Partial modeling of macroeconomic variables in industrial fields

This study modifies Catalbas's (2016) and Pratikto's (2012) research. The analysis used in this study is cross-correlation and analysis of the Vector Autoregression (VAR) method, Vector Autoregression in difference form (VARD) or Vector Error Correction Model (VECM) to test the relationshi...

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Bibliographic Details
Published in:IOP conference series. Materials Science and Engineering 2020-12, Vol.909 (1), p.12091
Main Authors: Valentika, N, Abdullah, S, Ilmadi, Chasanah, S I U, Nuha, A R, Huda, M, Nursyirwan, V I
Format: Article
Language:English
Subjects:
Correlation analysis
Cross correlation
Error correction
Exports
Foreign exchange rates
Imports
Interest rates
Model testing
Regression analysis
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Summary:This study modifies Catalbas's (2016) and Pratikto's (2012) research. The analysis used in this study is cross-correlation and analysis of the Vector Autoregression (VAR) method, Vector Autoregression in difference form (VARD) or Vector Error Correction Model (VECM) to test the relationship between variables with the ordinary least square (OLS) method and the causality test to test the relationship (causal relationship) between variables with the Granger Causality (GC) Test. Based on the correlation analysis, it is obtained that exports, imports, and interest rates have a negative and statistically significant relationship at the real level of 5% of the rupiah exchange rate. The model between exports and the rupiah exchange rate is the VAR (2) model. The model between imports and the rupiah exchange rate is a VECM with lag 3, there is 1 cointegration and the deterministic trend used is none intercept no trend. The model between the interest rate and the rupiah exchange rate is a VARD vector model with a lag 1. The model between inflation and the rupiah exchange rate is a VECM with lag 2 and the deterministic trend used is none intercept no trend and there is 1 significant cointegration at the 5% level.
ISSN:1757-8981
1757-899X
DOI:10.1088/1757-899X/909/1/012091