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Bulletin of Monetary Economics and Banking

Document Type

Article

Abstract

This paper examines the factors that determined the Indonesian rupiah against US dollar nominal exchange rate post crisis period. The effect of the oil prices and the interaction of supply and demand in the foreign exchange market are included as part of explanatory variables besides other fundamentals, using an Error Correction Model (ECM). The use of composite model that incorporates a number of familiar approaches in exchange rate determination is found to outperform the model based on one single approach in term of their forecast performance. The estimation results show that the increase in oil price will depreciate the rupiah exchange rate and that risk factor is the most important factor that influences the rupiah development.JEL Classification: C22, C52, C53, E31, F31, F47Keywords: Exchange Rate, ECM, composite model, BEER, CEER, forecasting, political risk, economic risk, financial risk.

First Page

1

Last Page

24

Creative Commons License

Creative Commons Attribution-NonCommercial 4.0 International License
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License

Country

Indonesia

Affiliation

Bank Indonesia

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