Quo Vadis Real? Estimating the Brazilian Real Exchange Rate Misalignment in Vector Error Correction Model with Structural Change

2010 ◽  
Author(s):  
Emerson Fernandes Marçal ◽  
Fernando C. Barbi
Keyword(s):  
Exchange Rate ◽  
Structural Change ◽  
Error Correction ◽  
Real Exchange Rate ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Exchange Rate Misalignment ◽  
Quo Vadis

scholarly journals The Impact of Bank Indonesia Regulation No. 17/3/2015 on Exchange Rate: Analysis Using Vector Error Correction Model (VECM)

2021 ◽  
Vol 12 (2) ◽  
pp. 131-141
Author(s):  
Muhamad Yudi Setiawan ◽  
Tanti Novianti ◽  
Mukhamad Najib
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Negative Effect ◽  
The Exchange Rate ◽  
The Impact

The weakening of the Rupiah against the US dollar has encouraged Bank Indonesia to issued Bank Indonesia Regulation (Peraturan Bank Indonesia - PBI) No. 17/3/2015. The research aimed to analyze the factors that affected the Rupiah exchange rate, the effect of PBI No. 17/3/2015 on the movement of the Rupiah exchange rate, and the behavior of exchange rate movement to the shocks on the variables that influenced it. The research applied secondary data, namely monthly data from January 2008 to April 2019 taken from reliable sources such as National Development Planning Agency (Bappenas), Bank Indonesia (BI), and Statistics Indonesia (BPS). It was explanatory research with a quantitative approach. The studied data were processed with the Vector Error Correction Model (VECM) method to identify long and short-term effects. The results of the long-term equation show that export-import has a negative effect on the exchange rate. Similarly, inflation has no significant effect on the exchange rate. Then, the money supply has a significantly negative effect on the exchange rate. However, the interest rate of Bank Indonesia positively affects the exchange rate. Next, the implementation of PBI No. 17/3/2015 has a significant and positive impact on the exchange rate. Last, the crisis condition does not affect the changes in exchange rates.

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 Analysis of Macroeconomic Indicators Against the Composite Stock Price Index (CSPI) in Indonesia: Vector Error Correction Model (VECM) Approach

2021 ◽  
Vol 5 (2) ◽  
pp. Layouting
Author(s):  
Afla Afifa Aminarta ◽  
Mahrus Lutfi Adi Kurniawan
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Stock Price ◽  
Price Index ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Macroeconomic Indicators ◽  
Stock Price Index

The Composite Stock Price Index (CSPI) is one indicator to determine economic growth. The Composite Stock Price Index (CSPI) is formed by counting the stocks listed on the Indonesia Stock Exchange (IDX). Macroeconomic conditions can influence the movement of the CSPI in a country. Macroeconomic indicators that affect the CSPI include inflation, exchange rates, and interest rates represented by the BI rate. This study aimed to determine how much influence the selected macroeconomic indicators had on the CSPI and determine the CSPI movement forecast. This study uses the Vector Error Correction Model (VECM) as an estimation method. The research shows that the inflation, exchange rate, and BI rate variables do not affect the CSPI in the short term, and only the exchange rate variable affects the long term. Forecasting performed on variables shows an over-optimistic forecast for the exchange rate and BI rate variables.

scholarly journals DETERMINAN TINGKAT BAGI HASIL DEPOSITO MUDHARABAH PERBANKAN SYARIAH DI INDONESIA

2020 ◽  
Vol 6 (12) ◽  
pp. 2422
Author(s):  
Huzein Satrio Prasetyawan ◽  
Imron Mawardi
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Profit Sharing ◽  
Rate Of Return ◽  
Vector Error Correction Model ◽  
Short Term ◽  
Return On Assets ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error

The purpose of this research is to analyze the effect of Return On Assets, SBIS, IPI, and Exchange Rate toward the rate of return mudharabah deposits islamic bank industries in Indonesia start from January 2012 until December 2017. This research use quantitative approach. The analysis method used in this research is Vector Error Correction Model. This research used saturation sampling, the data in this study are secondary data obtained from OJK, BI, and BPS. The results showed that Return On Assets, IPI, and Exchange Rate have a significant effect on the profit sharing rate of mudharabah deposits in the long term and have no significant effect in the short term. While the SBIS variable does not significantly influence the level of profit sharing of mudharabah deposits in the long and short term. Then the biggest influence that influenced the development of Islamic banks in Indonesia in the 2012-2017 research period was the exchange rate.Keywords : Islamic Banking, ROA, SBIS, IPI, Exchange Rate, Rate of Return Deposito Mudharabah, Vector Error Correction Model.

scholarly journals Exchange rate Pass-through in russia

2014 ◽  
pp. 21-35 ◽  
Author(s):  
Y. Ponomarev ◽  
P. Trunin ◽  
A. Ulyukayev
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Exchange Rate Volatility ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Short Run ◽  
Pass Through ◽  
Exchange Rate Pass Through

The article provides estimates of short-run and medium-run exchange rate pass-through in Russia during the period of 2000-2012 using vector error correction model. Estimates of asymmetry of exchange rate pass-through, its assessments in different sub-periods and exchange rate volatility effect are also presented.

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