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 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.

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

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 Analisis Pengaruh Suku Bunga dan Nilai Kurs Terhadap Tingkat Inflasi di Indonesia

2018 ◽  
Vol 3 (2) ◽  
pp. 202-209
Author(s):  
Muslihul Umam ◽  
Isabela Isabela
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Error Correction ◽  
Inflation Rate ◽  
Error Correction Model ◽  
Rate Of Change ◽  
Correction Model ◽  
Us Dollar ◽  
The Exchange Rate

Abstrak Inflasi merupakan salah satu indikator perekonomian yang penting, laju perubahannya selalu diupayakan rendah dan stabil. Inflasi yang tinggi dan tidak stabil merupakan cerminan akan kecenderungan naiknya tingkat harga barang dan jasa secara umum dan terus menerus sehingga akan melemahkan daya beli masyrakat yang nantinya akan berdampak pada penurunan pendapatan nasional. Oleh karena itu diharapkan adanya pengendalian laju inflasi yang akhir-akhir ini menunjukkan grafik yang meningkat. Penelitian ini membahas tentang “Analisis Pengaruh Suku bunga dan Nilai Kurs Terhadap Tingkat Inflasi Di Indonesia Periode 1985-2014”, bertujuan untuk mengetahui pengaruh suku bunga, dan nilai kurs terhadap tingkat inflasi di Indonesia dengan menggunakan error correction model (ECM). Hasil penelitian ini menunjukkan bahwa suku bunga berpengaruh positif dan signifikan terhadap tingkat inflasi di Indonesia, nilai kurs RP/US Dollar berpengaruh positif dan signifikan terhadap tingkat inflasi di Indonesia.   Keywords: tingkat inflasi, suku bunga, dan nilai kurs.   Abstract Inflation is one of the important economic indicators, the rate of change is always besought low and stable. High and unstable inflation is a reflection of the tendency to increase the level of prices of goods and services in general and continuously so that it will weaken the purchasing power of the people which will reduce national incomelater. Therefore, it is expected to control the inflation rate, which lately shows an increasing graph. This study discusses "The analysis of the Influence of Interest Rates and Exchange Rates to the Inflation Rate in Indonesia for the Period 1985-2014", aims to determine the effect of interest rates, and the exchange rate on the inflation rate in Indonesia using the error correction model (ECM). The results of this study indicate that interest rates have a positive and significant effect on the inflation rate in Indonesia, the exchange rate of Rupiah / US dollar has a positive and significant effect on the inflation rate in Indonesia.   Keywords: Inflation Rate, Interest Rates, and Exchange Rates.

Information Content of Implied Forward Exchange Rates

2003 ◽  
Vol 11 (1) ◽  
pp. 1-23
Author(s):  
Seong Hun Kim ◽  
Dong Se Cha
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Error Correction ◽  
Information Content ◽  
Term Structure ◽  
Error Correction Model ◽  
Fisher Effect ◽  
Interest Rate Parity ◽  
Correction Model ◽  
Forward Rates

This paper analyzes the information content of the forward exchange rates implied by the interest rate parity, using the Korea and U.S. interest rates and Won/dollar exchange rates observed during the period of March 1991 to December 2002. First, we test the cointegration between implied forward exchange rates and future spot exchange rates to examine their longrun relationship, and find the existence of cointegration. Next, we examine the international Fisher effect and estimate an error correction model for their shortrun relationship. Our analysis supports the international Fisher effect for longer maturities. Our result also supports the error correction model that states that the future spot exchange rates will be adjusted reflecting the information contained in the past-period implied forward rates which is not fully reflected to current spot rates. Finally, we also find that the term structure of implied forward exchange rates is associated with the changes in future spot rates for longer maturities. Based on our findings, we conclude that the longrun relationship exists between the implied forward exchange rates and future spot exchange rates, and the shortrun deviation from the relationship tend to disappear as they return to the longrun relationship in the course of time.

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.

Analisis Kekakuan dan Faktor-faktor yang Memengaruhi Tingkat Suku Bunga Perbankan di Indonesia

2013 ◽  
Vol 8 (2) ◽  
pp. 26
Author(s):  
Eko Listiyanto ◽  
Telisa Aulia Falianty
Keyword(s):  
Time Series ◽  
Interest Rate ◽  
Interest Rates ◽  
Error Correction ◽  
Time Series Data ◽  
Error Correction Model ◽  
Least Square ◽  
Capital Adequacy ◽  
Series Data ◽  
Correction Model

<p align="center"><em>ABSTRACT</em></p><p><em>The research discusses the rigidity of interest rates on deposits and loans to changes in interest rate policies in the three groups of banks in Indonesia, and the factors that influence the interest rates on deposits and loans in the banking system. Rigidity of bank interest rates were analyzed with error correction model approach (Error Correction Model / ECM) using panel data. While the factors that influence the development of the banking interest rates were analyzed with multiple linear regression approach method of Generalized Least Square (GLS) using time series data. The period of data used from July 2005-March 2010.</em></p><p><em>Error Correction Model shows the slackness of interest rates response on deposits and loans toward the policy of interest rate. The rigidity of interest rates on deposits and loans in Indonesia is relatively slow when compared to some other countries.</em></p><p><em>Regression results with GLS method proves that the banking efficiency factor, bad credit and market share significantly influence the interest rates on deposits. While the borrowing rate is influenced by the rate of inflation, capital adequacy ratio, as well as bad credit. The results of this study suggest the importance of watching bad credit factors in making monetary policy because it can affect the interest rates on deposits and lending interest rates.  </em></p><p>ABSTRAK</p><p>Penelitian ini membahas kekakuan suku bunga deposito dan pinjaman untuk perubahan kebijakan suku bunga dalam tiga kelompok bank di Indonesia, dan faktor-faktor yang mempengaruhi suku bunga deposito dan pinjaman dalam sistem perbankan. Kekakuan suku bunga perbankan dianalisis dengan pendekatan error correction model (Error Correction Model / ECM) menggunakan data panel. Sedangkan faktor-faktor yang mempengaruhi perkembangan suku bunga perbankan dianalisis dengan metode pendekatan regresi linier berganda dari Generalized Least Square (GLS) dengan menggunakan data time series. Periode data yang digunakan dari Juli 2005-Maret 2010.</p><p>Error Correction Model menunjukkan kelambanan dari suku bunga respon deposito dan pinjaman terhadap kebijakan tingkat suku bunga. Kekakuan suku bunga deposito dan pinjaman di Indonesia relatif lambat jika dibandingkan dengan beberapa negara lain.</p><p>Hasil regresi dengan metode GLS membuktikan bahwa faktor efisiensi perbankan, kredit macet dan pangsa pasar secara signifikan mempengaruhi suku bunga deposito. Sementara tingkat pinjaman dipengaruhi oleh tingkat inflasi, rasio kecukupan modal, serta kredit macet. Hasil penelitian ini menunjukkan pentingnya menonton faktor kredit macet dalam membuat kebijakan moneter karena dapat mempengaruhi suku bunga deposito dan suku bunga kredit.</p>

scholarly journals PENGARUH PARITAS DAYA BELI DAN PARITAS SUKU BUNGA, TERHADAP NILAI TUKAR RUPIAH TERHADAP DOLLAR AMERIKA SERIKAT

IQTISHODUNA ◽  
2018 ◽  
pp. 55-70
Author(s):  
Robiatul Adhawiyah ◽  
Maretha Ika Prajawati ◽  
Rieza Firdian
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Purchasing Power Parity ◽  
Real Interest Rate ◽  
Purchasing Power ◽  
Fisher Effect ◽  
Power Parity ◽  
Interest Rate Parity ◽  
Us Dollar ◽  
Rate Parity

The exchange rate will react against change of inflation and interest rate, at least there are three theories that explain the relationship between inflation, interest rate, and exchange rate, namely purchasing power parity, interest rate parity, and international fisher effect. The purpose of this study was to determine the influence of purchasing power parity, interest rate parity, and international fisher effect on the Rupiah exchange rate against US Dollar. The populations in this research included inflation time series data, nominal interest rate, real interest rate, and Rupiah exchange rate. The data used in is secondary data form the inflation report, nominal interest rate, real interest rate, and Rupiah exchange rate quarterly. The independent variable used purchasing power parity, interest rate parity, and international fisher effect,the dependent variable used the Rupiah exchange rate against US Dollar. The result of this study indicated that the purchasing power parity, interest rate parity simultaneously had a significant influence on the exchange rate of Rupiah/US Dollar.

scholarly journals The Existence of Long-Run PPP: A Comparison between Developed and Developing Countries

2016 ◽  
Vol 62 (2) ◽  
pp. 88
Author(s):  
Sulistiadi Dono Iskandar
Keyword(s):  
Developing Countries ◽  
Error Correction ◽  
Purchasing Power Parity ◽  
Developed Countries ◽  
Error Correction Model ◽  
Power Parity ◽  
Correction Model ◽  
Conflicting Result ◽  
Long Run ◽  
One Step

McNown & Wallace (1989) argued that PPP will tend to holds in less developed countries due to the domination of nominal factors in the economy. In this study we try to investigate the existence of long-run PPP in eight countries consisting four developed and developing countries. Here we show that there is a strong evidence that long-run PPP holds for Germany, United Kingdom, and Chile. Furthermore, the additional tests also show that symmetry and proportionality conditions seem to hold in the three economies. As for other five economies, long-run PPP seems to be absence. Although one step general Error Correction Model and Johansen-Juselius cointegration procedure generates conflicting result, the result of both technique do not show a tendency for PPP to hold in developing countries thus rejecting argument proposed by McNown and Wallace. AbstrakMcNown & Wallace (1989) mengemukakan argumen bahwa PPP akan cenderung berlaku di negara-negara yang belum maju disebabkan adanya dominasi faktor nominal dalam perekonomian. Dalam penelitian ini kami mencoba untuk menyelidiki keberadaan dari long-run PPP di delapan negara yang terdiri dari empat negara maju dan berkembang. Hasil estimasi menunjukkan adanya bukti kuat bahwa long-run PPP berlaku pada Jerman, Inggris, dan Cile. Hasil, tes lanjutan juga menunjukkan bahwa kondisi simetri dan proporsionalitas nampak bertahan di tiga negara tersebut. Sedangkan untuk lima negara lainnya, long-run PPP tidak nampak keberadaannya. Meskipun hasil pada one step Error Correction Model (ECM) dan Johansen-Juselius cointegration procedure menghasilkan hasil yang bertentangan, namun hasil dari kedua metode tersebut konsisten tidak menunjukkan kecenderungan akan eksistensi PPP di negara berkembang.Kata kunci: Purchasing Power Parity; Tes Kointegrasi; Negara Berkembang; Negara MajuJEL classifications: F31; F4

Sign in / Sign up

Export Citation Format

Share Document