期刊名称：International Journal of Academic Research in Business and Social Sciences
电子版ISSN：2222-6990
出版年度：2019
卷号：9
期号：4
页码：174-191
DOI：10.6007/IJARBSS/v9-i4/5833
语种：English
出版社：Human Resource Management Academic Research Society
摘要：This research is carried out to analyze the causality and correlation of interest rate shock, net foreign asset and money supply towards rupiah exchange rate stability in Indonesia. Data used in this research is time series data, which consist of net foreign asset variable, interest rate variable, money supply variable and rupiah exchange rate towards US dollar within 2001 – 2015. Data analysis used is Vector Autoregressive approach. The research result shows that rupiah exchange rate process towards US dollar in Indonesia is based on Cholesky Ordering that is obtained from Granger Causality test result which is net foreign asset significantly effects money supply, then significantly effects the interest rate and finally significantly effects rupiah exchange rate. There is causality among interest rate, net foreign asset and money supply towards rupiah exchange rate stability in Indonesia. From VAR estimation, there is significant correlation on net foreign asset shock, money supply and interest rate simultaneously on rupiah exchange rate in Indonesia. In Impulse Reponse and variance decomposition analysis, the highest rupiah exchange rate response towards US dollar is from money supply, net foreign asset and interest rate respectively.
