scholarly journals PEMBAYARAN PINJAMAN LUAR NEGERI KORPORASI DAN PERGERAKAN RUPIAH

2007 ◽  
Vol 9 (3) ◽  
pp. 31-72
Author(s):  
Iwan Setiawan ◽  
Diah Indira ◽  
Angsoka Yorintha Paundralingga
Keyword(s):  
Exchange Rate ◽  
Public Opinion ◽  
Interest Rate ◽  
Error Correction ◽  
Foreign Exchange ◽  
Foreign Debt ◽  
Error Correction Model ◽  
Oil Price ◽  
Demand And Supply ◽  
Correction Model

The shifting of the exchange rate regime toward the free floating system in Indonesia, have changed the nature of the Indonesian Rupiah fluctuation, both in its magnitude and direction. Public opinion tends to believe that the high corporate demand on foreign exchange to fulfill their foreign debt repayment is one of the major depreciating factors of the Rupiah against the US dollar.This paper analyzes the response of public opinion by analyzing the effect of corporate foreign debt repayments and their general behavior on the foreign exchange demand and supply. This paper also analyzes the impact of the non-oil and gas imports, the international oil price, the interest rate differential, and the country risk.Based on the survey of selected highly leverage corporates in Indonesia, the result shows a unique dependency of the corporate»s foreign exchange demand and supply on the corporate»s earning characteristics and its business sector orientation. The fact that corporations are virtually in the position of excess demand for foreign exchange have prompted persistent pressure on the Rupiah. Furthermore, using the Johansen Cointegration Test and the Error Correction Model verifies that the corporate foreign debt service merely affects the Rupiah exchange rate in the long-run. In the short-run, the movement of Rupiah is highly affected by other factors such us the global oil price, interest rate differentials, and country risks.Keyword: Debt Service, exchange rate, cointegration, Error Correction Model, Indonesia.JEL Classification:  JEL Classification: F31, F34, H63

scholarly journals ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHINILAI TUKAR RUPIAH TERHADAP DOLLAR AMERIKA SERIKAT DENGAN PENDEKATAN NERACA PEMBAYARAN (PENDEKATAN ENGLE GRANGER-ERROR CORRECTION MODEL)

2017 ◽  
Vol 5 (2) ◽  
pp. 147
Author(s):  
Eni Setyowati ◽  
Soepatini Soepatini
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Gross Domestic Product ◽  
Error Correction ◽  
Dynamic Model ◽  
Money Supply ◽  
Error Correction Model ◽  
Demand And Supply ◽  
Correction Model

The equilibrium exchange rate will change along with the change of demand and supply. Factors causing the change of demand and supply curve among others are the amount of money supply, relative gross domestic product (GDP) ,the level of relative interest rate, and relative priceOne of the ways to analyze the influence of short term and long term is by developing the dynamic model. In this research, the analysis of dynamic model was conducted with Engel-Granger Error Correction Model approach which was developed by Engel-Granger (1987) based on Granger Representation Theorem.The ECM was known that long term exchange rate is influenced by the number of money supply and relative price. The variable which influence short-therm exchenge rate are the ammount of Gross Domestic Product, and interest rate.

scholarly journals On the Determinants of Unemployment Rate in Nigeria: Evidence from Fully Modified OLS and Error Correction Model

2018 ◽  
Author(s):  
Monday Osagie Adenomon ◽  
N. A. Okoro-Ugochukwu ◽  
C. A. Adenomon
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Population Growth ◽  
Error Correction ◽  
Unemployment Rate ◽  
Inflation Rate ◽  
Error Correction Model ◽  
Correction Model ◽  
Short Run ◽  
Determinants Of Unemployment

This study employed the Fully Modified Ordinary Least Squares (FMOLS) and the Error Correction Model (ECM) to investigate the long-run and short-run determinants of unemployment rate in Nigeria. To achieve this annual data on unemployment rate, inflation rate, interest rate, exchange rate and population growth from 1981 to 2016 was collected from Central Bank Statistical Bulletins and the World Bank website. The ADF test revealed that the macroeconomic variables are stationary at first difference while the Cointegration test revealed that the variables are cointegrated. Using unemployment rate as dependent variable, the FMOLS model revealed that exchange rate and population growth are positively significantly related to unemployment rate, interest rate and inflation rate were negatively related to unemployment rate but only interest rate was significant. The short run relationship revealed that the coefficient of the ecm(-1) is negative and statistically significant at 5% level indicating that the system corrects its previous period disequilibrium at the speed of 48.93% yearly. This study concludes that high exchange rate and population growth can lead to increase in unemployment rate in Nigeria while the government should develop the industrial sector and non-oil sector in order to generate employment and boost export in Nigeria.

SENSITIVITAS DOLLAR, YUAN, YEN DAN SBI TERHADAP IHSG

2016 ◽  
Vol 12 (2) ◽  
pp. 131
Author(s):  
Umi Murtini ◽  
Cynthia Septivanie
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Error Correction ◽  
Hypothesis Test ◽  
Error Correction Model ◽  
Monthly Report ◽  
Correction Model ◽  
Dollar Exchange Rate ◽  
Test Sensitivity ◽  
Daily Report

The purpose of this research is to test sensitivity of the Dollar exchange rate, Yuan exchange rate, Yenexchange rate, and interest rate to IHSG. The sample used in this studi are daily exchange rate from 1January 2015 to 30 September 2015 was got from daily report of Bank Indonesian, and then monthlyinterest rate was got from monthly report of Bank Indonesian. Hypothesis test used in this study isVector Error Correction Model (VECM). The result of this study indicate that IHSG to have sensitiveto USD variable, JPY variable, CNY variable, and SBI. IHSG have to sensitive negatif to variableCNY and SBI, while IHSG have to sensitive positive to USD and JPY .Keyword : Interest Rate, Dollar Exchange Rate, JPY, CNY, IHSG, ECM

MODEL PERMINTAAN UANG DI INDONESIA DENGAN PENDEKATAN VECTOR ERROR CORRECTION MODEL

2020 ◽  
Vol 5 (3) ◽  
Author(s):  
Imam Mukhlis
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Error Correction ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Demand For Money ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run

This research aims to estimate the demand for money model in Indonesia for 2005.22015.12. The variables used in this research are demand for money, interest rate, inflation, and exchange rate (IDR/US$). The stationary test with ADF used to test unit root in the data. Cointegration test applied to estimate the long run relationship between variables. This research employed the Vector Error Correction Model (VECM) to estimate the money demand model in Indonesia. The results showed that all the data was stationer at the difference level (1%). There were long run relationship between interest rate, inflation and exchange rate to demand for money in Indonesia. The VECM model could not explain interaction between explanatory variables to independent variables. In the short run, there were not relationship between interest rate, inflation and exchange rate to demand for money in Indonesia for 2005.2-2015.12.

scholarly journals PENGARUH TINGKAT SUKU BUNGA (BIRATE) DAN KURS DOLAR AS TERHADAP INDEKS HARGA SAHAM GABUNGAN (IHSG) DENGAN MENGGUNAKAN METODE ERROR CORECTION MODEL (ECM)

2009 ◽  
Vol 9 (2) ◽  
pp. 308
Author(s):  
Muhammad Mahdi ◽  
David Kaluge
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Error Correction ◽  
Secondary Data ◽  
Error Correction Model ◽  
Correction Model ◽  
Significance Level ◽  
Zero Level ◽  
Cointegration Tests ◽  
Level Of Significance

This research to determine whether, exchange rate, interest rate (BI Rate) have an influence on Indeks Harga Saham Gabungan (IHSG). The data used are secondary data from the period June 2008 to August 2010. The analytical tool used in this research is the error correction model (ECM). Previously conducted tests stasioneritas namely the root of the test unit and test the degree of integration and cointegration tests. Based on the test stasioneritas obtain stationary data on a Zero level at a significance level of 10% and other data on the first level and terkointegrasi diffirence on the zero level at 1% level of significance. The result of an error correction model analysis showed that in short term interest rate (BI Rate), Ezchange rate, significantly influences the IHSG fluctuates, while the long-term variable Exchange rate has a significant while variable interest rate is not significant.

scholarly journals Model Dinamik Paritas Suku Bunga Indonesia Menggunakan Error Correction Model

JURNAL PUNDI ◽  
2018 ◽  
Vol 1 (3) ◽  
Author(s):  
Elva Dona
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Interest Rates ◽  
Error Correction ◽  
Purchasing Power Parity ◽  
National Income ◽  
Error Correction Model ◽  
Power Parity ◽  
Interest Rate Parity ◽  
Correction Model

The purchasing power parity doctrine in determining exchange rate changes focuses on  price factor changes (Jiang, Li, Chang, & Su, 2013)This study examines how currency and interest rates interact with each other to achieve a balance position in the foreign exchange market.Through this approach the exchange rate is determined by the balance of demand and supply between two currencies. This approach also explains how the influence of economic variables such as money supply, national income, price level, and interest rate on the formation of currency rates. Data using  the first quarter of 2000 through the fourth quarter of 2013, With econometric analysis through cointegration approach and Error Correction Model will be tested the validity of interest rate parity condition in Indonesi.Estimation of the error correction model variable (V), indicating that the variable passed the t test at 5% confidence level. It indicates that the models specification is acceptable and there is cointegration between the observed variables.

scholarly journals Efek Kebijakan Moneter Terhadap Return Harga Emas Di Indonesia

2018 ◽  
Vol 14 (1) ◽  
Author(s):  
Abdul Khaliq
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Error Correction ◽  
Error Correction Model ◽  
Gold Price ◽  
Correction Model ◽  
Long Run ◽  
Effective Exchange ◽  
Short Run ◽  
Effective Exchange Rate

<p><em>This studyobserves the short-run and long-run relationship between monetary </em><em>policies </em><em>and</em><em>g</em><em>old </em><em>p</em><em>rice </em><em>return </em><em>movements in Indonesia. Using monthly data over the period 1997M0</em><em>9</em><em>-201</em><em>7</em><em>M10,the empirical findings are carried out by utilizing error correction model (ECM)derived from single quadratic cost function to provide evidence in favor of relationship between nominal effective exchange rate, interest rate, </em><em>and </em><em>money</em><em> supply</em><em>and gold</em><em> price return</em><em> movements.The empirical evidence suggests that the ECM estimates well characterize how the nominal effective exchange rate relates to the gold price</em><em> return</em><em> movements, both in the long-run and short-run. Moreover, money</em><em> supply and </em><em>interest rate only have </em><em>negative </em><em>and statistically significant effects on price gold </em><em>return </em><em>movements in the long run. T</em><em>hese results imply that observing nominal effective exchange rate can help predict gold price </em><em>return </em><em>movements in Indonesia, which would significantly help monetary authorities in optimizing </em><em>monetary policy</em><em>.</em></p><p><em>Keywords    : Gold Price</em><em> Return</em><em>, Monetary </em><em>Policies</em><em>, Error Correction Model (ECM)</em></p>

scholarly journals ANALISIS NILAI TUKAR RUPIAH DAN IMPLIKASINYA PADA PEREKONOMIAN INDONESIA: PENDEKATAN ERROR CORRECTION MODEL (ECM)

2007 ◽  
Vol 8 (2) ◽  
pp. 146
Author(s):  
Imamudin Yuliadi
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Error Correction ◽  
World Bank ◽  
Error Correction Model ◽  
Economic Factors ◽  
Correction Model ◽  
Long Run ◽  
Short Run ◽  
Independent Variable

The changing of exchange rate is due to interaction between economic factors and non-economic factors. The aim of this research is to analyse some factors that affect exchange rate and their implications on Indonesian economy. Analytical method used in this research is explanatory method is to test hypothesis about simultaneous relationship among variables that research by developing the characteristics of verificative research by doing some testing at every step of research. We used secon-dary data taken from BI, BPS, World Bank and IFS. We used error correction model (ECM) to analysis between independent variable and dependent variable in both the short run and long run. The result of this research shows that ratio between domestic interest rate and international interest rate did not affect negative and significantly to exchange rate. Capital flow affected negative and significantly. Balance of payment affected negative and significantly. Money supply affected positive and significantly. According ECM method that used in this research shows that the methodology is good to analyse because the magnitude of ECT is accept.

scholarly journals The dynamic effect of exchange-rate volatility on Turkish exports: Parsimonious error-correction model approach

2015 ◽  
Vol 62 (4) ◽  
pp. 429-451 ◽  
Author(s):  
Erdal Demirhan ◽  
Banu Demirhan
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Exchange Rate Volatility ◽  
Dynamic Effect ◽  
Error Correction Model ◽  
Impulse Response Functions ◽  
Correction Model ◽  
Long Run ◽  
Export Volume ◽  
Short Run

This paper aims to investigate the effect of exchange-rate stability on real export volume in Turkey, using monthly data for the period February 2001 to January 2010. The Johansen multivariate cointegration method and the parsimonious error-correction model are applied to determine long-run and short-run relationships between real export volume and its determinants. In this study, the conditional variance of the GARCH (1, 1) model is taken as a proxy for exchange-rate stability, and generalized impulse-response functions and variance-decomposition analyses are applied to analyze the dynamic effects of variables on real export volume. The empirical findings suggest that exchangerate stability has a significant positive effect on real export volume, both in the short and the long run.

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