Prediksi Nilai Tukar Rupiah terhadap US Dollar Menggunakan Transfer Function Model  

Oleh:

Hulu, Dalizanolo

Jenis: Article from Journal - ilmiah nasional - tidak terakreditasi DIKTI
Dalam koleksi: Widya: Majalah Ilmiah vol. 20 no. 213 (Jun. 2003), page 52.
Topik: nilai tukar mata uang; transfer function model

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: MM47.20 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Several movement prediction models of exchange rate between IDR (Indonesia Rupiah) against US Dollar USD have been developed, but empirically, only a few models could be applicable. General constrains are : 1) useable data is required monthly, meanwhile variable data of macro-economy is not available. The general data usually prepared annually is only presented three-monthly, 2) the observable data is initiated at floating exchange rate in July 1997. Prediction model applicable to observe movement patterns of exchange rate are : 1) long term relative PPP model, 2) efficiency model of foreign exchange, and 3) ARIMA model of foreign exchange. In general, the forecasting model is divide into two technical types namely. 1) time series model for predicting future based on value or past error time. This model purpose to identify the historical pattern of actual data and using pattern to perdict the future, 2) the causative model using other variable or more variables that has an effect-cause relationship. This article attempted to combine these two methods using the transfer function model (TEM), which increase significance of econometrics validity.

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