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All Journal Al-Kharaj: Jurnal Ekonomi, Keuangan & Bisnis Syariah
Rengga Madya
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Agriculture, Biological Sciences & Forestry Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Industrial & Manufacturing Engineering Social Sciences

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Overshoot Nilai Tukar Rupiah Terhadap Us Dollar pada Masa Pandemi Covid-19 Aji Kristianto, Bima Setyo; Ujang Suherman; Rengga Madya
Al-Kharaj: Jurnal Ekonomi, Keuangan & Bisnis Syariah Vol. 6 No. 7 (2024): Al-Kharaj: Jurnal Ekonomi, Keuangan & Bisnis Syariah
Publisher : Intitut Agama Islam Nasional Laa Roiba Bogor

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47467/alkharaj.v6i7.2617

Abstract

This study aims to analyze overshooting exchange rates Rupiah towards US Dollar during the COVID-19 pandemic period. The data used is monthly data from January 2019 to December 2022. Several variabels employed are exchange rate ,interest rate, inflation, Gross Domestic Product and money supply The analysis methods used include unit root test, lag test, stability test, cointegration test, Granger causality test, Vector Error Correction Model (VECM) estimation, Impulse Response Function (IRF), and Variance Decomposition. The results of the research showed that interest rate and JUB affects significant RP/USD in the long term, whereas in the short term JUB had significant, affects on the exchange value of RP/USD. The VECM estimation results show a significant cointegration relationship, and the response of the variables to the shock reveals the presence of overshooting symptoms. The contribution of these variables to the variability of the Rupiah/USD exchange rate is also identified through the Variance Decomposition test. In conclusion, overshooting in Indonesia during pandemic Covid-19 is occur, by characterizing JUB shock in short term.
Co-Authors Aji Kristianto, Bima Setyo Ujang Suherman