ANALISIS APLIKASI MODEL NERACA PEMBAYARAN DAN MODEL MONETER TERHADAP NILAI TUKAR RUPIAH/ DOLAR, PERIODE 1980.1 – 2000.4
Abstract
This paper is aimed to analyze variables determines the exchange rate of rupiah. Using exchange rate model (balance of payment and monetary model) developed by Fullerton, Hattori and Calderon (2001) we incorporate two additional variables namely policy variable and crises variable.
We apply unit root test to observe the existence of structural break during observed period. Prior the implementation of Engel-Granger Error Correction Model, we test whether our variables in equation are cointegrated. Following Hendry’s general to specific modeling procedure, we get two simple models namely balance of payment and monetary model.
Our result shows all explanatory variables significantly determine exchange rate in both models. However international reserve and national income has opposite sign before and during the crisis. Devaluation which is captured by dummy variable has positive impact (depreciates) exchange rate as well as crisis dummy variable. We also note that the speed of adjustment in balance of payment model, 17.51% is greater than in monetary model, 12.47%.
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References
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Warjiyo, Perry and Agung, Juda, “Transmission Mechanisms of Monetary Policy In Indonesia”, Directirate of Economic Research and Monetary Policy Bank Indonesia, July 2002.
……….., “Short Term Forecast Model of Indonesian Economy; SOFIE”, Bank Indonesia.
……….., Laporan Tahunan Bank Indonesia 2001
……….., Laporan Tahunan Bank Indonesia 2002
Alan L.Tucker, ”International Financial Markets”,Temple University, West Publishing Company-West New York.
Bilson,J.,and R.Martston (eds.),”Exchange Rate Theory and Practice”,Chicago: The University of Chicago Press,1984.
Closterman, Jorg and Schnatz, Bernd, “The Determinants of The Euro-Dollar Exchange Rate: synthetic fundamentals and a non-existing currency”, Economic Research Group of Deutchebank, May 2000.
De Grauwe.P.,”International Money Postwar Trends and Theories”, Second Edition, Oxford University Press, 1996.
Dickinson D.G & William A.Allan., “Monetary policy, Capital Flows and Exchange Rates,Essay in Honour of Maxwell Fry”, Routledge International Studies in Money and Banking, 2002.
Edwards, S, ”Real Exchange Rates, Devaluation, and Adjustment”, Cambridge, MA: MIT Press, 1991.
Edwards, Sebastian,”The Determinants of The Choice Between Fixed And Flexible Exchange-Rate Regimes”, NBER Working Paper, September 1996.
Elbadawi,I.E.”Estimating Long-Run Equlibrium Real Exchange Rates,” in J.Williamson,ed., Estimating Long-Run Equlibrium Real Exchange Rates, Washington,DC: Institute for International Economics, 1994.
Enders.W, “Applied Economtric Time Series”, John Wiley & Sons,INC, 1995.
Engle R.F & C.W.J.Granger, “Long-Run Economic Relationship”, Reading in Cointegration, Oxford University, 1995.
Fritsche,Charmaine P., and Myles S.Wallace 1997,”Forecasting the Exchange Rate: PPP Versus a Random Walk,” Economics Letters54:pp.69-74.
Fullerton M.Thomas, Jr.Miwa Hattori and Cuauhtemoc Caldera,”Error Correction Exchange Rate Modelling: Evidence for Mexico,” Journal of Economics And Finance, Vol.25, Number 3, Fall 2001,pp.358-368.
Frenkel J.A & Harry G.Johnson, “The Economics of Exchange Rates: Selected Studies”, Addison Wesley Publishing Company, 1978.
Garry Koop, “Analysis of Economic Data”, John Wiley & Sons, LTD, 2000. Grubacic Sanja,”Real Exchange Rate Determination in Eastern Europe”,AEJ: Vol.28, No.3, September 2000,pp.346-363.
Harris, R.I.D., “Using Cointegration Analysis In Econometric Modelling”, Prentice Hall/ Hervester Wheatsheat, 1995.
Hervey, John.T, “Exchange Rate Theory and The Fundamentals”, Journal of Post Keynesian Economics, Vol.24, No.1-3, Fall 2001.
Hendry David,F, “Dynamic Econometrics”, Oxford University Press, 1995.
Hill, Hall, “Ekonomi Indonesia”, Edisi Kedua, PT RajaGrafindo Persada, Jakarta 2001.
Iljas, Achjar, “Menuju Kestabilan Nilai Rupiah Melalui Independensi, Akuntabilitas dan Transparansi”, Makalah Diskusi Panel Kemandirian Bank Indonesia Pasca UU No.23 Tahun 1999, Jakarta 1999.
Insukindro, “Sindrum R2 Dalam Analisis Regresi Runtun Waktu”, Jurnal Ekonomi dan Bisnis Indonesia, Vol.13, No.4, 1- 11, Universitas Gadjah Mada, 1998.
Insukindro, “Pemilihan Model Ekonomi Empirik dengan Pendekatan Model Koreksi Kesalahan”, Journal Ekonomi dan Bisnis Indonesia, Vol.14, No.1. 1-8, Universitas Gadjah Mada, 1999.
Johansen.S, ”Likelihood-Based Inference In Cointegrated Vector Autoregressive Models”, Oxford University Press, 1995.
Jones,R.W & Kenen,P.B, ”Handbook of International Economics”, Vol.II, Elsevier Science Publisher B.V, 1985.
Kim, Benjamin J.C., and Soowon Mo.1995.”Cointegration and the Long Run Forecast of Exchange Rates,” Economics Lettres, Vol.48, pp.353-359.
Kim,Yoonbai, “Purchasing Power Parity in The Long Run: A Cointegration Approach”, Journal of Money, Credit, and Banking, Vol.22,No.4, November 1990.
Kulkarni, Kishore, “Determination of Chinse Yuan Rate: An Analysis of Foreign Exchange Transactions”, Apllied Bussiness Research, Colorado May 1999.
Kuncoro, Mudrajat, “Metode Kuantitatif; Teori dan Aplikasi Untuk Bisnis dan Ekonomi”, Macmillan Education LTD, 1990.
Llewellyn D.T & Chris Milner, “Current Issues In International Monetary Economics”, Macmillan Education LTD, 1990.
MacDonald, Ronald (1995), “Long Run Exchange Rate Modeling: A Survey of the Recent Evidence”, IMF Staff Papers 42:437-489.
MacDonald, R. and M.P. Taylor (1992), “Exchange Rate Economics: A Survey”, IMF Staff Papers, vol.39, no.1
Maddala G.S & In-Moo Kim, “Unit Roots Cointegration and Structural Change”, Cambridge University Press, 1998.
Maurice D.Levi, “International Finance: The Markets and Financial Management of Multinational Business”, Third Edition-McGraw-Hill, Inc-1996.
McKnown, Robert, and Myles S.Wallace,1994. “Cointegration Tests of The Monetary Exchange Rate Model For Three High-Inflation Economics,” Journal of Money, Credit, and BankingVol.26, pp.396-411.
Melvin M,”International Money & Finance”, HarperCollins, 1995.
Modeste, Nelson C., and Muhammad Mustafa,1999,”An Error-Correction Model of the Demand for Equity Mutual Funds in the U.S. 1973-1994” Journal of Economics And Finance, Vol.23: pp.39-44.
Noussair, Charles.N, Plott Charles.R and Reizman, Raymond.G, “The Principles of Exchange Rate Determination in an International Finance Experiment”, Journal of Political Economy, Vol.105, No.4, 1997.
Paul de Grauwe, “International Money: Postwar Trends and Theories”, The University of British Columbia, Second Edition, Oxford University Press, Oxford 1996.
Pindyck, Robert S., and Daniel L.Rubinfeld 1998,”Econometric Models And Economics Forecast,” Fourth Edition, Irwin McGraw-Hill: Boston, MA
Rogoff, Kenneth.1996, “The Purchasing Power Parity Puzzle,” Journal of Economic Literature, Vol.34, pp.647-668.
Sach, Jeffrey D, “Economic Transition and The Economic Regime”, AEA Papers and Proceedings, May 1996.
Sarno, Lucio and Mark P.Taylor. 2002, “Purchasing Power Parity and the Real Exchange Rate”, IMF Staff Papers, vol.49, no.1, pp.65-105.
Thomas, R.L. 1993, ”Introductory Econometrics”, Second Edition, Longman Publishing, New York.
Visser, Hans., “A Guide to International Monetary Economics”, Second Edition, Edwar Elgar Publishing Limited, USA.
Wang Peiji., “Financial Econometrics, Method and Models”, Routledge Taylor & Francis Group, 2003.
Warjiyo, Perry and Agung, Juda, “Transmission Mechanisms of Monetary Policy In Indonesia”, Directirate of Economic Research and Monetary Policy Bank Indonesia, July 2002.
Published
2005-05-20
How to Cite
Nuryadin, D., & Santoso, M.Soc.Sc, D. B. (2005). ANALISIS APLIKASI MODEL NERACA PEMBAYARAN DAN MODEL MONETER TERHADAP NILAI TUKAR RUPIAH/ DOLAR, PERIODE 1980.1 – 2000.4. Buletin Ekonomi Moneter Dan Perbankan, 7(2), 273 -. https://doi.org/10.21098/bemp.v7i2.111
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Buletin Ekonomi Moneter dan Perbankan / Bulletin of Monetary Economics and Banking is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
