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All Journal Journal of Economics Research and Policy Studies
Sri Indah Nikensari
Fakultas Ekonomi dan Bisnis, Universitas Negeri Jakarta
Economics, Econometrics & Finance

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Hubungan kausal antara nilai tukar, suku bunga, dan inflasi di negara anggota BRICS+ Siti Mawadah Fitria; Sri Indah Nikensari; Siti Fatimah Zahra
Journal of Economics Research and Policy Studies Vol. 6 No. 2 (2026): Journal of Economics Research and Policy Studies
Publisher : Nur Science Institute

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.53088/jerps.v6i2.3330

Abstract

This study analyses the bidirectional causal relationship between exchange rates, interest rates, and inflation rates in the 10 BRICS+ member countries from 2015 to 2025. This study uses secondary data and a quantitative approach employing the Panel Vector Autoregression (PVAR) method. The results indicate no unidirectional or bidirectional causal relationship between exchange rates and interest rates; the Granger causality test shows that exchange rates do not affect interest rates, nor do interest rates affect exchange rates. The Granger causality test indicates a one-way causal relationship between the exchange rate and inflation: only inflation affects the exchange rate, while the exchange rate does not affect inflation. Similarly, for the relationship between interest rates and inflation, the Granger causality results show a unidirectional relationship: interest rates influence inflation, and both the exchange rate and interest rates simultaneously influence inflation. These findings show that the PVAR-GMM model can still produce valid, informative estimates when applied to countries with diverse macroeconomic characteristics, such as the BRICS+ member states.
Co-Authors Siti Fatimah Zahra Siti Mawadah Fitria