HADI SUTRISNO, 099913380 M and Dyah Wulan Sari, Ph.D. and Rossanto Dwi Handoyo, - (2021) Vulnerability Analysis of Macroeconomic Indicators for Early Detection of Currency Crisis: Case Study of Indonesian Economy on 1991–2019. Journal of International Commerce, Economics and Policy, 12 (2). pp. 1-25. ISSN 1793-9933, eISSN: 1793-9941

	Text (Artikel) Dyah WulanS_Artikel106.pdf Download (898kB)
	Text (Peer Review 1) Dyah Wulan Sari_PeerReview106.pdf Download (1MB)
	Text (Peer Review 2) Rossanto DH_Peer Review014.pdf Download (1MB)
	Text (Similarity Test) Dyah WulanS_Similarity106_Vulnerability Analysis.pdf Download (3MB)
	Text (Kesesuaian Bidang Ilmu) RossantoDH_KesesuaianBidangIlmu-05.pdf Download (273kB)

Abstract

The purpose of this study is to detect the currency crisis in Indonesia by exploring the vulnerability of macroeconomic variables. The Exchange Market Pressure Index was used to determine the crisis period by modeling the threshold value. Early indicators were determined using the signal analysis approach; therefore, the vulnerability level of each macroeconomic variable is known and used to determine the leading indicators. The result showed that the Signal Analysis and Herrera–Garcia approaches are the best detection models. Furthermore, it was concluded that the Signal Analysis approach was better in detecting crises compared to the Herrera–Garcia approach.

Actions (login required)

View Item