"Factors Affecting Exchange Rate : A Monetary Approach" Empirical Evidences of Indonesia and Thailand From 1980.1 to 1999.3 (Error Correction Model)
SETYOKO, NUR RAKHMAN (Pembimbing: Drs. Dumairy, MA), Drs. Dumairy, MA
Penelitian ini akan fokus dalam penyelidikan faktor yang mempengaruhi nilai tukar dengan pendekatan moneter diterapkan untuk Indonesia dan perekonomian Thailand. Tujuan penelitian adalah untuk mengidentifikasi pengaruh variabel independen didasarkan pada hipotesis (rasio jumlah uang beredar, rasio GDP riil, selisih suku bunga, rasio harga, dan rasio saldo perdagangan) dengan nilai tukar. Penelitian ini membahas lebih lanjut faktor-faktor penentu nilai tukar dengan mengadopsi pendekatan moneter. Penelitian pertama dimulai dengan Frenkel (1976) bekerja berdasarkan asumsi bahwa PPP (Purchasing Power Parity) Paritas Suku Bunga dan Uncovered berlaku. Oleh karena itu, hipotesis yang dibangun didasarkan pada pendekatan moneter dengan nilai tukar. Hipotesis dari penelitian ini adalah:
1. Rasio domestik untuk pasokan uang asing berpengaruh signifikan dan positif terhadap nilai tukar.
2. Rasio negeri terhadap PDB riil asing berpengaruh signifikan dan negatif terhadap nilai tukar.
3. Perbedaan antara suku bunga domestik dan asing memiliki pengaruh yang signifikan dan positif terhadap nilai tukar. 4. Rasio dome.tic harga asing berpengaruh signifikan dan positif terhadap nilai tukar.
5. Rasio domestik untuk saldo perdagangan luar negeri berpengaruh positif atau negatif signifikan terhadap nilai tukar. Data yang diperoleh adalah data seri waktu triwulanan 1980,1-1999,3. Para Nilai Tukar adalah akhir periode yang ditetapkan nilai tukar (rupiah per unit US $ dan Bahts per unit US $).
This research will focus in the inquiry of factors affecting exchange rate using monetary approach applied to Indonesia and Thailand economy. The research objective is to identify the affect of independent variables based on the hypotheses (ratio of money supply, ratio of real GDP, difference of interest rate, ratio of prices, and ratio of trade balances) to the exchange rate. This study explores further the determinants of exchange rate by adopting the monetary approach. The first study begins with Frenkel (1976) works based on the assumption that PPP (Purchasing Power Parity) and Uncovered Interest Rate Parity holds. Therefore, the hypotheses constructed are based on the monetary approach to the exchange rate.
The hypotheses of this research are:
1. Ratio of domestic to foreign money supply has significant and positive effect to the exchange rate.
2. Ratio of domestic to foreign real GDP has significant and negative effect to the exchange rate.
3. Difference between domestic and foreign interest rate has significant and positive effect to the exchange rate.
4. Ratio of dome.tic to foreign prices has significant and positive effect to the exchange rate. Ratio of domestic to foreign trade balances has significant positive or negative effect to the exchange rate.
The data obtained are quarterly time series data from 1980.1 to 1999.3. The Exchange Rates are the end period-defined exchange rate (Rupiahs per unit US$ and Bahts per unit US$). Money Supply in this research will be Ml in the macroeconomic definition of money.
Kata Kunci : Nilai Tukar uang, Purchasing Power Parity, Foreign Exchange Market, Interest Rate Parity,
