scholarly journals Evaluation of Long Memory on the Malaysia Exchange Rate Market

2018 ◽  
pp. 653-656
Author(s):  
Atikullah Ibrahim ◽  
Siti Aida Sheikh Hussin ◽  
Zalina Zahid ◽  
SitiShalizaMohd Khairi
Keyword(s):  
Exchange Rate ◽  
Long Memory ◽  
Arima Model ◽  
Likelihood Estimation ◽  
Model Forecast ◽  
Monthly Data ◽  
The Us ◽  
Us Dollar ◽  
Arfima Model

This research evaluates the presence of long memory or long-term dependence on the Malaysian exchange rate. Daily, weekly and monthly data are evaluated against the US dollar (USD) covering from January 2005 to March 2018. Evaluation of long memory is based on the Geweke and Porter-Hudak estimation and the Maximum Likelihood Estimation. The result suggests the presence of long memory on all the daily, weekly and monthly data. Results show that shock on the Malaysian exchange rate persist longer than expected. The forecast capability also concludes that addition of the long memory presence from ARIMA model to ARFIMA model could improve the model forecast.

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 Cointegration of Stock Market and Exchange Rate in Indonesia

2019 ◽  
Vol 2 (2) ◽  
pp. 125 ◽  
Author(s):  
Pribawa E Pantas ◽  
Muhamad Nafik Hadi Ryandono ◽  
Misbahul Munir ◽  
Rofiul Wahyudi
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Capital Market ◽  
Global Financial Crisis ◽  
The Us ◽  
Us Dollar ◽  
The Exchange Rate ◽  
Johansen Cointegration Test ◽  
The Global Financial Crisis

This study aims to determine the long-term relationship between stock market and exchange rate in Indonesia. The research method used is Johansen cointegration test. The results of this study found no cointegration between the variables tested. Thus the exchange rate, JII, and IHSG have no relationship in the long term. The fluctuation of the rupiah exchange rate in recent years did not generally affect the performance of stock indices especially after the global financial crisis of 2008. This shows the capital market in Indonesia has a good performance so that it is not so sensitive to the sentiment of the decline in the rupiah against the US dollar. This finding is in line with the findings of Syahrer (2010) which states the exchange rate has no effect on the stock market.

The Effect of Covid-19, Rupiah Exchange Rate, and Inflation on the Indonesia Sharia Stock Index during the Covid-19 Pandemic

2021 ◽  
Vol 4 (1) ◽  
pp. 313-336
Author(s):  
Achmad Agus Priyono ◽  
Ari Kartiko
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Negative Impact ◽  
Stock Index ◽  
Series Data ◽  
Stock Market Index ◽  
Short Term ◽  
The Us ◽  
Us Dollar

Purpose of this study is to clarify the effect of the number of daily cases reported to have contracted the Covid-19 virus, the exchange rate of the rupiah against the US dollar and inflation on the movement of the Indonesian Sharia stock index (ISSI) during the Pandemic Covid 19 in the short term and long term. Data analysis methods that used is analysis Error Correction Mechanism (ECM) using Eviews software 10. The data collected is daily time series data starting from March 2, 2020 to May 31, 2021 so that the number of samples collected obtained as many as 283 samples . The results of the study stated that the addition of the daily number of reported cases of contracting the Covid-19 virus has a negative impact on The Indonesian Sharia Stock Market Index (ISSI) during the Covid-19 pandemic, so that encourage the weakening of the Stock Index both in the long and long term short. Likewise, the weakening of the rupiah against the US dollar will caused the fall of the sharia index during the Covid 19 pandemic, both in the long term and long and short term. However, the study found no effect inflation on the Indonesian Sharia Stock Index (ISSI) during the Covid19 pandemic, good long term and short term

scholarly journals CAN GOLD EFFECTIVELY HEDGE RISKS OF EXCHANGE RATE?

2013 ◽  
Vol 14 (5) ◽  
pp. 833-851 ◽  
Author(s):  
Kuan-Min Wang
Keyword(s):  
Exchange Rate ◽  
South African ◽  
Threshold Model ◽  
Monthly Data ◽  
Risk Hedging ◽  
Exchange Rate Fluctuations ◽  
The Us ◽  
Us Dollar ◽  
Japanese Yen ◽  
Dollar Depreciation

This study tests whether gold can effectively hedge exchange rate risks. We take into account the asymmetric characteristic of exchange rate fluctuations and use the dynamic panel threshold model in order to select gold prices in major gold-related currencies in the world: the Australian dollar, the Canadian dollar, the euro, the Indian rupee, the Japanese yen, the South African rand, and the British pound. Using monthly data from January 1999 to January 2010, with lagged one-period exchange rate returns (US dollar depreciation rate) as the threshold variable, the estimation results suggest that there are two thresholds at –7.5% and –3.7%. These can be divided into regime 1 (exchange rate returns ≤ –7.5%), regime 2 (–7.5% < exchange rate returns ≤ –3.7%), and regime 3 (exchange rate returns > –3.7%). Regarding the effectiveness of gold hedging, regime 2 is higher than is regime 3. The risk hedging effect of regime 1 is not significant because it might be caused by the excessive devaluation of the US dollar in the short-term and the overshooting of the exchange rate adjustment, making gold unable to hedge the devaluation risks of the US dollar.

scholarly journals Export Determinant of Micro, Small, and Medium Enterprise Products (MSMEs) in Indonesia with Error Correction Model (ECM) Approach

2021 ◽  
Vol 6 (6) ◽  
pp. 149-155
Author(s):  
Cicih Ratnasih ◽  
. Sumarni ◽  
M. Imron Rosyadi ◽  
Dedy Triharjanto ◽  
. Yolanda
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Linear Regression Analysis ◽  
Multiple Linear Regression Analysis ◽  
Major Effect ◽  
Short Term ◽  
Substantial Impact ◽  
The Us ◽  
Us Dollar

This study analyzes the relationship between the exchange rate of the rupiah against the US dollar, MSME growth, investment, MSME credit, and inflation all have an effect on MSME exports in Indonesia. The purpose of this study is to determine the extent to which the independent factors above have an effect on MSME product exports using multiple linear regression analysis. The Error Correction Mechanism (ECM) analytical approach was employed in this study, which covered the period 2010-2020. ECM analysis is capable of resolving short- to long-term imbalances. This study demonstrates that there is no such thing as a short-term-long-term equilibrium. Partially, the rupiah exchange rate against the US dollar, investment, and inflation all had a significant effect on the export of MSME products in Indonesia, while the rupiah exchange rate against the US dollar, MSME growth, and investment all had a significant effect on the export of MSME products in the short term. At various points in time (long and short term), it can be seen that the rupiah's exchange rate against the US dollar and investment had a substantial impact on MSME exports. Simultaneously, all variables had a major effect on the export of MSME products in Indonesia, both in the long and short term.

scholarly journals PENGARUH SERTIFIKAT BANK INDONESIA SYARIAH (SBIS), JUMLAH UANG BEREDAR (JUB), DAN TINGKAT INFLASI TERHADAP NILAI TUKAR RUPIAH ATAS DOLLAR AS PERIODE 2012-2017 DI INDONESIA

2020 ◽  
Vol 6 (6) ◽  
pp. 1196
Author(s):  
Lailatul Isfa Maghfiroh ◽  
Tika Widiastuti
Keyword(s):  
Exchange Rate ◽  
Quantitative Research ◽  
Inflation Rate ◽  
Short Term ◽  
Monthly Data ◽  
Time Series Method ◽  
Us Dollar ◽  
The Exchange Rate ◽  
Using Data

The Purpose of this research is to Find out the effect of macro economics factor including syaria economics like SBIS, JUB, and Inflation Rare in effect to Exchange rate Agaisnt US Dollar, in Long Term or Short Term in 2012-2017. This Research is a quantitative research using data time series. method used in this research is multiple linear regression with monthly data in 2012-2017 period. this research use data gained from the Central Statistic Agency (BPS) and Indonesia Economic Finance Statistic (SEKI). Result of this Research showed partialy, Bank of Indonesia Syaria Certificate and Total Issued Money are positively and significantly effecting exchange rate against US Dollar in 2012-2017 Period, in the other hand Inflation Rate are negatively and not significantly effecting the exchange rate against US Dollar in 2012-2017 Period. Simultaniously, Bank of Indonesia syaria Ceritificate (SBIS), Total Issued Money (JUB), and Inflation Rate are significantly effecting the exchange rate against US Dollar in 2012-2017 Period.Key Words : Exchange Rate, SBIS, JUB, Inflation

Sign in / Sign up

Export Citation Format

Share Document