a country’s economic conditions. The growth of a stable currency value indicates that the country has a relatively good economic conditions or stable. This study has the purpose to analyze the factors that affect the exchange rate of the Indonesian Rupiah against the United States Dollar in the period of 2000-2013. The data used in this study is a secondary data which are time series data, made up of exports, imports, inflation, the BI rate, Gross Domestic Product (GDP), and the money supply (M1) in the quarter base, from first quarter on 2000 to fourth quarter on 2013. Regression model time series data used the ARCH-GARCH with ARCH model selection indicates that the variables that significantly influence the exchange rate are exports, inflation, the central bank rate and the money supply (M1). Whereas import and GDP did not give any influence.

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Exchange Rate Volatility in Emerging Markets:The Chilean Case

Revista Latinoamericana de Desarrollo Económico ◽

10.35319/lajed.20078191 ◽

2007 ◽

pp. 87-100

Author(s):

Juan R. Castro

Keyword(s):

Exchange Rate ◽

Exchange Rate Regime ◽

External Debt ◽

Exchange Rate Volatility ◽

Arch Model ◽

Macroeconomic Shocks ◽

Domestic Debt ◽

Domestic Credit ◽

The Face ◽

The Exchange Rate

The document conducts an empirical investigation on the volatility of the Chilean exchange rate regime, using a model of Objective Zones. Through the use of the ARCH model, the document tests the volatility of the exchange rate in the presence of different levels of international reserves and other macroeconomic shocks. The results show that domestic credit, domestic debt and external debt have the greatest impact on the volatility of the variables studied, especially when compared with other fundamental variables. The variance of the exchange rate is heterosedastic but it is not persistent, which implies that the exchange rate is stable, probably when it oscillates between two bands. The volatility of the exchange rate fluctuates to a greater extent in the face of changes in internal and external debt, than with the other variables used.

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