Analisis kurs valas dengan pendekatan box-jenkins: studi empiris Rp/US$ dan Rp/Yen, 1983.2-2000.3
Hadi Kardoyo dan Mudrajad Kuncoro
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.
- No. Panggil 657.2 KAR a
- Edisi
- Pengarang Hadi Kardoyo dan Mudrajad Kuncoro
- Penerbit
