The Volatility of Rupiah Exchange Rate Impact on Main Commodity Exports to the OIC Member States
1
Department of Economics, Faculty of Economics and Business, Universitas Airlangga, Surabaya 60286, Indonesia
2
Department of Economics, Faculty of Social and Management Sciences, Federal University, Birnin Kebbi 860101, Nigeria
3
Department of Economics, Faculty of Economics and Management, Universiti Kebangsaan Malaysia, Bangi 43600, Selangor, Malaysia
*
Author to whom correspondence should be addressed.
Academic Editor: Adolfo Maza
Economies 2022, 10(4), 78; https://doi.org/10.3390/economies10040078
Received: 17 February 2022
/
Revised: 21 March 2022
/
Accepted: 22 March 2022
/
Published: 25 March 2022
(This article belongs to the Section Macroeconomics, Monetary Economics, and Financial Markets)
This study analysed the impact of the volatility of the rupiah exchange rate on four main commodities exported from Indonesia to six member countries of the Organisation of the Islamic Cooperation (OIC) (Saudi Arabia, Malaysia, Pakistan, United Arab Emirates, Turkey, and Bangladesh). The study employed monthly data spanning from January 2007 to December 2019 and the EGARCH method to obtain exchange rate volatility, while the ARDL method was used to model both the short-run and long-run impact of exchange rate and its volatility on exports. In the short term, findings revealed that exchange rate volatility has a significant negative effect on five main commodity exports to OIC countries, whereas, in the long-term, volatility of the exchange rate negatively affects twelve main commodity exports to OIC countries. Our results further imply that most of Indonesia’s exporters to six OIC Member countries are risk-averse.
View Full-Text
Keywords:
rupiah exchange rate volatility; main export commodities; EGARCH; ARDL model; Indonesia; OIC member countries
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
MDPI and ACS Style
Handoyo, R.D.; Sari, A.D.P.; Ibrahim, K.H.; Sarmidi, T. The Volatility of Rupiah Exchange Rate Impact on Main Commodity Exports to the OIC Member States. Economies 2022, 10, 78. https://doi.org/10.3390/economies10040078
AMA Style
Handoyo RD, Sari ADP, Ibrahim KH, Sarmidi T. The Volatility of Rupiah Exchange Rate Impact on Main Commodity Exports to the OIC Member States. Economies. 2022; 10(4):78. https://doi.org/10.3390/economies10040078
Chicago/Turabian StyleHandoyo, Rossanto Dwi, Agustin Dwi Prihandika Sari, Kabiru Hannafi Ibrahim, and Tamat Sarmidi. 2022. "The Volatility of Rupiah Exchange Rate Impact on Main Commodity Exports to the OIC Member States" Economies 10, no. 4: 78. https://doi.org/10.3390/economies10040078
Find Other Styles
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.
