PENGARUH JUMLAH UANG BEREDAR DAN TINGKAT SUKU BUNGA TERHADAP KURS RUPIAH MENGGUNAKAN VECTOR ERROR CORRECTION MODEL

Abstract

This study aims to determine the influence on the estimated short-term and long-term relationships of the VECM (Vector Error Corrction Model), the casuality relationship of the three variables, and the length of response effect time when achieving stability. The data used is monthly data for the period 2007 - 2017. The estimated result obtained by the model is VECM at lag 2 with the results of the short-term estimate KURS_t = - 0.257 KURS_t-1 - 0.289 KURS_t-2 - 0.029 TSB_t-1, JUB_t = 0.015 - 0.369 KURS_t-2 - 0.208 JUB_t-1- 0.202 JUB_t-2, TSB_t = 0.275 TSB_t-1 + 0.353 TSB_t-2 where t time period and long-term estimated results that the amount of money in circulation and the interest rate negatively affect the rupiah exchange rate. In granger casuality test, there is only a direct relationship between the rupiah exchange rate and the amount of money in circulation and the interest rate with the rupiah exchange rate. Based on the analysis of impulse response function, when given the shock of interest rate and rupiah exchange rate itself, the effect of rupiah exchange rate response is stable in the 22^nd period and the 15^th period, when given the shock of rupiah exchange rate and the amount of money in circulation itself, the effect of the response of the amount of money in circulation is stable in the 10^th period and when given the shock of the interest rate itself, the effect of the response of the interest rate is stable in the 18^th period.

Keywords: impulse response function. interest rate, money supply, rupiah exchange rate, VECM model