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Jurnal Ekonomi Malaysia

52 (1) 2018 57 – 66

Dynamic Interdependence of the Indonesian Rupiah with the ASEAN and the World Largest Forex Markets
Kebergantungan Dinamik Matawang Rupiah dengan ASEAN dan Pasar Wang Terbesar Dunia

Faculty of Economics and Business
Syiah Kuala University
Banda Aceh
INDONESIA

mshabri@unsyiah.ac.id

Faculty of Mathematics and Natural Sciences
Syiah Kuala University
Banda Aceh
INDONESIA

hizir@unsyiah.ac.id

Faculty of Mathematics and Natural Sciences
Syiah Kuala University
Banda Aceh
INDONESIA

mohrizkyrahmanda@unsyiah.ac.id

Abstract

This study empirically investigates the dynamic interdependencies of the Indonesian Rupiah (IDR) with the ASEAN, European, and Japanese forex markets. Using daily nominal exchange rates of Indonesia, Thailand, Malaysia, Singapore, the Philippines, Europe, and Japan spanning from January 1, 2008 to December 31, 2015, the study employs the impulse response functions and variance decomposition analysis based on the vector autoregression method. The study documented that the IDR more responded to innovations in the forex market of Singapore as compared to other ASEAN forex markets. Additionally, the ASEAN forex markets were more interdependence with the forex markets of Japan rather than Europe. Since the forex markets become more interdependent both regionally and internationally, thus it needs for policy coordination among the countries to mitigate the impact of forex fluctuations if these countries are to grasp the benefits of greater forex markets’ interdependence.

Keywords

ASEAN; Dynamic interdependence; forex markets; forex stability; vector autoregression
http://dx.doi.org/10.17576/JEM-2018-5201-5
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Abd. Majid, , Sofyan, , & Rahmanda, (2018). Dynamic Interdependence of the Indonesian Rupiah with the ASEAN and the World Largest Forex Markets. Jurnal Ekonomi Malaysia, 52(1), 57–66. http://dx.doi.org/10.17576/JEM-2018-5201-5

@article{abdmajid2018dynamic,
  title={Dynamic Interdependence of the Indonesian Rupiah with the ASEAN and the World Largest Forex Markets},
  author={Abd. Majid, M. Shabri and Sofyan, Hizir and Rahmanda, Moh. Rizky},
  journal={Jurnal Ekonomi Malaysia},
  volume={52},
  number={1},
  pages={57—66},
 

year={2018},
}

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