ANALISIS PERBANDINGAN PENGARUH VOLATILITAS NILAI TUKAR RUPIAH TERHADAP KINERJA EKONOMI MAKRO INDONESIA PADA SEBELUM DAN MASA SISTEM NILAI TUKAR MENGAMBANG BEBAS (PERIODE 1990.1-2005.3)

Dian Yulia Sari, 040217552 (2008) ANALISIS PERBANDINGAN PENGARUH VOLATILITAS NILAI TUKAR RUPIAH TERHADAP KINERJA EKONOMI MAKRO INDONESIA PADA SEBELUM DAN MASA SISTEM NILAI TUKAR MENGAMBANG BEBAS (PERIODE 1990.1-2005.3). Skripsi thesis, UNIVERSITAS AIRLANGGA.

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Abstract

The purpose of this paper is to analyze the influence of exchange rate volatility to macroeconomics performance before and during floating exchange rate system. The monthly data for about fifteen years will be separated into managed floating periode (1990.1 – 199717) and free floating periode (199719 – 2005-3). We apply unit root test, lag length criteria using VAR estimates and Johansen-Joselius cointegrating test before applying cointegrating vector error correction models (VECM) that explain VECM estimates including impulse response function and variance decomposition analysis. VECM estimates suggest that in the long run, there is no significant relationship between exchange rate volatility and macroeconomics variables for both exchange rate system. But in the short run, VECM estimates a short run cointegrating relationship between exchange rate volaility and export, Generelized impulse response function are estimated to investigate the response of macroeconomics variables to shock from exchange rate volatility. Variance decomposition analyzes the contribution of exchange rate volatility to macroeconomics variables.

Item Type: Thesis (Skripsi)
Additional Information: KKB KK-2 C. 54/08 Sar a
Uncontrolled Keywords: FOREIGN EXCHANGES RATES
Subjects: H Social Sciences > HG Finance > HG1-9999 Finance > HG1501-3550 Banking > HG1621-1638 Interest rates. Interest tables
K Law > K Law (General) > K1-7720 Law in general. Comparative and uniform law. Jurisprudence > K(520)-5582 Comparative law. International uniform law > K3820-3836 Economic constitution, policy, planning, and development
Q Science > QA Mathematics > QA299.6-433 Analysis
Divisions: 04. Fakultas Ekonomi dan Bisnis > Ekonomi Pembangunan
Creators:
CreatorsNIM/NIDN
Dian Yulia Sari, 040217552UNSPECIFIED
Contributors:
ContributionNameNIDN/NIDK/NUP
ContributorTjuk Kasturi Sukiadi, Dr.,H.,SEUNSPECIFIED
Depositing User: Nn Anisa Septiyo Ningtias
Date Deposited: 27 Jan 2009 12:00
Last Modified: 06 Jul 2017 02:57
URI: http://repository.unair.ac.id/id/eprint/4430
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