Jurnal Indonesia Sosial Teknologi
Vol. 4 No. 3 (2023): Jurnal Indonesia Sosial Teknologi

Early Detection Of Currency Crisis In Indonesia Using A Combination Of Volatility And Markov Switching Models Based On Export Indicators

Hasanah, Efi Yatun (Unknown)
Sugiyanto, Sugiyanto (Unknown)
Susanti, Yuliana (Unknown)

Article Info

Publish Date
29 Mar 2023

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.

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Journal Info
Jurnal Indonesia Sosial Teknologi
Website

Abbrev

jist

Publisher

CV. Publikasi Indonesia

Subject

Computer Science & IT Economics, Econometrics & Finance Environmental Science Law, Crime, Criminology & Criminal Justice Social Sciences

Description

Jurnal Indonesia Sosial Teknologi is a peer-reviewed academic journal and open access to social (Education, Economic, Law, Comunication, Management and Humaniora) and Technology . The journal is published monthly once by CV. Publikasi Indonesia. Jurnal Indonesia Sosial Teknologi provides a means for ...