Since 2014
Analisis Kurs Valas Dengan Pendekatan Box-Jenkins: Studi Empiris Rp/Us$ Dan Rp/Yen, 1983.2 – 2000.3
Economic Journal of Emerging Markets
View Archive Info| Field | Value | |
| Title |
Analisis Kurs Valas Dengan Pendekatan Box-Jenkins: Studi Empiris Rp/Us$ Dan Rp/Yen, 1983.2 – 2000.3
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| Creator |
Kardoyo, Hadi
Kuncoro, Mudrajat |
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| Description |
This paper attempts to analyse Rp/US$ and Rp/Yen exchange rates over the period 1983.2-2000.3. Using the Box-Jenkins approach, we tested various models to explain the behavior of Rp/US$ and Rp/Yen. The results supported both interest rate parity and purchasing power parity hypotheses for Rp/US$ exchange rates. In the case of Rp/Yen, however, the results supported purchasing-power parity hypothesis rather than that of interest rate parity. Moreover, Frenkel-Bilson, Dornbusch-Frankel, Hooper-Morton model cannot be applied to analyse Rp/Yen fluctuation. This study, accordingly, calls an urgency to stop a Bank Indonesia’s policy to restrict foreign exchange transactions to reduce the fluctuation of rupiah, as stated in Peraturan Bank Indonesia (PBI) No. 3/3/PBI/2001, since 12 Januari 2001. Key words: valas (exchange rates), Box-Jenkins, purchasing power parity, interest rate parity.
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| Publisher |
Universitas Islam Indonesia
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| Contributor |
—
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| Date |
2009-07-28
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://journal.uii.ac.id/index.php/JEP/article/view/654
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| Source |
Economic Journal of Emerging Markets; Vol 7, No 1 (2002)
2502-180X 2086-3128 |
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| Language |
eng
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| Relation |
http://journal.uii.ac.id/index.php/JEP/article/view/654/579
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