Modeling The Relationships Between Export, Import, Inflation, Interest Rate, and Rupiah Exchange
This research was a modification of research by Catalbas (2016) and Pratikto (2012). The model that can separate long-term and short-term components are the Vector Error Correction Model (VECM). This study aimed to model export, import, inflation, interest rates, and the rupiah exchange rate using V...
| Main Authors: | , , |
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| Format: | Article |
| Language: | Indonesian |
| Published: |
Universitas Islam Negeri Raden Intan Lampung
2020-09-01
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| Series: | Desimal |
| Subjects: | |
| Online Access: | http://ejournal.radenintan.ac.id/index.php/desimal/article/view/6942 |
| _version_ | 1818971153446731776 |
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| author | Nina Valentika Vivi Iswanti Nursyirwan Ilmadi Ilmadi |
| author_facet | Nina Valentika Vivi Iswanti Nursyirwan Ilmadi Ilmadi |
| author_sort | Nina Valentika |
| collection | DOAJ |
| description | This research was a modification of research by Catalbas (2016) and Pratikto (2012). The model that can separate long-term and short-term components are the Vector Error Correction Model (VECM). This study aimed to model export, import, inflation, interest rates, and the rupiah exchange rate using VECM and to test the causality between variables using the Granger Causality test. The inter-variable model obtained in this study was VECM with lag 2 using a deterministic trend with the assumption of none intercept no trend and two cointegrations. In export and import, there was an adjustment mechanism from the short-term to the long-term. This research model was appropriate to forecast the export and import where VECM with export and import as the target variables, the cointegration equation (long-run model) for cointegration equation (long-run model) for Based on the Granger Causality test, it was found that there was a one-way relationship between exchange rates and inflation, export and interest rates, export and import, inflation and export, and import and the interest rate at the significance level of 5%. |
| first_indexed | 2024-12-20T14:47:51Z |
| format | Article |
| id | doaj.art-4abc8a466b114f379d84889067f13c54 |
| institution | Directory Open Access Journal |
| issn | 2613-9073 2613-9081 |
| language | Indonesian |
| last_indexed | 2024-12-20T14:47:51Z |
| publishDate | 2020-09-01 |
| publisher | Universitas Islam Negeri Raden Intan Lampung |
| record_format | Article |
| series | Desimal |
| spelling | doaj.art-4abc8a466b114f379d84889067f13c542022-12-21T19:37:03ZindUniversitas Islam Negeri Raden Intan LampungDesimal2613-90732613-90812020-09-013324726210.24042/djm.v3i3.69423487Modeling The Relationships Between Export, Import, Inflation, Interest Rate, and Rupiah ExchangeNina Valentika0Vivi Iswanti Nursyirwan1Ilmadi Ilmadi2Universitas PamulangUniversitas PamulangUniversitas PamulangThis research was a modification of research by Catalbas (2016) and Pratikto (2012). The model that can separate long-term and short-term components are the Vector Error Correction Model (VECM). This study aimed to model export, import, inflation, interest rates, and the rupiah exchange rate using VECM and to test the causality between variables using the Granger Causality test. The inter-variable model obtained in this study was VECM with lag 2 using a deterministic trend with the assumption of none intercept no trend and two cointegrations. In export and import, there was an adjustment mechanism from the short-term to the long-term. This research model was appropriate to forecast the export and import where VECM with export and import as the target variables, the cointegration equation (long-run model) for cointegration equation (long-run model) for Based on the Granger Causality test, it was found that there was a one-way relationship between exchange rates and inflation, export and interest rates, export and import, inflation and export, and import and the interest rate at the significance level of 5%.http://ejournal.radenintan.ac.id/index.php/desimal/article/view/6942macroeconomic variablevector autoregressiveregressioncausality |
| spellingShingle | Nina Valentika Vivi Iswanti Nursyirwan Ilmadi Ilmadi Modeling The Relationships Between Export, Import, Inflation, Interest Rate, and Rupiah Exchange Desimal macroeconomic variable vector autoregressive regression causality |
| title | Modeling The Relationships Between Export, Import, Inflation, Interest Rate, and Rupiah Exchange |
| title_full | Modeling The Relationships Between Export, Import, Inflation, Interest Rate, and Rupiah Exchange |
| title_fullStr | Modeling The Relationships Between Export, Import, Inflation, Interest Rate, and Rupiah Exchange |
| title_full_unstemmed | Modeling The Relationships Between Export, Import, Inflation, Interest Rate, and Rupiah Exchange |
| title_short | Modeling The Relationships Between Export, Import, Inflation, Interest Rate, and Rupiah Exchange |
| title_sort | modeling the relationships between export import inflation interest rate and rupiah exchange |
| topic | macroeconomic variable vector autoregressive regression causality |
| url | http://ejournal.radenintan.ac.id/index.php/desimal/article/view/6942 |
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