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All Journal BAREKENG: Jurnal Ilmu Matematika dan Terapan Limits: Journal of Mathematics and Its Applications
Farizi, Muhammad Fikry Al
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Computer Science & IT Control & Systems Engineering Economics, Econometrics & Finance Energy Engineering Mathematics Mechanical Engineering Physics Transportation

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FOREIGN EXCHANGE RATE PREDICTION OF INDONESIA'S LARGEST TRADING PARTNER BASED ON VECTOR ERROR CORRECTION MODEL Mardianto, M. Fariz Fadillah; Farizi, Muhammad Fikry Al; Permana, Made Riyo Ary; Zah, Alfian Iqbal; Pusporani, Elly
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 18 No 3 (2024): BAREKENG: Journal of Mathematics and Its Application
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol18iss3pp1705-1718

Abstract

Foreign exchange rates from the currencies of trading partners are a critical element in the development of Indonesia's economic landscape. As an active country in international trade, Indonesia's economic health is highly dependent on trade partnerships, movements, and interactions of foreign exchange rates from Indonesia's main trading partners. To achieve economic stability, Bank Indonesia intervenes in the foreign exchange market to keep the Rupiah exchange rate within a reasonable range. Indonesia is committed to achieving several points in the Sustainable Development Goals (SDGs), such as point 17, which emphasizes partnerships, and point 8, which underlines inclusive and sustainable economic growth. This commitment is an important factor in Indonesia's economic development. Therefore, it is necessary to predict the exchange rate value of Indonesia's largest trading partners considering these SDG aspects. In this study, the Vector Error Correction Model (VECM) was used to predict the foreign exchange rate of Indonesia's largest trading partners. The data used in this study is secondary data obtained from the investing.com webpage, comprising weekly data from January 2021 to November 2023. The foreign exchange rates of Indonesia's largest trading partners have a cointegration relationship, indicating long-term relationships and similarities in movements. The best model identified is VECM (1), with a very accurate MAPE value of 3.29%. The Impulse Response Function (IRF) analysis shows that the Chinese Yuan responds variably to different currencies, stabilizing over time. Variance Decomposition reveals that short-term fluctuations in the Chinese Yuan are primarily influenced by itself (87.89%) and significantly by the Singapore Dollar, South Korean Won, and Taiwan Dollar. The Granger Causality Test indicates that the Philippine Peso influences 11 other exchange rates, refining the VECM model and improving prediction accuracy. Indonesia is expected to build economic collaborations that can help achieve economic stability.
Pemodelan Angka Harapan Hidup Negara G7 dengan Pendekatan Analisis Regresi Data Longitudinal Farizi, Muhammad Fikry Al; Maula, Sugha Faiz Al; Fajrina, Sofia Andika Nur; Hilma, Dzuria Hilma Qurotu Ain; Suryono, Alda Fuadiyah; Chamidah, Nur
Limits: Journal of Mathematics and Its Applications Vol. 22 No. 1 (2025): Limits: Journal of Mathematics and Its Applications Volume 22 Nomor 1 Edisi Ma
Publisher : Pusat Publikasi Ilmiah LPPM Institut Teknologi Sepuluh Nopember

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.12962/limits.v22i1.3368

Abstract

Life expectancy is the average number of years of life a newborn baby will live in a given year. In general, life expectancy is a tool to evaluate government performance in improving community welfare. The aim of this research is prediction using longitudinal data regression analysis methods, namely Generalized Least Square with a Restricted Maximum Likelihood approach using a uniform correlation structure, Autoregressive (AR) (1), and Gaussian with factors that influence life expectancy, namely Tax to GDP ratio, Gross Domestic Product per Capita (GDPPC) and Health Expenditure per Capita from 2000-2020 in G7 countries. Based on the analysis results, it was found that tax revenues had a negative effect of 0.155 but the effect was not significant, GDP had a positive effect of 0.715 but had a significant effect, while health expenditure had a negative effect of 0.49 on Life Expectancy. The research results found that conditions in the G7 that were not ideal caused negative effects on taxes and health spending that were not in accordance with theory. The suggestions that can be given include tax reform from the source and its implementation, such as cigarette tax and sugary drink tax. In addition, it also provides suggestions to include universal health for a healthier and more prosperous society. This research is also in accordance with the aim of Sustainable Development Goals (SDGs) number 3, namely "Ensuring healthy lives and improving the welfare of all populations of all ages" and can be used as a policy reference for Indonesia.
Co-Authors Elly Pusporani Fajrina, Sofia Andika Nur Hilma, Dzuria Hilma Qurotu Ain M. Fariz Fadillah Mardianto Maula, Sugha Faiz Al Nur Chamidah Permana, Made Riyo Ary Suryono, Alda Fuadiyah Zah, Alfian Iqbal