Exchange Rate Volatility in Indonesia During the Covid-19 Pandemic

Vita Kartika Sari (), Dwi Prasetyani and Aulia Hapsari
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Vita Kartika Sari: Universitas Sebelas Maret
Dwi Prasetyani: Universitas Sebelas Maret
Aulia Hapsari: Universitas Sebelas Maret

A chapter in Proceedings of the International Conference on Economics and Business Studies (ICOEBS-22-2), 2024, pp 504-513 from Springer

Abstract: Abstract Exchange rate volatility is an essential indicator of macroeconomics and the key variable of international trade. The COVID-19 pandemic has seriously impacted all economies, including Indonesia. This study reviewed the effect of exchange rate volatility on the bilateral trade performance of Indonesia-United States using data from 2001:Q1 to 2022:Q2. This study employed Autoregressive Conditional Heteroskedasticity (ARCH) to measure exchange rate volatility. Meanwhile, the Autoregressive Distributed Lag-Error Correction Model (ARDL-ECM) was used to test the study variables’ long- and short-term relationships. The analysis shows that real exchange rate volatility did not affect Indonesian export volume. Therefore, if Indonesia wishes to maintain the trade balance, it is recommended to keep a developed and controlled exchange rate policy.

Keywords: ARCH model; ARDL-ECM; Exchange rate volatility (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-204-0_43

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DOI: 10.2991/978-94-6463-204-0_43

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