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Pergerakan Nilai Tukar dan Pembentukan Ekspektasi Agen

Jurnal Ekonomi dan Pembangunan Indonesia

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Field Value
 
Title Pergerakan Nilai Tukar dan Pembentukan Ekspektasi Agen
 
Creator Syafroni, Ayatullah
Mochtar, Karyaman
 
Subject Exchange Rate
ARCH
VAR
 
Description It is interesting to pay attention on exchage rate phenomenon. The movement of exchange rate has fret up space for the expanded model and their new variety based on theoretical and methodological issues.We apply the zone target model to explain the exchange rate movement in Indonesia during 1989-2002 in monthly basis data. We put special attention to the expectation process of the agent by confronting adaptive and rational expectation and also internalize the risk factor into the model.We found that rational expectation fit and much more be able to explain the exchange rate movement, risk averse agent and massive outflow of capital during the crisis in Indonesia. We test the robustness of our model by applying to VAR model, and the same result is conformed. This VAR specification also support the contagion effect hypothesis during the cirisis 1998.
 
Publisher Department of Economics-FEB UI
 
Date 2003-01-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://jepi.fe.ui.ac.id/index.php/JEPI/article/view/30
10.21002/jepi.v3i2.30
 
Source Jurnal Ekonomi dan Pembangunan Indonesia; Vol 3 No 2 (2003): Januari; 95-124
2406-9280
1411-5212
 
Language eng
 
Relation https://jepi.fe.ui.ac.id/index.php/JEPI/article/view/30/4
 
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