ESTIMASI NILAI TUKAR RUPIAH PASKA KRISIS: Pendekatan Model Komposit

Jardine Ariena Husman ()
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Jardine Ariena Husman: Bank Indonesia

Bulletin of Monetary Economics and Banking, 2005, vol. 8, issue 3, 1-24

Abstract: This paper examines the factors that determined the Indonesian rupiah against US dollar nominal exchange rate post crisis period. The effect of the oil prices and the interaction of supply and demand in the foreign exchange market are included as part of explanatory variables besides other fundamentals, using an Error Correction Model (ECM). The use of composite model that incorporates a number of familiar approaches in exchange rate determination is found to outperform the model based on one single approach in term of their forecast performance. The estimation results show that the increase in oil price will depreciate the rupiah exchange rate and that risk factor is the most important factor that influences the rupiah development.

Keywords: Exchange Rate; ECM; composite model; BEER; CEER; forecasting; political risk; economic risk; financial risk (search for similar items in EconPapers)
JEL-codes: C22 C52 C53 E31 F31 F47 (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:8:y:2005:i:3:p:1-24

DOI: 10.21098/bemp.v8i3.139

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