scholarly journals The Dynamics of The Rupiah Exchange Rate in 2017-2020

2020 ◽  
Vol 5 (2) ◽  
pp. 1
Author(s):  
Muhammad Arief Aldila Susanto ◽  
Rr. Retno Retno Sugiharti
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Money Supply ◽  
Foreign Exchange ◽  
Time Series Data ◽  
Series Data ◽  
Foreign Exchange Reserves ◽  
Long Run ◽  
Short Run ◽  
The Exchange Rate

<p align="justify">The exchange rate is one of the most important indicators in the economy. Moreover, with the increasing intensity of trade between countries, commonly referred to as international trade, this economic indicator becomes important for every country, including Indonesia. The change in the Indonesian exchange rate system to a free-floating system has made the exchange rate fluctuations more dynamic. The fluctuations are influenced by various factors, both internal and external. This study aims to determine the effect of the money supply (M<sub>2</sub>), foreign exchange reserves, SBI interest rates and world crude oil prices on the rupiah/dollar exchange rate in 2017-2020 both in the short run and in the long run. The data used is monthly time series data from 2017-2020. The analytical method used in this study is the Error Correction Model (ECM). The results in this study indicate that in the short run and long run the money supply and foreign exchange reserves variables have a significant effect on the rupiah exchange rate in 2017-2020.</p>

scholarly journals Analisis Faktor-faktor Yang Mempengaruhui Cadangan Devisa Indonesia Bukti (Kointegrasi dan Kausalitas)

2020 ◽  
Vol 3 (2) ◽  
pp. 32
Author(s):  
Hijri Juliansyah ◽  
Putri Moulida ◽  
Apridar Apridar
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Time Series Data ◽  
Cointegration Test ◽  
Series Data ◽  
Foreign Exchange Reserves ◽  
Causality Test ◽  
Long Run ◽  
The Exchange Rate ◽  
Bound Test

This study aims to analyze the factors that influence Indonesia's foreign exchange reserves by proving cointegration (long-run relationships) and causality (reciprocal relationships). The data used is time series data during the period January 2014-December 2018. The analytical method used in this study is cointegration test and granger causality with the approach of auto regressive lag (ARDL). The cointegration test results using the Bound test test indicated that between the variables of foreign exchange reserves, exports, the exchange rate, the BI Rate and inflation had a stability relationship of movements in the long run. While the results of the causality test showed that there is a one-way relationship between foreign exchange reserves and exports, and so there was a unidirectional relationship between foreign exchange reserves and the exchange rate and the same relationship between the BI Rate and foreign exchange reserves. Keywords: foreign exchange reserves, exports, exchange rates, BI Rate, inflation.

scholarly journals Analysis of Effect Macro Variable on International Trade of Indonesia

2016 ◽  
Vol 6 (2) ◽  
pp. 228
Author(s):  
Evania Rahma Octavia ◽  
Dwi Wulandari
Keyword(s):  
International Trade ◽  
Exchange Rate ◽  
Interest Rates ◽  
Money Supply ◽  
Price Index ◽  
Time Series Data ◽  
Consumer Price Index ◽  
Series Data ◽  
The Exchange Rate ◽  
Macro Variables

This study aims to determine the effect of macro variables which include Indonesia's real gross domestic income, money supply, consumer price index and interest rates on international trade mediated by the exchange rate of rupiah against the dollar. This type of research is descriptive research with quantitative approach. Determination of the sample based on quarterly time series data 2010-2014. This study uses path analysis. The results showed domestic gross product, the money supply, and interest rates together  have a significant effect on the exchange rate but the consumer price index do not have significant effect on the exchange rate. The results also show that the exchange rate has no significant effect on imports and exports. 

scholarly journals Re-Examining the Nexus between Exchange and Interest Rates in Nigeria

2018 ◽  
Vol 9 (6) ◽  
pp. 47-56 ◽  
Author(s):  
David Mautin Oke ◽  
Koye Gerry Bokana ◽  
Olatunji Abdul Shobande
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Interest Rates ◽  
Money Supply ◽  
Control Measure ◽  
Long Run ◽  
Weak Exchange ◽  
Short Run ◽  
National Output ◽  
The Exchange Rate

Nigeria has experienced somersault of foreign exchange policies by the Central Bank. One policy concern in recent times is to have an appropriate target of the exchange and interest rates. Therefore, this paper seeks to provide a foundation for the targeting of an appropriate exchange and interest rates for the country. Using the Johansen Cointegration and Vector Error Correction Mechanism approaches, it specifically examines the relationships among Nigeria’s weak exchange rate, its local rate of interest and world interest rate. Contrary to many studies, a control measure involving inclusion of inflation, money supply and national output in the model is done. The analysis showed an equilibrium association between exchange rate and interest rate-cum-other variables and steady rectification of deviance from long-run stability over a sequence of incomplete short-run modifications. Increase in domestic and world interest rate, inflation, money supply and GDPat equilibrium would strengthen the exchange rate. Besides, further findings showed some bidirectional causal associations among the variables. By long-run implication, the targeting of an appropriate exchange rate in Nigeria requires a tightened monetary policy that is not inflation and growth biased. However, increase in world interest rate, money supply and inflation rate must be moderate in order not to worsen the exchange rate as suggested by the short-run result. 

scholarly journals Nigeria’s Fiscal Performance: Exploring the Role of Exchange Rate

2020 ◽  
Vol 5 (1) ◽  
pp. 17-26
Author(s):  
Fisayo Fagbemi ◽  
Olufemi Solomon Olatunde
Keyword(s):  
Exchange Rate ◽  
Public Debt ◽  
Time Series Data ◽  
Cointegration Analysis ◽  
Series Data ◽  
Exchange Rate Movement ◽  
Fiscal Performance ◽  
Long Run ◽  
Short Run ◽  
The Exchange Rate

The paper offers empirical justifications for the instrumentality of external sector in influencing the fiscal position of a country through the exchange rate. In the study, ARDL bounds test approach to cointegration analysis is adopted to examine the long run and short run relationship between exchange rate and fiscal performance in Nigeria. The validity of the findings is based on time series data between 1981 and 2017. The emerging evidence reveals that the exchange rate movement has a substantial influence on the fiscal performance, as there exists a significant adverse relationship between exchange rate and fiscal deficit in the long run as well as in the short run, while the association between exchange rate and public debt is found to be significantly positive in both periods. Empirical elucidations posit that an appreciation of the exchange rate could lead to decreasing fiscal deficits. However, the exchange rate appreciation might not induce a reduction in public debt, as it could stimulate demand for loanable funds by the government, although such effect could be mitigated through strategic investment policy and subsidized funding schemes to aid domestic production. Given that fiscal performance is considerably driven or constrained by the exchange rate movement, the study suggests that developing a strategic framework for ensuring a realistic exchange rate and the mitigation of regular fluctuations or correcting inappropriate exchange rate is crucial.

scholarly journals Penerapan Vector Error Correction Model pada Variabel Makro Ekonomi di Indonesia

2020 ◽  
Vol 25 (2) ◽  
pp. 287
Author(s):  
Moh. Faizin
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Money Supply ◽  
Time Series Data ◽  
Good Condition ◽  
Series Data ◽  
Causality Test ◽  
Causality Relationship ◽  
The Exchange Rate ◽  
Macro Variables

In this time, the countries can be said to be in a good condition of the national economy if there are some indicators in positive economic macro, it is including the decline of inflation, the amount of money circulating is also decline, and the exchange rate strengthening against foreign currencies and reduced interest rates. The purpose of this study is to analyze the causality and cointegration relationships of economic macro variables, by using time series data for 2010-2019 and using the VECM model. The results of the study found that there is no causality relationship between inflation and the BI rate. Likewise, the variable money supply does not affect the BI rate. The exchange rate also does not affect each other on the BI rate variable. Causality test results also indicate that the money supply does not have a causality relationship to inflation, while the exchange rate variables influence each other on inflation. To exchange rates, it does not give affect in the variable amount of money in circulation each other. By explanation of the estimation results of the VECM model, it shows the long-term and short-term relationships of each variable generally.

scholarly journals Effect of exchange rate volatility on Rwandan coffee price and export volumes

Agro-Science ◽  
2021 ◽  
Vol 21 (1) ◽  
pp. 1-6
Author(s):  
A. Kabayiza ◽  
R. Muhire ◽  
S. Nsabimana ◽  
M. Kabarungi ◽  
Y.B. Ningabire ◽  
...  
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Export Price ◽  
Exchange Rate Volatility ◽  
Real Income ◽  
Series Data ◽  
Long Run ◽  
Short Run ◽  
The Exchange Rate ◽  
Coffee Price

The main strategy of Rwanda for having a steady growth in coffee export value and revenues was increased sales of speciality coffee. However, global coffee prices are often volatile and Rwanda has little control over the fluctuating global prices. This paper analysed the effect of exchange rate volatility on the price and exports of Rwanda coffee. In order to respond to this question, the monthly time series data on bilateral Rwanda coffee exports and real effective exchange rates from January 2001 to December 2016 were analysed. The cointegration methods and error correction model using the autoregressive distributed lag procedure andGlosten, Jagannathan, and Runkle-Generalized Autoregressive Conditional Heteroskedasticity (GJR-GARCH) model were used to analyse the data. The findings showed that the exchange rate volatility resulted in an increase in Rwandan coffee export price in the long run by 1.5% and a decrease in the short run by 0.2%. The findings also showed that the exchange rate volatility affected coffee export volumes in the long run and the short run by 44.4% and 3.8%, respectively. The real income in importing countries increased coffee prices in the long run by 3.0% and coffee export volumes in the long run and the short run by 26.9% and 38.5%, respectively. A review of monetary policy to address the issue of volatility and hedging system adoption in the Rwanda coffee sector should be done in order to stabilize the exchange rate and to consequently avoid its bad effects on coffee price and export volumes.

Faktor-Faktor Yang Mempengaruhi Nilai Tukar Dollar Amerika Serikat Terhadap Rupiah Tahun 2000–2013

2017 ◽  
Vol 1 (2) ◽  
pp. 177-191
Author(s):  
Rizki Rahma Kusumadewi ◽  
Wahyu Widayat
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Money Supply ◽  
Time Series Data ◽  
The United States ◽  
Economic Conditions ◽  
Series Data ◽  
Arch Model ◽  
United States Dollar ◽  
The Exchange Rate

Exchange rate is one tool to measure a country’s economic conditions. The growth of a stable currency value indicates that the country has a relatively good economic conditions or stable. This study has the purpose to analyze the factors that affect the exchange rate of the Indonesian Rupiah against the United States Dollar in the period of 2000-2013. The data used in this study is a secondary data which are time series data, made up of exports, imports, inflation, the BI rate, Gross Domestic Product (GDP), and the money supply (M1) in the quarter base, from first quarter on 2000 to fourth quarter on 2013. Regression model time series data used the ARCH-GARCH with ARCH model selection indicates that the variables that significantly influence the exchange rate are exports, inflation, the central bank rate and the money supply (M1). Whereas import and GDP did not give any influence.

Impact of exchange rate and oil price on the yield of sovereign bond and sukuk: Evidence from Malaysian capital market

2017 ◽  
Vol 5 (4) ◽  
pp. 27
Author(s):  
Huda Arshad ◽  
Ruhaini Muda ◽  
Ismah Osman
Keyword(s):  
Exchange Rate ◽  
Capital Market ◽  
Time Series Data ◽  
Oil Prices ◽  
Oil Price ◽  
Series Data ◽  
Sovereign Bond ◽  
Long Run ◽  
Short Run ◽  
The Impact

This study analyses the impact of exchange rate and oil prices on the yield of sovereign bond and sukuk for Malaysian capital market. This study aims to ascertain the effect of weakening Malaysian Ringgit and declining of crude oil price on the fixed income investors in the emerging capital market. This study utilises daily time series data of Malaysian exchange rate, oil price and the yield of Malaysian sovereign bond and sukuk from year 2006 until 2015. The findings show that the weakening of exchange rate and oil prices contribute different impacts in the short and long run. In the short run, the exchange rate and oil prices does not have a direct relation with the yield of sovereign bond and sukuk. However, in the long run, the result reveals that there is a significant relationship between exchange rate and oil prices on the yield of sovereign bond and sukuk. It is evident that only a unidirectional causality relation is present between exchange rate and oil price towards selected yield of Malaysian sovereign bond and sukuk. This study provides numerical and empirical insights on issues relating to capital market that supports public authorities and private institutions on their decision and policymaking process.

An Analysis of the Dynamic Relationships between Inflation Volatility, Exchange Rate and Output Gap Volatility in Turkey

2021 ◽  
Vol 11 (4) ◽  
pp. 4772-4787
Author(s):  
Sevilay Küçüksakarya ◽  
Mustafa Özer
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Series Data ◽  
Output Gap ◽  
Bounds Testing ◽  
Inflation Volatility ◽  
Long Run ◽  
Study Results ◽  
Causality Tests ◽  
The Exchange Rate

This study investigates the short and long-run relationships between Inflation volatility, exchange rate, and output gap volatility using the ARDL bounds testing approach in Turkey. Also, we repeat the estimates by using the output gap as well. Moreover, we examine the causal relationship among these variables by using Toda-Yamamoto and frequency domain causality tests. For this purpose, the study uses quarterly time series data between 2005 Q1 and 2020 Q4. Both short and long-run results of the ARDL estimates indicate that there are statistically significant relationships between exchange rate and inflation volatility, between output gap volatility and inflation volatility, and between the output gap and inflation volatility. As expected long-run effect of the exchange rate on inflation, volatility is negative, and the effects of both output volatility and output gap on inflation volatility are positive. Also, causality tests results indicate that changes in the exchange rate, output gap volatility, and output gap will have permanent and temporary causal effects on inflation volatility. Therefore, the study results provide new evidence about the exchange rate, output gap volatility, and output gap. The policymakers should carefully consider these results to implement appropriate policies to reduce inflation volatility.

scholarly journals Exchange Rate Pass-through and Its Impacts on the Nigeria Economy

2020 ◽  
pp. 44-53
Author(s):  
Obasanmi, Jude Omokugbo
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Time Series Data ◽  
Series Data ◽  
Policy Interventions ◽  
Long Run ◽  
Pass Through ◽  
Exchange Rate Changes ◽  
High Level ◽  
Exchange Rate Pass Through

Exchange Rate Pass-Through is an approximation of international macroeconomic transmission of prices and thus has implications for the timing of economic policy interventions. Hence, the degree and speed of pass-through is important for formulating policy responses to economic shocks. In this study, the researcher evaluated some channels and impacts of exchanges rate pass-through on the Nigerian economy during the period spanning from 1981 to 2018. Unit root and co-integration tests, as well as the error regression analysis on the time series data for the period 1981-2018 were carried out. The empirical outcomes indicated that Exchange rate changes pass-through interest rate and inflation rate channels on both short and long run and thus significantly affected interest rates and prices of goods and service in Nigeria during the study period. These outcomes yielded key policy insights and outlook which made the researcher to recommend amongst others that Government should ensure that the interest rates are brought to a level that will enable producers access investible funds. When there is high level of funds for production, exports would likely increase ceteris paribus, there by an increase in the foreign exchange earnings for the country and an appreciation of the naira.

Sign in / Sign up

Export Citation Format

Share Document