Oleh: Hadi Kardoyo dan Mudrajad Kuncoro
Abstract This paper attempts to analyse Rp/US$ and Rp/Yen exchange rates over the period 1983.2-2000.3. Using the Box-Jenkins approach, we tested various models to explain the behavior of Rp/US$ and Rp/Yen. The results supported both interest rate parity and purchasing power parity hypotheses for Rp/US$ exchange rates. In the case of Rp/Yen, however, the results supported purchasing-power parity hypothesis rather than that of interest rate parity. Moreover, Frenkel-Bilson, Dornbusch-Frankel, HooperMorton model cannot be applied to analyse Rp/Yen fluctuation. This study, accordingly, calls an urgency to stop a Bank Indonesia’s policy to restrict foreign exchange transactions to reduce the fluctuation of rupiah, as stated in Peraturan Bank Indonesia (PBI) No. 3/3/PBI/2001, since 12 Januari 2001.
Key words: valas (exchange rates), Box-Jenkins, purchasing power parity, interest rate parity
Hadi Kardoyo is an alumnus of the Department of Economics & Development Studies, Faculty of Economics, Gadjah Mada University. He obtained his undergarduate degree in Economics in 2001. MUDRAJAD KUNCORO is a lecturer at the Faculty of Economics, Gadjah Mada University, and a researcher at Pusat Studi Ekonomi Pancasila, in the same university. He obtained his undergraduate degree in Economics from the Gadjah Mada University (with honours), Graduate Diploma in Local Government Finance (1992) and Master of Social Science in Development Finance from the University of Birmingham, UK (1993), and PhD in Business & Regional Development from the University of Melbourne, Australia (2001). He used to participating in an International Sorht Course on Fiqh for Economists in International Islamic University, Selangor, Malaysia (1994), be a visiting scholar at the Department of Economics, Research School of Pacific and Asian Studies,... [continues]
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