Unggul Heriqbaldi, Dr. and Munawar Ismail, - and David Kaluge, - and Dwi Budi Santoso, - (2014) A regime switching analysis of Indonesia's exchange market pressure. Singapore economic review, 59 (2). pp. 1-17. ISSN 0217-5908

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Abstract

This paper examines the extent to which the Indonesia's currency crisis can be accounted for by macro and micro economic fundamentals by employing Markov-switching approach under cross-generation crisis models. In order to represent the speculative attack in the economy, the study utilized one of the measures that is most widely adopted to signal the breakup of a crisis, the Exchange Market Pressure Index (EMPI). This paper found the following. First, liquidity (DC), real exchange rate (RER2) and ratio of banking credit to GDP (BCred) were found to significantly influence the EMPI, indicating that the behavior of EMPI has the characteristic that is predicted by the first, second, and third generation of crisis model found to significantly influence the EMPI, indicating that the behavior of EMPI has the characteristic that is predicted by the first, second and third generation of crisis models. Second, the LR test showed that regime switching dynamic model is more robust than ordinary dynamic model in explaining the EMPI, suggesting that speculative attacks tend to have the characteristics of multiple equilibria. Third, the transition probability matrix results showed that the tranquility regime was more persistent than the volatile regime.

Item Type:	Article
Uncontrolled Keywords:	Exchange market pressu, reregime switching, currency crisis, money supply, credit
Subjects:	H Social Sciences H Social Sciences > HG Finance H Social Sciences > HG Finance > HG3810-4000 Foreign exchange. International finance. International monetary system
Divisions:	04. Fakultas Ekonomi dan Bisnis > Doktoral Ilmu Ekonomi
Creators:	Creators NIM Unggul Heriqbaldi, Dr. UNSPECIFIED Munawar Ismail, - UNSPECIFIED David Kaluge, - UNSPECIFIED Dwi Budi Santoso, - UNSPECIFIED
Depositing User:	Tn Sugeng Riyanto
Date Deposited:	22 Apr 2023 15:51
Last Modified:	22 Apr 2023 15:51
URI:	http://repository.unair.ac.id/id/eprint/124296
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