Pemodelan Deteksi Dini Krisis Mata Uang Berdasarkan Indiktor Nilai Tukar Nominal

Adebun Adebun, Sugiyanto Sugiyanto, Isnandar Slamet

Abstract


The financial crisis by definition is a situation where several financial assets lose most of their nominal value. The financial crisis experienced by Indonesia in 1997 had a severe impact on the Indonesian economy, so a model was needed to detect this crisis. The financial crisis can be detected using the nominal exchange rate indicator. This study aims to determine the appropriate combination of volatility models and the Markov switching model as a model for detecting financial crises in Indonesia based on nominal exchange rate indicators. The nominal exchange rate indicator taken from 1990 to 2018 is used to build a model for early detection of the financial crisis in Indonesia. The results showed that the combined exponential generalized autoregressive conditional heteroscedasticity and Markov regime switching, MRS-EGARCH (3,1,1) volatility models were both used to detect financial crises in Indonesia based on nominal exchange rate indicators

Keywords


Crises; Nominal Exchange Rate; MS-EGARCH

Full Text:

PDF

References


Engle RF, Econometrics 50 987 (1982).

Bollerslev T, Journal of Econometrics 31 307 (1986).

Chen MY, “Markov Switching Models,” (Department of Finance National Chung Hsing University, 2008)

Nelson DB, Econometrica 59 347 (1991).

Hamilton JD, Econometrics 57 357 (1989).

Hamilton JD dan Susmel R, J. of Econometrics 64 307 (1994).

Chang K, Cho KY dan Hong M, Journal. of Econonomic Research 5 249 (2010).

Sugiyanto, Etik Z dan Meganisa S, Journal of Phys.: Conf. Series 1025 012115(2018).

Sugiyanto, Etik Z dan Shania P S, Journal of Phys.: Conf. Series 1025 012118 (2018).

Tsay, R.S, “Analysis of Financial Time Series,” (John Wiley dan Sons, Canada, 2005).

Gray, S.F., “Modeling the Conditional Distribution of Interest Rates as A Regime-Switching Process,” Journal of Finance Economics 42, 27-62 (1996).

Kim, C.J. dan Nelson, C.R. “State-Space Models with Regime Switching: Classical dan Gibbs-Sampling Approaches with Application,” (The MIT Press, London, 1999).

Sopipan, N., Sattayatham P., dan Premanode B., “Forecasting Volatility of Gold Price Using Markov Regime Switching dan Trading Strategy,” Journal of Mathematical Finance, 2, 121-131 (2012).




DOI: https://doi.org/10.31334/bijak.v16i2.512

Refbacks

  • There are currently no refbacks.


Copyright (c) 2019 Majalah Ilmiah Bijak

Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.

View My Stats

 

MAJALAH ILMIAH BIJAK

ISSN 1411-0830 (Media Cetak) 2621-749X (Media Online)
Email :  [email protected] / [email protected]
Website: http://ojs.stiami.ac.id/index.php/bijak/index

 

INDEKS BY: