Analisis Kurs Valas Dengan Pendekatan Box-Jenkins: Studi Empiris Rp/Us$ Dan Rp/Yen, 1983.2 – 2000.3

Hadi Kardoyo, Mudrajat Kuncoro


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, Hooper-Morton 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.

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Economic Journal of Emerging Markets (EJEM)
ISSN 2086-3128 (print), ISSN 2502-180X (online)
Published by:
Center for Economic Studies, Department of Economics,
Universitas Islam Indonesia, Indonesia.

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