The Analysis of Interdependency Macroeconomic Variables of Rupiah Exchange Rate Volatility using Vector Auto Regression Period 2008-2017

Masnia Nasution, Dede Ruslan, Andri Zainal

2018

Abstract

Understanding volatility of rupiah exchange rate very important because interdependency of macro economic variables. Fluctuation one of macroeconomic variables then rupiah exchange rate volatility certain follow moving appreciation or depreciation suspend from fast or slow fluctuation one of macroeconomic variables. Dornbusch theory state with the concept of "Overshooting" (soaring/fluctuating) with the "Monetary Sticky Price" model. The basis of this model is the uncertainty of fluctuating high rupiah exchange rate volatility. This study explores how the interdependence of macroeconomic variables on rupiah exchange rate volatility. The data used series time data were conducted that accepted from Economic and Financial Statistics Bank of Indonesia during the period of 2008-2017. The methods used in this research were Vector Autoregression (VAR). The results of the study concluded that (1) in the short term dominant cointegration towards inflation, the money supply, the export of non-oil and gas commodities (2) while the medium term cointegration towards interest rates (3) and while in the long term cointegration of gross domestic product (4) In addition, non commodity export shocks Oil and gas in the short term does not provide a dominant contribution to the volatility of the rupiah exchange rate, in the medium term interest rates make a dominant contribution to the volatility of the rupiah exchange rate, and in long-term growth (GROW) make a dominant contribution to the volatility of the rupiah. Government policy simulations emphasize interest rates to 6.5 percent so that inflation can subside after the 2008 global crisis, but not reduce the money supply and increase economic growth, the government is important to simulate other policies to better anticipate the global crisis.

Paper Citation

in Harvard Style

Nasution M., Ruslan D. and Zainal A. (2018). The Analysis of Interdependency Macroeconomic Variables of Rupiah Exchange Rate Volatility using Vector Auto Regression Period 2008-2017.In Proceedings of the 1st Unimed International Conference on Economics Education and Social Science - Volume 1: UNICEES, ISBN 978-989-758-432-9, pages 634-642. DOI: 10.5220/0009510306340642

in Bibtex Style

@conference{unicees18,
author={Masnia Nasution and Dede Ruslan and Andri Zainal},
title={The Analysis of Interdependency Macroeconomic Variables of Rupiah Exchange Rate Volatility using Vector Auto Regression Period 2008-2017},
booktitle={Proceedings of the 1st Unimed International Conference on Economics Education and Social Science - Volume 1: UNICEES,},
year={2018},
pages={634-642},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0009510306340642},
isbn={978-989-758-432-9},
}

in EndNote Style

TY - CONF

JO - Proceedings of the 1st Unimed International Conference on Economics Education and Social Science - Volume 1: UNICEES,
TI - The Analysis of Interdependency Macroeconomic Variables of Rupiah Exchange Rate Volatility using Vector Auto Regression Period 2008-2017
SN - 978-989-758-432-9
AU - Nasution M.
AU - Ruslan D.
AU - Zainal A.
PY - 2018
SP - 634
EP - 642
DO - 10.5220/0009510306340642