scholarly journals Exchange Rate and Interest Rate in the Monetary Policy Reaction Function

2017 ◽  
Vol 6 (1) ◽  
pp. 55-86 ◽  
Author(s):  
Borivoje D. Krušković
Keyword(s):  
Exchange Rate ◽  
Data Analysis ◽  
Interest Rate ◽  
Transfer Function ◽  
Regression Model ◽  
Multiple Regression ◽  
Multiple Regression Model ◽  
Emerging Countries ◽  
Transfer Function Model ◽  
Function Model

Abstract In recent years there has been a particular interest in the relation between exchange rates and interest rates both in developed countries and emerging countries. This is understandable given the important role that these variables have in determining the movement of nominal and real economic variables, including the movement of domestic inflation, real output, exports and imports, foreign exchange reserves, etc. To realized the importance of the given instruments selected macroeconomic indicators, data analysis (monthly data) relating to Serbia was made on the basis of the Transfer Function Model, a data analysis (annual data) relating to emerging countries was done on the basis of the Stepvise Multiple Regression model. In the transfer function model we used the Maximum Likelihood method for assessing unknown coefficients. In the gradual multiple regression model we used the Least Square method for the evaluation of unknown coefficients. All indicator values were used in the original unmodified form, i.e. there was no need for a variety of transformations. Empirical analysis showed that the exchange rate is a more significant transmission mechanism than the interest rate both in emerging markets and Serbia.

Model Fungsi Transfer Input Ganda untuk Pemodelan Jakarta Islamic Index

2019 ◽  
Vol 7 (3) ◽  
Author(s):  
Nur Laela Fitriani ◽  
Pika Silvianti ◽  
Rahma Anisa
Keyword(s):  
Exchange Rate ◽  
Transfer Function ◽  
Multivariate Time Series ◽  
Model Identification ◽  
Transfer Function Model ◽  
Function Model ◽  
Jones Index ◽  
Multiple Input ◽  
Identification Stage ◽  
Stage Estimation

Transfer function model with multiple input is a multivariate time series forecasting model that combines several characteristics of ARIMA models by utilizing some regression analysis properties. This model is used to determine the effect of output series towards input series so that the model can be used to analyze the factors that affect the Jakarta Islamic Index (JII). The USD exchange rate against rupiah and Dow Jones Index (DJI) were used as input series. The transfer function model was constructed through several stages: model identification stage, estimation of transfer function model, and model diagnostic test. Based on the transfer function model, the JII was influenced by JII at the period of one and two days before. JII was also affected by the USD exchange rate against rupiah at the same period and at one and two days before. In addition, the JII was influenced by DJI at the same period and also at period of one until five days ago. The Mean Absolute Prencentage Error (MAPE) value of forecasting result was 0.70% and the correlation between actual and forecast data was 0.77. This shows that the model was well performed for forecasting JII.

scholarly journals PERAMALAN JUMLAH KUNJUNGAN WISATAWAN MANCANEGARA YANG BEKUNJUNG KE BALI MENGGUNAKAN FUNGSI TRANSFER

2016 ◽  
Vol 5 (4) ◽  
pp. 139
Author(s):  
I KETUT PUTRA ADNYANA ◽  
I WAYAN SUMARJAYA ◽  
I KOMANG GDE SUKARSA
Keyword(s):  
Exchange Rate ◽  
Transfer Function ◽  
Multivariate Time Series ◽  
Arima Model ◽  
Information Criterion ◽  
Percentage Error ◽  
Transfer Function Model ◽  
Function Model ◽  
Diagnostic Checking ◽  
The Exchange Rate

The aim of this research is to model and forecast the number of tourist arrivals to Bali using transfer function model based on exchange rate USD to IDR from January 2009 to December 2015. Transfer function model is a multivariate time series model which can be used to identify the effect of the exchange rate to the number of tourist arrivals to Bali. The first stage in transfer function modeling is identification of ARIMA model in exchange rate USD to IDR variable. The best ARIMA model is chosen based on the smallest Akaike information criterion (AIC). The next stage are as follows identification of transfer function model, estimation of transfer function model, and diagnostic checking for transfer function model. The estimated transfer function model suggests that the number of tourist arrivals to Bali is affected by the exchange rate of the previous eight months. The mean absolute percentage error (MAPE) is equal of the forecasting model to 9,62%.

Impact of Exchange Rate and Jakarta Composite Index on Stock Price: A Case of Pharmaceutical Company in Indonesia

2015 ◽  
Vol 21 (4) ◽  
pp. 823-825
Author(s):  
Nino Manggala Prabha ◽  
Togar Alam Napitulu
Keyword(s):  
Exchange Rate ◽  
Pharmaceutical Industry ◽  
Stock Market ◽  
Regression Model ◽  
Pharmaceutical Company ◽  
Multiple Regression ◽  
Stock Price ◽  
Investment Decision ◽  
Composite Index ◽  
Multiple Regression Model

Stock market is growing in Indonesia and has become an important source of financing for industry in the country. This is true for pharmaceutical industry and as such, predicting the stock price in this industry is deemed very important in making investment decision. It is therefore necessary to know variables that affect stock price in this industry, in particular those that can be easily acquired and have relationship with the stock price. The objective of the study then is to find such variables. It was conjectured that exchange rate and the Jakarta Composite Index were among such variables. A linear multiple regression model was utilized to test such hypothesis. The results indicated that exchange rate positively affects stock price with a magnitude of 0.105 points. Similarly, the Jakarta Composite Index also positively affects stock price with magnitude of 0.417 points. The reliability of this model in predicting the stock price was 63%. Therefore, it is recommended to consider these variables in predicting stock price of the pharmaceutical company, hence important indicators for investors to be considered in making decision whether to buy or not to buy.

scholarly journals Analisis Pengaruh Kurs USD terhadap Jakarta Islamic Index dengan Menggunakan Model Fungsi Transfer

2018 ◽  
Vol 2 (2) ◽  
pp. 66-72
Author(s):  
Pika Silvianti ◽  
Nur Laela Fitriani
Keyword(s):  
Exchange Rate ◽  
Transfer Function ◽  
Explanatory Variable ◽  
Arima Model ◽  
Diagnostic Testing ◽  
Forecasting Model ◽  
Transfer Function Model ◽  
Function Model ◽  
Model Diagnostic ◽  
The Exchange Rate

The transfer function model is a time series forecasting model that combines several characteristics ofthe ARIMA model one variable with several characteristics of regression analysis. This model is used to determine the effect of an explanatory variable (input series) on the response variable (output series). This study uses a transfer function model to analyze the effect of the exchange rate on Jakarta Islamic Index. The transfer function model is structured through several stages, starting from modelidentification, estimation of the transfer function model, and model diagnostic testing. Based on the transfer function model, Jakarta Islamic Index was influenced by Jakarta Islamic Index in one and two days earlier and the exchange rate in the same period and one to two days earlier. The forecasting MAPE value of 0.6529% shows that the transfer function model obtained is good enough in forecasting.

scholarly journals A Multivariable Scatterplot Smoother

2005 ◽  
Vol 5 (3) ◽  
pp. 405-412 ◽  
Author(s):  
Patrick Royston ◽  
Nicholas J. Cox
Keyword(s):  
Data Analysis ◽  
Regression Model ◽  
Multiple Regression ◽  
Exploratory Data Analysis ◽  
Multiple Regression Model ◽  
Response Variable ◽  
Exploratory Data ◽  
Continuous Predictors

We present an extension of Sasieni, Royston, and Cox's bivariate smoother running to the multivariable context. The software aims to provide a picture of the relation between a response variable and each of several continuous predictors simultaneously. This may be a valuable tool in exploratory data analysis, before constructing a more formal multiple regression model.

scholarly journals Pengaruh Independensi, Pengalaman Kerja, Objektifitas dan Integritas Internal Auditor Terhadap Kualitas Audit (Survey Pada Bank Swasta Nasional Di Wilayah Jawa Barat)

2020 ◽  
Vol 11 (2) ◽  
pp. 65
Author(s):  
Asep Kuswara
Keyword(s):  
Data Analysis ◽  
Regression Model ◽  
Multiple Regression ◽  
Audit Quality ◽  
Sampling Technique ◽  
Multiple Regression Model ◽  
Internal Auditor ◽  
Significance Level ◽  
Joint Integrity ◽  
Sampling Approach

Unqualified opinion (WTP) is a statement given oleh independent auditor. Such statement is proclaimed in froud manner and should  be known by public. However, a sound statement given by the auditor does not necessarily mean that the organization is free from corruption, fraud or deceit. The purpose of this research is to examine the significance level of independence, working experience, objectivity and integrity to the audit quality, both partially and jointly. Survey with questionnaire was used during this research. collecting data through questionnaireson the interval auditor in national Banks headquartered in west Java.The sampling technique used purposive sampling approach. Samples were deployed in this study were 100 questionnaires in seven Bank is headquartered in West Java. Data analysis was performed by multiple regression model  This study reveals that independent, working experience, objectivity and joint integrity affect audit quality. This study also reveals that partially, working experience and integrity have significance affect on audit quality, while independence and objectivity have little significance on the audit quality.

scholarly journals Pengalaman, Due Professional Care, Akuntabilitas dan Kualitas Audit

2021 ◽  
Vol 8 (01) ◽  
pp. 108-121
Author(s):  
Henni Andriani Syahril
Keyword(s):  
Data Analysis ◽  
Regression Model ◽  
Multiple Regression ◽  
Audit Quality ◽  
Multiple Regression Model ◽  
Survey Method ◽  
Convenience Sampling ◽  
Professional Care ◽  
The Impact

ABSTRACT This research was aimed to analyze and provide empirical evidences about the impact of  experience, due professional care, and accountability on audit quality. This study was conducted by using survey method with questionnaire.The population in this study are auditors who work in Inspectorate General of the Ministry of Health. This study used convenience sampling which was conducted by determination of samples counted with Slovin formula, so that only 89 questionnaires could be processed. Data analysis was conducted using multiple regression model. The result proved that experience, due professional care,and accountability on audit quality simultaneously. Besides that, this study proved that e, due professional care, and accountability, audit quality partially, but experienc didn’t influence audit quality. ABSTRAK Tujuan penelitian ini yaitu untuk mengetahui, menganalisis dan mendapatkan bukti empiris tentang pengaruh pengalaman, due professional care, dan akuntabilitas terhadap kualitas audit yang dimiliki auditor Inspektorat Jenderal Kementerian Kesehatan RI. Metode yang digunakan adalah survei dengan kuesioner. Populasi penelitian ini adalah semua auditor yang bekerja pada Inspektorat Jenderal Kementerian Kesehatan RI. Data dianalisis dengan melakukan uji validitas dan reliabilitas, uji asumsi klasik dan pengujian hipotesis dengan metode regresi linier berganda. Data yang digunakan untuk penelitian ini yaitu data primer dengan menyebarkan kuesioner kepada 89 responden. Hasil yang diperoleh menunjukkan bahwa secara simultan faktor pengalaman, due professional care dan akuntabilitas mempengaruhi kualitas audit, secara parsial due professional care dan akuntabilitas mempengaruhi kualitas audit, sedangkan pengalaman tidak berpengaruh terhadap kualitas audit.

scholarly journals Administrative Costs and Tariff Rates in the Presence of Customs Evasion: Evidence from Ecuador

Economies ◽  
2021 ◽  
Vol 9 (1) ◽  
pp. 21
Author(s):  
Jazmín González Aguirre ◽  
Alberto Del Villar
Keyword(s):  
International Trade ◽  
Transfer Function ◽  
Gross Domestic Product ◽  
Foreign Trade ◽  
Transfer Function Model ◽  
Administrative Cost ◽  
Function Model ◽  
Administrative Costs ◽  
Tariff Rates ◽  
Budgetary Expenditure

This paper seeks to assess the effectiveness of customs policies in increasing the resources devoted to controlling and inspection. Specifically, it seeks to analyze whether an increase in the administrative cost of collecting taxes on foreign trade in Ecuador contributes to reducing customs fraud. To this end, we identify and estimate a transfer function model (ARIMAX), considering information on foreign trade such as official international trade statistics report and tariff rates, as well as the execution of budgetary expenditure and Ecuador’s gross domestic product (GDP). The period under study includes quarterly series from 2006 to 2018. The results obtained by the model indicate that allocating greater material and budgetary resources to combat customs fraud does not always achieve the objective of reducing customs evasion.

Sign in / Sign up

Export Citation Format

Share Document