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Syamad
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Analysis of Symmetric and Asymmetric Effects of Exchange Rate Pass-Through in Inflation-Targeting Countries Syamad; Handoyo, Rossanto Dwi
Jurnal Ilmu Ekonomi Terapan Vol. 8 No. 2 (2023)
Publisher : Department of Economics, Faculty of Economics and Business, Universitas Airlangga

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20473/jiet.v8i2.45150

Abstract

The main purpose of this study is to analyze the effects of symmetry and asymmetry of the exchange rate pass-through in Middle-Income and High-Income countries that implement inflation-targeting policies. This study uses a sample of Middle-Income Countries (South Africa, Brazil, India, Indonesia, and Mexico) and High-Income Countries (Australia, Japan, Canada, Norway, and Sweden) in the form of time-series 2000:Q1- 2021:Q4 with the method of Autoregressive Distribution Lag (ARDL) and Nonlinear Autoregressive Distributed Lag (NARDL). The results showed that five countries have a significant positive effect on the real exchange rate on inflation in the short-run in the ARDL method. In addition, in the NARDL method, five countries significantly positively affect the depreciation of the real exchange rate on inflation in the short-run. Then, only one country has a significant negative effect between the appreciation of the real exchange rate on inflation in the short-run and eight countries in the long-run. Based on the estimation results, it can be concluded that the average quantity of real exchange rate effect on inflation (exchange rate pass-through) in Middle-Income Countries is greater than in High-Income Countries. Therefore, inflation-targeting policies are more flexible to be applied in high-income countries. In addition to the exchange rate, other variables such as oil prices, money supply, and real GDP also greatly affect inflation and have different effects in each country.
The Effects of Money Supply on Exchange Rate: Evidence of Dornbusch Overshooting Model in Indonesia (2000-2021) Syamad; Rossanto Dwi Handoyo
Jurnal Ilmu Ekonomi Terapan Vol. 8 No. 1 (2023)
Publisher : Department of Economics, Faculty of Economics and Business, Universitas Airlangga

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20473/jiet.v8i1.45177

Abstract

This study aims to analyze the effects of money supply on exchange rate in Indonesia and to investigate whether there is an application of the Dornbusch Overshooting Model. The Autoregressive Distributed-Lag (ARDL) method is used to analyze short-term and long-term effects and uses time-series data from 2000:Q1 to 2021:Q4. The results of this study show that the long-term coefficient of the money supply has a smaller effect on the depreciating exchange rate than the short-term coefficient. Based on the estimation results, it can be concluded that there is an application of the Dornbusch Overshooting Model in Indonesia. A further implication of this research is that the factors that influence exchange rate fluctuations are of great concern in an effort to maintain exchange rate stability. For example, growth in the money supply because a 1 percent change in the money supply results in a change of more than 1 percent in the exchange rate. In addition to the money supply, other variables such as inflation and interest rates also have a large influence on changes in exchange rates and have different magnitudes of influence in the short and long-run.
Co-Authors Rossanto Dwi Handoyo