FLUCTUATION ANALYSIS OF RUPIAH EXCHANGE RATE OF DOLLAR UNITED STATES IN INDONESIA

Murtala, Murtala and Raja, Masbar and Fajri, Fajri and Muhammad, Nasir (2017) FLUCTUATION ANALYSIS OF RUPIAH EXCHANGE RATE OF DOLLAR UNITED STATES IN INDONESIA. European Journal of Agriculture and Forestry Research, 5 (6). pp. 37-50. ISSN 2054-6319

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Abstract

This research is conducted to analyze the influence of interest rate, foreign exchange reserve, and money supply to the stability of rupiah exchange rate against US dollar in Indonesia both in long term and in short term. The data used are time series data, including foreign exchange reserves, interest rate, money supply and rupiah exchange rate against US dollar during 2001-2015 period. Data analysis was done by using ARDL approach (Auto Regressive Distruted Lag). The results showed that from the cointegration result ARDL obtained the result that there is cointegration between exchange rate variable as dependent variable with interest rate, foreign exchange reserve and money supply as independent variable. In the short-term analysis of interest rates have a significant and positive effect, foreign exchange reserves have a significant and negative impact, the money supply has a significant and positive impact on the value of the rupiah exchange rate in Indonesia. In the long-term analysis of interest rates have a significant and negative effect, foreign exchange reserves have an insignificant and positive effect, the money supply has a significant and negative impact on the value of the rupiah exchange rate in Indonesia. The results of the model stability test show that the model used is stable either by using CUSUM test or CUSUMQ test. KEYWORDS: Fluctuation, Rupiah Exchange Rate, US Dollar, ARDL Approach

Item Type: Article
Subjects: E Economy, Accounting, Development > E11 Economy (General)
Depositing User: Dr Murtala Murtala
Date Deposited: 17 Dec 2020 02:28
Last Modified: 17 Dec 2020 02:28
URI: http://repository.unimal.ac.id/id/eprint/6241

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