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Yuliana Susanti, Yuliana
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Journal : Jurnal Indonesia Sosial Teknologi

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Early Detection Of Currency Crisis In Indonesia Using A Combination Of Volatility And Markov Switching Models Based On Export Indicators Hasanah, Efi Yatun; Sugiyanto, Sugiyanto; Susanti, Yuliana
Jurnal Indonesia Sosial Teknologi Vol. 4 No. 3 (2023): Jurnal Indonesia Sosial Teknologi
Publisher : Publikasi Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.59141/jist.v4i3.607

Abstract

The currency crisis that occurred in Indonesia in 1997/1998 and 2008 had a significant impact on the Indonesian economy. An early detection system for crises is necessary to minimize the impact of such crises. One model that can detect currency crises is a combination of volatility and Markov switching models. There are several indicators that can be used to detect currency crises in a country, and one of them is exports. Research results indicate that the best combination of volatility and Markov switching models for the export indicator is MS-ARCH (2,2) with an assumption of two states. The crises of 1997/1998 and 2008 can be detected using the smoothed probability values with certain limits. Predictions for the period of July 2022-June 2023 based on the export indicator show no signs of a crisis in Indonesia.
Co-Authors Alfiah, Lufita Nur Andreas Rony Wijaya Aristiarto, Rio Arnandya, Evelyn Regita Astuti, Arinda Tri Brilianto, Maximilianus Noel Callisa, Safira Edward Bahar Elwi Handajani, Sri Sulistijowati Handayani, Sri Sulistijowati Hasanah, Efi Yatun Hilyatul Hilwy, Sarah Irwan Susanto Irwan Susanto Isnandar Slamet, Isnandar Kiki Ferawati Kusuma, Erin Jihan Wahyu Mahmudah, Arik Manalu, Anggiat Nareswari, Lintang Pramesti Nirwana, Muhammad Bayu Nugrahani , Isnaini Dyah Nurfauziyyah, Nuha Pratama, Alfito Putra Fajar pratiwi, hasih Putra, Sona Syah Putri Ayu Pramesti, Putri Ayu Qona’ah, Niswatul Raditya, Dionisius Indra Ratri, Aninda Puspa Respatiwulan, Respatiwulan Rina Febrinova, Rina Setiawan, Crisma Devika Sri Subanti Sucipto, Christy Sheldy Sugiyanto - Susilotomoa, Dhestahendra Citra Triyazulfa, Azkiya Winita Sulandari Zukhronah, Etik