Model Dinamik Paritas Suku Bunga Indonesia Menggunakan Error Correction Model
Abstract
The purchasing power parity doctrine in determining exchange rate changes focuses on price factor changes (Jiang, Li, Chang, & Su, 2013)
This study examines how currency and interest rates interact with each other to achieve a balance position in the foreign exchange market.Through this approach the exchange rate is determined by the balance of demand and supply between two currencies. This approach also explains how the influence of economic variables such as money supply, national income, price level, and interest rate on the formation of currency rates. Data using the first quarter of 2000 through the fourth quarter of 2013, With econometric analysis through cointegration approach and Error Correction Model will be tested the validity of interest rate parity condition in Indonesi.Estimation of the error correction model variable (V), indicating that the variable passed the t test at 5% confidence level. It indicates that the models specification is acceptable and there is cointegration between the observed variables.Full Text:
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Karagöz, K., & Saraç, T. B. (2016). Testing the Validity of PPP Theory for Turkey: Nonlinear Unit Root Testing. Procedia Economics and Finance, 38(October 2015), 458–467. https://doi.org/10.1016/S2212-5671(16)30217-9
Kim, C. B. (2017). Does Exchange Rate Volatility Affect Korea’s Seaborne Import Volume? The Asian Journal of Shipping and Logistics, 33(1), 43–50. https://doi.org/10.1016/j.ajsl.2017.03.006
Serenis, D., & Tsounis, N. (2014). Does Exchange Rate Variation Effect African Trade Flows? Procedia Economics and Finance, 14(14), 565–574. https://doi.org/10.1016/S2212-5671(14)00757-6
Sri Nawatmi, Agung Nusantara, A. B. S. (2009). Volatilitas Nilai tukar Dan Perdagangan Internasional (Vol. 22). Semarang. https://doi.org/10.13057/biodiv/d1702xx
Vasconcelos, C. R. F., & Lima Júnior, L. A. (2016). Validity of purchasing power parity for selected Latin American countries: Linear and non-linear unit root tests. EconomiA, 17(1), 114–125. https://doi.org/10.1016/j.econ.2015.11.001
Vasilyev, D., Busygin, V., & Busygin, S. (2017). Testing and interpreting uncovered interest parity in Russia. Russian Journal of Economics, 3(2), 158–173. https://doi.org/10.1016/j.ruje.2017.06.003
Agiomirgianakis, G., Serenis, D., & Tsounis, N. (2015). Effects of Exchange Rate Volatility on Tourist Flows into Iceland. Procedia Economics and Finance, 24(July), 25–34. https://doi.org/10.1016/S2212-5671(15)00608-5
Amir, T. W. dan H. (n.d.). FAKTOR-FAKTOR YANG MEMPENGARUHI NILAI TUKAR RUPIAH. Jurnal Kajian Ekonomi Dan Keuangan, Departemen Keuangan, Vol 9 No.4(Nilai Tukar Rupiah), 1–22.
Caporale, G. M., Ali, F. M., Spagnolo, F., & Spagnolo, N. (2017). International Portfolio Flows And Exchange Rate Volatility in Emerging Asian Markets. Journal of International Money and Finance, 76, 1–15. https://doi.org/10.1016/j.jimonfin.2017.03.002
Chaudhary, G. M., Hashmi, S. H., & Khan, M. A. (2016). Exchange Rate and Foreign Trade: A Comparative Study of Major South Asian and South-East Asian Countries. Procedia - Social and Behavioral Sciences, 230(May), 85–93. https://doi.org/10.1016/j.sbspro.2016.09.011
Ekonomika, F., Bisnis, D. A. N., & Diponegoro, U. (2012). Terhadap Dollar Amerika ( Usd ) Pada Sistem Kurs Mengambang Bebas. Universitas Diponegoro.
Grisvia, A. (2009). Analisis Paritas Daya Beli Pada Kurs Rupiah terhadap Dolar Amerika Serikat Periode September 1997 – Desember 2007 dengan Menggunakan Metode Error Correction Model. Jesp, 1(1).
Jiang, C., Li, X. L., Chang, H. L., & Su, C. W. (2013). Uncovered interest parity and risk premium convergence in Central and Eastern European countries. Economic Modelling, 33, 204–208. https://doi.org/10.1016/j.econmod.2013.04.025
Karagöz, K., & Saraç, T. B. (2016). Testing the Validity of PPP Theory for Turkey: Nonlinear Unit Root Testing. Procedia Economics and Finance, 38(October 2015), 458–467. https://doi.org/10.1016/S2212-5671(16)30217-9
Kim, C. B. (2017). Does Exchange Rate Volatility Affect Korea’s Seaborne Import Volume? The Asian Journal of Shipping and Logistics, 33(1), 43–50. https://doi.org/10.1016/j.ajsl.2017.03.006
Serenis, D., & Tsounis, N. (2014). Does Exchange Rate Variation Effect African Trade Flows? Procedia Economics and Finance, 14(14), 565–574. https://doi.org/10.1016/S2212-5671(14)00757-6
Sri Nawatmi, Agung Nusantara, A. B. S. (2009). Volatilitas Nilai tukar Dan Perdagangan Internasional (Vol. 22). Semarang. https://doi.org/10.13057/biodiv/d1702xx
Vasconcelos, C. R. F., & Lima Júnior, L. A. (2016). Validity of purchasing power parity for selected Latin American countries: Linear and non-linear unit root tests. EconomiA, 17(1), 114–125. https://doi.org/10.1016/j.econ.2015.11.001
Vasilyev, D., Busygin, V., & Busygin, S. (2017). Testing and interpreting uncovered interest parity in Russia. Russian Journal of Economics, 3(2), 158–173. https://doi.org/10.1016/j.ruje.2017.06.003
DOI: https://doi.org/10.31575/jp.v1i3.10
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