Analisis Integrasi Pasar Valuta Asing Dengain Metode Vector Autoregression

Abstract

Marlrct based exchange rates wtll change whenever each of the iwo currenql's component changes. A currency tends to appreciate tf the demand exceeds the available supply. The objective of this research is to analyze the integration of one variable to other vriables, which are Indonesian Rupiah (IDR), Stngapore Dollar (SGD), Honglrong Dollar (HKD), Japanese Yen (JPY), Malrysian Ringgit (MYR), and European Euro (EUR). This research used secondary data, whtch is the Bank Indonesia Currency Exchange Rate af IDR, SGD, HKD, JPY, MYR" and EUR from January 2001 to December 2009 (108 observations). The number of observotion is determined by structure lag stability in the research model, which is an econometric model based on Vector Auto Regression (VAR) method. Untt root test and Johansen Co integration test are performed to test Impulse Response Function and Vmian Decomposttiort The conclusions of VAR method in thts research are as follows: IDR" SGD, JPY, and MYR me strongly integrated with EUR and USD; HKD is strongly integrated with MYR; EUR is rnt integrated with arry variable @UR is exogetnus variable).