文章基本信息

标题：Analisis Kausalitas Tingkat Inflasi dan Nilai Tukar: Pengujian Vector Autoregression
作者：I Komang Surya Nata Negara ; I Made Sukarsa
期刊名称：E-Jurnal Ekonomi Pembangunan Universitas Udayana
印刷版ISSN：2303-0178
出版年度：2015
卷号：4
期号：6
语种：English
出版社：E-Jurnal Ekonomi Pembangunan Universitas Udayana
摘要：Exchange rate movements influence wide on various aspects of the economy, including development of price (inflation). This study aims to determine how the causal relationship between the rate of inflation and exchange rates in Indonesia, also to determine model to predict the rate of inflation and exchange rates in Indonesia. The data that used in this research is secondary data start from month January 2001-October 2014. This research used Vector Autoregression (VAR) approach. The result of Granger causality test shown that no causal relationship between inflation rates and exchange rates. Therefore, based on the result of VAR test, in predicting the inflation rates in the period ahead with the model INFLATION = 2.93845INFLASI (-1). In predicting the future period exchange rate using model KURS = 2.38492 + 16.2205KURS (-1) -3.84268KURS (-2), where inflation influenced by inflation one period before (t-1) and exchange rates influenced by exchange rates one period before (t-1) and exchange rates two period before (t-2).
关键词：inflation rates, exchange rates, granger causality, Vector Autoregression (VAR)