scholarly journals Determinants of Exchange Rate: Vector Error Correction Method (VECM). Case of Yemen

2021 ◽  
Vol 09 (08) ◽  
pp. 47-60
Author(s):  
Ghassan Al-Masbhi ◽  
Yulan Du
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Correction Method ◽  
Vector Error Correction ◽  
Vector Error ◽  
Error Correction Method ◽  
Rate Vector

MODEL KESEIMBANGAN HUBUNGAN PENGARUH ANTARATINGKAT BUNGA, LAJU INFLASI, DAN KURS VALUTA ASING

2017 ◽  
Vol 11 (2) ◽  
pp. 117
Author(s):  
Endang Setyowati ◽  
Algifari Algifari
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Error Correction ◽  
Foreign Exchange ◽  
Foreign Exchange Rate ◽  
Vector Error Correction ◽  
Vector Error ◽  
Augmented Dickey Fuller ◽  
Rate Vector ◽  
The Interest Rate

The aims of this research is to develop unequilibrium model relationship among interest rate,inflation, and foreign exchange rate in Indonesia using monthly data from January 2011 to April2015. The results of Augmented Dickey-Fuller test shows that the data of interest rate, inflation, andforeign exchange rate in this period is not stationary at level, but stationary in first difference.Johansen Cointegration test results indicate that the interest rate, inflation, and foreign exchange rateare cointegrated. Equilibrium model that used to determine the relationship among interest rate,inflation, and foreign exchange rate is Vector Error Correction models. The results of this studyindicate that interest rate affect on inflation and foreign exchange rate in Indonesia.Keyword: Interest Rate, Inflation, Exchange Rate,Vector Error Correction Model

scholarly journals Dampak Perubahan Nilai Tukar terhadap Indeks Harga Konsumen Bahan Makanan di Indonesia

2016 ◽  
Vol 17 (1) ◽  
pp. 1-14
Author(s):  
Siti Suarsih ◽  
Noer Azam Achsani ◽  
Nunung Nuryartono
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Price Index ◽  
Consumer Price Index ◽  
Error Variance ◽  
Correction Model ◽  
Vector Error Correction ◽  
Forecasting Error ◽  
Vector Error ◽  
Pass Through

Exchange Rate Change Effects on Indonesia’s Foodstuff Consumer Price IndexThe fluctuation in exchange rate Indonesia may have an impact on the price of imported goods both consumer goods (finished goods) and raw materials. The aim of this study is to analyze the impact of exchange rate changes on the Consumer Price Index (CPI) of foods categories and analyze the role of the exchange rate in explaining fluctuations in the CPI of food category in Indonesia. Econometric analysis using vector error correction model, indicates that the greatest degree of pass-through occurs in the consumer price index groups of milk and eggs. Contributions of exchange rate as the result of decomposition of forecasting error variance is largest in the meat category.Keywords: Exchange Rate Pass-Through; Consumer Price Index of Foodstu; Vector Error Correction ModelAbstrakPerubahan nilai tukar dapat berdampak pada harga barang-barang yang diimpor baik barang konsumsi (barang jadi) maupun bahan baku. Penelitian ini bertujuan untuk menganalisis dampak perubahan nilai tukar terhadap Indeks Harga Konsumen (IHK) kelompok bahan makanan dan menganalisis peranan nilai tukar dalam menjelaskan fluktuasi IHK bahan makanan di Indonesia. Analisa ekonometri menggunakan vector error correction model, menunjukkan bahwa derajat pass-through terbesar terjadi pada kelompok indeks harga konsumen susu dan telor. Kontribusi nilai tukar hasil decomposition of forecasting error variance terbesar terjadi pada kelompok daging.

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.

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