scholarly journals Forecasting The Exchange Rate (IDR) of US Dollar (USD) Using Locally Stationary Wavelet

2018 ◽  
Vol 18 (2) ◽  
pp. 145-154
Author(s):  
Dina Tri Utari
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Market Mechanism ◽  
Series Data ◽  
Percentage Error ◽  
Currency Exchange ◽  
Currency Exchange Rate ◽  
Us Dollar ◽  
The Exchange Rate ◽  
The Impact

Currency exchange rate of a country to the other countries is fluctuative. The movement of the exchange rate affects the country’s economy. The exchange rate can change any time according to the market mechanism, therefore currency exchange predictions is required to determine future economic policy. Based on the impact of exchange rate in economy fluctuations, an accurate model is needed to determine the exchange rate movements.In this case, the model is Locally Stationary Wavelet (LSW). This model combines stocastic process class based on wavelet non decimated. LSW model can catch most of the information in time series data. Based on the application of LSW mtehod on the data of the rupiah against the US dollar for the period April 2016 - March 2017, it can be concluded that model provides forecasting results approaching actual data therefore it can be used for forecasting exchange rates. The value of the mean absolute percentage error (MAPE) is 0,1201293%. 

scholarly journals EFFECT OF INTEREST RATE, INFLATION AND NATIONAL INCOME TO RUPIAH THE AMERICAN DOLLARS IN 2006-2016

2017 ◽  
Vol 15 (2) ◽  
pp. 240-248
Author(s):  
Muhammad Irsyad Mustaqim ◽  
Saparuddin Mukhtar ◽  
Tuty Sariwulan
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Multiple Regression ◽  
Time Series Data ◽  
National Income ◽  
Coefficient Of Determination ◽  
Series Data ◽  
The Us ◽  
Us Dollar ◽  
The Exchange Rate

This research aims to analyze the effect of interest rates, inflation and national income against the rupiah exchange rate over the US dollar. As for the data used in this research is secondary data, with this type of time series data in the period 2006-2016 obtained from Bank Indonesia and the World Bank. The method of this research method using exposé facto. Data analysis techniques used in this research is the analysis of multiple regression. By using multiple regression analysis model, the output shows that interest rates (X 1) positive and significant effect of the exchange rate of the rupiah against the US dollar up (Y). Inflation rate (X 2) do not affect the exchange rate of the rupiah significantly to top u.s. dollars (Y). National income (X 3) a positive effect of the exchange rate of the rupiah against the US dollar up (Y). Of test results by looking at their significance value F = 0.000 then it can be said to be 0.05 < simultaneously interest rates, inflation and national income effect significant at α = 5% against the rupiah exchange rate over the US dollar in the year 2006-2016. The value of the coefficient of determination (R2) acquired for 0.660 has a sense that the rupiah exchange rate over the US dollar can be explained by the level of interest rates, inflation and national income amounted to 66% while the rest is explained by other factors that do not exist in the model for this research.

scholarly journals An Intelligent Event-Sentiment-Based Daily Foreign Exchange Rate Forecasting System

2019 ◽  
Vol 9 (15) ◽  
pp. 2980 ◽  
Author(s):  
Muhammad Yasir ◽  
Mehr Yahya Durrani ◽  
Sitara Afzal ◽  
Muazzam Maqsood ◽  
Farhan Aadil ◽  
...  
Keyword(s):  
Deep Learning ◽  
Exchange Rate ◽  
Foreign Exchange ◽  
Foreign Currency ◽  
Foreign Exchange Rate ◽  
Exchange Rate Forecasting ◽  
Currency Exchange ◽  
Currency Exchange Rate ◽  
Us Dollar ◽  
The Exchange Rate

Financial time series analysis is an important research area that can predict various economic indicators such as the foreign currency exchange rate. In this paper, a deep-learning-based model is proposed to forecast the foreign exchange rate. Since the currency market is volatile and susceptible to ongoing social and political events, the proposed model incorporates event sentiments to accurately predict the exchange rate. Moreover, as the currency market is heavily dependent upon highly volatile factors such as gold and crude oil prices, we considered these sensitive factors for exchange rate forecasting. The validity of the model is tested over three currency exchange rates, which are Pak Rupee to US dollar (PKR/USD), British pound sterling to US dollar (GBP/USD), and Hong Kong Dollar to US dollar (HKD/USD). The study also shows the importance of incorporating investor sentiment of local and foreign macro-level events for accurate forecasting of the exchange rate. We processed approximately 5.9 million tweets to extract major events’ sentiment. The results show that this deep-learning-based model is a better predictor of foreign currency exchange rate in comparison with statistical techniques normally employed for prediction. The results present evidence that the exchange rate of all the three countries is more exposed to events happening in the US.

scholarly journals Implication of Monetary Policy Rate and Interest Rate on Exchange Rate in Nigeria: 1981-2017

2019 ◽  
pp. 1-11
Author(s):  
Nnamani, Vincent ◽  
Anyanwaokoro, Mike
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Time Series Data ◽  
Unit Root Test ◽  
Series Data ◽  
Statistical Tool ◽  
Long Run ◽  
The Exchange Rate ◽  
The Impact

The study investigated the implication of monetary policy rate on the exchange rate and interest rate in Nigeria, 1981-2017. Because of the above-stated problems, the specific objectives are to: Investigate the effect of monetary policy rate on the exchange rate in Nigeria, determine the effect of the monetary policy rate on interest rate in Nigeria. The analysis of error correction and autoregressive lags fully covers both long-run and short-run relationships of the variable under study. The statistical tool of analysis employed in the study is Autoregressive Distributed Lags (ARDL) and Philips Peron method of stationary testing and structural breakpoint unit root test., these methods were employed to check the stationarity and breakpoint analysis of the time series data employed in this study. The study observed that monetary policy rate has a positive and significant effect on the exchange rate in Nigeria. It was also observed that the monetary policy rate has a positive and significant effect on the interest rate in Nigeria. Overall, our results indicated that the impact of monetary policy on the exchange rate was significant. There was a positive and significant relationship between monetary policy variables and exchange rate. The conclusion that is drawn from our results is that monetary policy remains an effective and potent tool for ensuring a stable exchange rate in Nigeria. The study recommended that monetary policy should be used to create a favourable investment environment by facilitating the emergence of market-based interest rate and exchange rate regimes which could attract domestic and foreign investments. Second; the Central bank of Nigeria (CBN) need to avoid ordination and balance between monetary and fiscal policies to ensure the smooth realization of monetary policy goals. Policy inconsistency or summersault to determine its policy impact before contemplating a change. Finally, there should be a coo.

scholarly journals Economic Consequences of Covid-19 Pandemic: An Analysis of Exchange Rate Behaviour

2021 ◽  
Vol 12 (2) ◽  
pp. 258-284
Author(s):  
Maheswar Sethi ◽  
Sakti Ranjan Dash ◽  
Rabindra Kumar Swain ◽  
Seema Das
Keyword(s):  
Exchange Rate ◽  
Economic Consequences ◽  
Asymmetric Effect ◽  
Currency Exchange ◽  
Currency Exchange Rate ◽  
Effect Regression ◽  
Asymmetric Impact ◽  
The Exchange Rate ◽  
The Impact ◽  
Rate Behaviour

This paper examines the effect of Covid-19 on currency exchange rate behaviour by taking a sample of 37 countries over a period from 4th January 2020 to 30th April 2021. Three variables, such as daily confirmed cases, daily deaths, and the world pandemic uncertainty index (WPUI), are taken as the measure of Covid-19. By applying fixed-effect regression, the study documents that the exchange rate behaves positively to the Covid-19 outbreak, particularly to daily confirmed cases and daily deaths, which implies that the value of other currencies against the US dollar has been depreciated. However, the impact of WPUI is insignificant. On studying the time-varying impact of the pandemic, the study reveals that the Covid-19 has an asymmetric impact on exchange rate over different time frames. Further, it is observed that though daily confirmed cases and daily deaths show a uniform effect, WPUI puts an asymmetric effect on the exchange rate owing to the nature of economies.

Faktor-Faktor Yang Mempengaruhi Nilai Tukar Dollar Amerika Serikat Terhadap Rupiah Tahun 2000–2013

2017 ◽  
Vol 1 (2) ◽  
pp. 177-191
Author(s):  
Rizki Rahma Kusumadewi ◽  
Wahyu Widayat
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Money Supply ◽  
Time Series Data ◽  
The United States ◽  
Economic Conditions ◽  
Series Data ◽  
Arch Model ◽  
United States Dollar ◽  
The Exchange Rate

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.

Impact of exchange rate and oil price on the yield of sovereign bond and sukuk: Evidence from Malaysian capital market

2017 ◽  
Vol 5 (4) ◽  
pp. 27
Author(s):  
Huda Arshad ◽  
Ruhaini Muda ◽  
Ismah Osman
Keyword(s):  
Exchange Rate ◽  
Capital Market ◽  
Time Series Data ◽  
Oil Prices ◽  
Oil Price ◽  
Series Data ◽  
Sovereign Bond ◽  
Long Run ◽  
Short Run ◽  
The Impact

This study analyses the impact of exchange rate and oil prices on the yield of sovereign bond and sukuk for Malaysian capital market. This study aims to ascertain the effect of weakening Malaysian Ringgit and declining of crude oil price on the fixed income investors in the emerging capital market. This study utilises daily time series data of Malaysian exchange rate, oil price and the yield of Malaysian sovereign bond and sukuk from year 2006 until 2015. The findings show that the weakening of exchange rate and oil prices contribute different impacts in the short and long run. In the short run, the exchange rate and oil prices does not have a direct relation with the yield of sovereign bond and sukuk. However, in the long run, the result reveals that there is a significant relationship between exchange rate and oil prices on the yield of sovereign bond and sukuk. It is evident that only a unidirectional causality relation is present between exchange rate and oil price towards selected yield of Malaysian sovereign bond and sukuk. This study provides numerical and empirical insights on issues relating to capital market that supports public authorities and private institutions on their decision and policymaking process.

scholarly journals Macro Economic Challenges and Third Party Funds of Islamic Commercial Banks in Indonesia

2019 ◽  
Vol 3 (1) ◽  
Author(s):  
Anik Anik ◽  
Iin Emy Prastiwi
Keyword(s):  
Exchange Rate ◽  
Money Supply ◽  
Time Series Data ◽  
Data Gathering ◽  
Third Party ◽  
Series Data ◽  
Monthly Data ◽  
The Us ◽  
Us Dollar ◽  
Gathering Data

This article aims to determine the effect of inflation, the BI Rate, the exchange rate of the rupiah to the US dollar, and the amount of money supply for Third Party Funds (TPF) in Indonesians’ Islamic Banks during 2013-2016. This research method uses multiple regression analysis with time series data; gathering data from 48 samples of which are monthly data on the variables.  The result of this research find that the inflation and exchange rate variables have no significant effect on TPF, while the BI Rate variable and the money supply have a significant effect on TPF. In doing so, Islamic banking can pay serious attention to the BI rate and the money supply and in this study the BI rate on the direction of TPF. Keywords: inflation, BI rate, exchange rate, Third Party Funds

scholarly journals INDIKATOR MAKROEKONOMI DAN RETURN SAHAM SYARIAH DI INDONESIA

2013 ◽  
Vol 2 (2) ◽  
Author(s):  
Utami Baroroh
Keyword(s):  
Exchange Rate ◽  
Discount Rate ◽  
Stock Return ◽  
Time Series Data ◽  
Empirical Test ◽  
Cointegration Test ◽  
Series Data ◽  
Causality Test ◽  
Us Dollar

The objectives of this study are to examine empirical test the long term equilibrium and simulteneous relationship between macroeconomics variables to stock return in Indonesia and to observe stock return response because shock/innovation of inflation, SBI discount rate and exchange rate Rupiah to US dollar. The data sample used in this study are monthly time series data from 2003.1 – 2010.6. Those data are SBI discount rate, inflation (CPI), exchange rate Rupiah to US dollar, money supply and stock return (IHSG). A method of analysis in this study are Granger Causality Test and Cointegration test. The empirical results shows that SBI discount rate, inflation (CPI), and exchange rate Rupiah to US dollar have causality relationship to stock return.. The cointegration test indicates that among research variables there is long term equilibrium and simultaneous relationshipDOI: 10.15408/sjie.v2i2.2421

scholarly journals THE IMPACT OF EXCHANGE RATE VOLATILITY ON ECONOMIC GROWTH IN NIGERIA: A DYNAMIC ECONOMETRIC APPROACH

2021 ◽  
pp. 16-40
Author(s):  
Comfort Akinwolere Bukola ◽  
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Time Series Data ◽  
Negative Impact ◽  
Positive Impact ◽  
Exchange Rate Volatility ◽  
Series Data ◽  
Balance Of Trade ◽  
Econometric Approach ◽  
The Impact

This study examined the impact of exchange rate volatility on economic growth in Nigeria. The study covers the period of 1986 to 2019. Using time series data, the methodology adopted is the Vector Error Correction Mechanism to explore the impact of exchange rate volatility on the selected macroeconomic variables. The result indicated that exchange rate volatility has a significant impact on economic growth, specifically it has a positive impact on inflation, unemployment and balance of trade. On the other hand it has a negative impact on economic growth and investment. The recommendations made include; that relevant authorities should try to avoid systematic currency devaluations in order to maintain exchange rate volatility at a rate that allows adjustment of the balance of payments.

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