TY - JOUR
T1 - Pergerakan Nilai Tukar dan Pembentukan Ekspektasi Agen
AU - Syafroni, Ayatullah
AU - Muchtar, Maman Karyaman
PY - 2003
Y1 - 2003
N2 - It is interesting to pay attention on exchage rate phenomenon. The movement of exchange rate has fret up space for the expanded model and their new variety based on theoretical and methodological issues.We apply the zone target model to explain the exchange rate movement in Indonesia during 1989-2002 in monthly basis data. We put special attention to the expectation process of the agent by confronting adaptive and rational expectation and also internalize the risk factor into the model.We found that rational expectation fit and much more be able to explain the exchange rate movement, risk averse agent and massive outflow of capital during the crisis in Indonesia. We test the robustness of our model by applying to VAR model, and the same result is conformed. This VAR specification also support the contagion effect hypothesis during the cirisis 1998.
AB - It is interesting to pay attention on exchage rate phenomenon. The movement of exchange rate has fret up space for the expanded model and their new variety based on theoretical and methodological issues.We apply the zone target model to explain the exchange rate movement in Indonesia during 1989-2002 in monthly basis data. We put special attention to the expectation process of the agent by confronting adaptive and rational expectation and also internalize the risk factor into the model.We found that rational expectation fit and much more be able to explain the exchange rate movement, risk averse agent and massive outflow of capital during the crisis in Indonesia. We test the robustness of our model by applying to VAR model, and the same result is conformed. This VAR specification also support the contagion effect hypothesis during the cirisis 1998.
UR - https://jepi.fe.ui.ac.id/index.php/JEPI/article/view/30
U2 - 10.21002/jepi.v3i2.30
DO - 10.21002/jepi.v3i2.30
M3 - Article
VL - 3
SP - 95
EP - 124
JO - Jurnal Ekonomi dan Pembangunan Indonesia
JF - Jurnal Ekonomi dan Pembangunan Indonesia
SN - 1411-5212
IS - 2
ER -