Jurnal Ekonomi, Vol 15, No 2 (2010)

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PENGARUH SUKU BUNGA BANK INDONESIA, INFLASI DAN INDEKS HARGA KONSUMEN TERHADAP KURS TUKAR DOLAR AMERIKA TERHADAP RUPIAH

Herman Ruslim

Abstract


In globalization world, foreign exchange rate is volatile and fundamental of economic strongly depend on its indicator such as interest rate, inflation, consumer price index, and foreign exchange rate of USD to Rupiah. Risen or fallen of the economy mostly happen to weakening of exchanged of USD to Rupiah. This research is trying to investigate whether the interest rate, inflation and consumer price index has significant effect to foreign exchange rate of USD to Rupiah. This research used the abovementioned indicators period January 2001- May 2006. The method analysis used in this research is time series analysis with tools of ARCH and GARCH, and Autoregressive Integrated Moving Average (ARIMA) and Vector Autoregressive (VAR) for forecasting. A result of the research indicated that interest rate, inflation, consumer price index, and foreign exchange rate of USD to Rupiah is co-integrated although it was found that the abovementioned variables each has unit root problem however in the long run the research variables was co-integrated. Time varying analysis results were obtained a conclusion that the interest rate, inflation, and consumer price index can explain the foreign exchange of US Dollar to Rupiah around 49.43%, and the remaining is influenced by other factors not in the model.


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