Journal of Indonesian Economy and Business
Vol 18, No 4 (2003): October

ADAKAH PENGARUH PERNYATAAN PRESIDEN GUS DUR TERHADAP PERILAKU KURS RP/US$, 1 JANUARI 1999 – 30 APRIL 2002?: STUDI EMPIRIS DENGAN METODE BOX JENKINS (ARIMA)

Kuncoro, Mudrajad ( Universitas Gajah Mada )
Inayah, Hikmah ( Universitas Gajah Mada )



Article Info

Publish Date
07 Jul 2015

Abstract

This study attempts to analysis Rupiah/US$ exchange rate using ARIMA (Autoregressive Integrated Moving Average) method. It explores to what extent impacts of political variable, in term of the (former) President Abdurrachman Wachid’s (Gusdur) statement, on the exchange rate fluctuation. Two main sources of data were used: first, daily exchange rates of Rp/US$ over the period of Januari 1st, 1999 to April 30th , 2002; second, media reports on Gus Dur’s statement which comed up every Friday. The empirical results found that yesterday’s exchange rates and trend influenced the current exchange rates significantly, as shown by AR (1) and trend variable. More importantly, depreciation of Rupiah was caused by political (news) variable, especially Gus Dur’s statement. The last indicates the evidence of Friday effect in the case of Rp/US$ during Gus Dur regime.Keywords: ARIMA Method; Autoregressive; Moving Average; News (Gus Dur’s statement); Trend

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Journal Info

Abbrev

Publisher

Subject

Economics, Econometrics & Finance

Description

Journal of Indonesian Economy and Business (JIEB) is open access, peer-reviewed journal whose objectives is to publish original research papers related to the Indonesian economy and business issues. This journal is also dedicated to disseminating the published articles freely for international ...