Sign in to use this feature.

Years

Between: -

Subjects

remove_circle_outline
remove_circle_outline

Journals

Article Types

Countries / Regions

Search Results (2)

Search Parameters:
Keywords = rupiah exchange rate volatility

Order results
Result details
Results per page
Select all
Export citation of selected articles as:
18 pages, 334 KB  
Article
The Volatility of Rupiah Exchange Rate Impact on Main Commodity Exports to the OIC Member States
by Rossanto Dwi Handoyo, Agustin Dwi Prihandika Sari, Kabiru Hannafi Ibrahim and Tamat Sarmidi
Economies 2022, 10(4), 78; https://doi.org/10.3390/economies10040078 - 25 Mar 2022
Cited by 13 | Viewed by 5074
Abstract
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 [...] Read more.
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. Full article
(This article belongs to the Section Macroeconomics, Monetary Economics, and Financial Markets)
17 pages, 299 KB  
Article
A Cointegration of the Exchange Rate and Macroeconomic Fundamentals: The Case of the Indonesian Rupiah vis-á-vis Currencies of Primary Trade Partners
by Agus Salim and Kai Shi
J. Risk Financial Manag. 2019, 12(2), 87; https://doi.org/10.3390/jrfm12020087 - 13 May 2019
Cited by 9 | Viewed by 4694
Abstract
Since the appearance of persistent research finding a disconnection between the exchange rate and its macroeconomic fundamentals, the empirical debate has not stopped. Studies employ various methods to explain the presence of the exchange rate disconnect puzzle, including applying models to the case [...] Read more.
Since the appearance of persistent research finding a disconnection between the exchange rate and its macroeconomic fundamentals, the empirical debate has not stopped. Studies employ various methods to explain the presence of the exchange rate disconnect puzzle, including applying models to the case of emerging market economies. However, the exchange rate has different determinants in some countries. To revisit this puzzle in an emerging market currency, we analyzed the cointegration of the exchange rate of the Indonesian Rupiah vis-á-vis currencies of primary trade partners and its macroeconomic fundamentals. The empirical results based on Autoregressive Distributed Lag (ARDL) and Nonlinear Autoregressive Distributed Lag (NARDL) models show that the fundamental variables consistently drive the exchange rate. The trade surplus as an extended nonlinear variable revealed high feedback to the exchange rate volatility in the long-run. Full article
(This article belongs to the Special Issue Currency Crisis)
Back to TopTop