Repository Universitas Pakuan

Detail Karya Ilmiah Dosen

WI Idris, Fitria Virgantari, Ani Andriyati

Judul : PENGARUH JUMLAH UANG BEREDAR DAN TINGKAT SUKU BUNGA TERHADAP KURS RUPIAH MENGGUNAKAN VECTOR ERROR CORRECTION MODEL

Abstrak :
This study aims to determine the influence on the estimated short-term and longterm relationships of the VECM (Vector Error Corrction Model), the casuality relationship of the three variables, and the length of response effect time when achieving stability. The data used is monthly data for the period 2007 - 2017. The estimated result obtained by the model is VECM at lag 2 with the results of the short-term estimate KURSt = - 0.257 KURSt1 - 0.289 KURSt-2 - 0.029 TSBt-1, JUBt = 0.015 - 0.369 KURSt-2 - 0.208 JUBt-1- 0.202 JUBt2, TSBt = 0.275 TSBt-1 + 0.353 TSBt-2 where t time period and long-term estimated results that the amount of money in circulation and the interest rate negatively affect the rupiah exchange rate. In granger casuality test, there is only a direct relationship between the rupiah exchange rate and the amount of money in circulation and the interest rate with the rupiah exchange rate. Based on the analysis of impulse response function, when given the shock of interest rate and rupiah exchange rate itself, the effect of rupiah exchange rate response is stable in the 22nd period and the 15th period, when given the shock of rupiah exchange rate and the amount of money in circulation itself, the effect of the response of the amount of money in circulation is stable in the 10th period and when given the shock of the interest rate itself, the effect of the response of the interest rate is stable in the 18th period. Keywords: impulse response function. interest rate, money supply, rupiah exchange rate, VECM model

Tahun : 2021 Media Publikasi : Jurnal Nasional Blm Akreditasi

Kategori : Jurnal No/Vol/Tahun : 1 / 1 / 2021

ISSN/ISBN : -

PTN/S : Universitas Pakuan Program Studi : MATEMATIKA

Bibliography :
[1] Ekananda, Mahyus. (2014). Ekonomi Internasional. Jakarta : Kencana [2] Bank Indonesia. (2018). Data Kurs Rupiah Terhadap Dolar. https://www.bi.go.id/id/moneter/informasi-kurs/transaksi-bi/Default.aspx [diakses 10 Januari 2018]. [3] Batubara D.M.H, Saskara, I.A.N. (2015). Analisis Hubungan Ekspor, Impor, Pdb, dan Utang Luar Negeri Indonesia Periode 1970 - 2013. Jurnal Ilmiah Ekonomi Pembangunan. 101 (2): 342– 367. [4] Bank Indonesia. (2018). BI Rate. https://www.bi.go.id/id/moneter/bi-7dayRR/data/Contents/Default.aspx [diakses 10 Januari 2018]. [5] Bank Indonesia. (2018). Data Jumlah Uang Beredar. https://www.bi.go.id/id/statistik/metadata/seki/Contents/Default.aspx [diakses 10 Januari 2018]. [6] Widarjono. (2013). Ekonometrika : Pengantar dan Aplikasinya. Jakarta : Ekonosia. [7] Juanda, B., Junaidi. (2012). Ekonometrika Deret Waktu. Bogor: IPB Press. [8] Gujarati, D.N. (2013). Dasar-Dasar Ekonometrika Edisi Kelima. Jakarta: Salemba Empat.

URL : https://journal.unpak.ac.id/index.php/intv/issue/view/349

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Detail Karya Ilmiah Dosen

WI Idris, Fitria Virgantari, Ani Andriyati

Judul	:	PENGARUH JUMLAH UANG BEREDAR DAN TINGKAT SUKU BUNGA TERHADAP KURS RUPIAH MENGGUNAKAN VECTOR ERROR CORRECTION MODEL
Abstrak	:	This study aims to determine the influence on the estimated short-term and longterm relationships of the VECM (Vector Error Corrction Model), the casuality relationship of the three variables, and the length of response effect time when achieving stability. The data used is monthly data for the period 2007 - 2017. The estimated result obtained by the model is VECM at lag 2 with the results of the short-term estimate KURSt = - 0.257 KURSt1 - 0.289 KURSt-2 - 0.029 TSBt-1, JUBt = 0.015 - 0.369 KURSt-2 - 0.208 JUBt-1- 0.202 JUBt2, TSBt = 0.275 TSBt-1 + 0.353 TSBt-2 where t time period and long-term estimated results that the amount of money in circulation and the interest rate negatively affect the rupiah exchange rate. In granger casuality test, there is only a direct relationship between the rupiah exchange rate and the amount of money in circulation and the interest rate with the rupiah exchange rate. Based on the analysis of impulse response function, when given the shock of interest rate and rupiah exchange rate itself, the effect of rupiah exchange rate response is stable in the 22nd period and the 15th period, when given the shock of rupiah exchange rate and the amount of money in circulation itself, the effect of the response of the amount of money in circulation is stable in the 10th period and when given the shock of the interest rate itself, the effect of the response of the interest rate is stable in the 18th period. Keywords: impulse response function. interest rate, money supply, rupiah exchange rate, VECM model
Tahun	:	2021	Media Publikasi	:	Jurnal Nasional Blm Akreditasi
Kategori	:	Jurnal	No/Vol/Tahun	:	1 / 1 / 2021
ISSN/ISBN	:	-
PTN/S	:	Universitas Pakuan	Program Studi	:	MATEMATIKA
Bibliography	:	[1] Ekananda, Mahyus. (2014). Ekonomi Internasional. Jakarta : Kencana [2] Bank Indonesia. (2018). Data Kurs Rupiah Terhadap Dolar. https://www.bi.go.id/id/moneter/informasi-kurs/transaksi-bi/Default.aspx [diakses 10 Januari 2018]. [3] Batubara D.M.H, Saskara, I.A.N. (2015). Analisis Hubungan Ekspor, Impor, Pdb, dan Utang Luar Negeri Indonesia Periode 1970 - 2013. Jurnal Ilmiah Ekonomi Pembangunan. 101 (2): 342– 367. [4] Bank Indonesia. (2018). BI Rate. https://www.bi.go.id/id/moneter/bi-7dayRR/data/Contents/Default.aspx [diakses 10 Januari 2018]. [5] Bank Indonesia. (2018). Data Jumlah Uang Beredar. https://www.bi.go.id/id/statistik/metadata/seki/Contents/Default.aspx [diakses 10 Januari 2018]. [6] Widarjono. (2013). Ekonometrika : Pengantar dan Aplikasinya. Jakarta : Ekonosia. [7] Juanda, B., Junaidi. (2012). Ekonometrika Deret Waktu. Bogor: IPB Press. [8] Gujarati, D.N. (2013). Dasar-Dasar Ekonometrika Edisi Kelima. Jakarta: Salemba Empat.
URL	:	https://journal.unpak.ac.id/index.php/intv/issue/view/349