The Determinants of Exchange-Rate Volatility
Available Online 29 June 2020.
- https://doi.org/10.2991/aebmr.k.200626.070How to use a DOI?
- exchange-rate volatility, monetary, Stock Market Index, Inflation
- The IDR/USD volatility during January-March 2018 was the lowest compared to the currencies of high-risk countries (fragile five) and in the ASEAN region. Rupiah volatility is around 8%, while Brazilian real volatility is 15%, Mexican pesos is 13%, Turkish lira is 8.8%, Russian ruble is 14%, South Korean won is 9%, Malaysian ringgit is 9.3%, Philippine peso is 8.2%, and Thai baht is 9%. While being compared to the period 2000-2015, the volatility was the highest within the ASEAN (the average is 10%). What happened to the IDR/USD volatility? Using secondary data from Central Bank and IDR/USD exchange rate from 2004 – 2015, we analyzed 143 data with GARCH 1.1, we found that Trade Openness, Reserve Assets, and Stock Market Index negatively and significantly determined The Exchange-rate volatility. Productivity positively and significantly determined The Exchange-Rate Volatility. While Bank Intervention positively but not significantly determined The Exchange-Rate Volatility, and Inflation negative but not significantly determined The Exchange-Rate Volatility. In order to reduce the exchange-rate volatility, the authority will reduce productivity and increase Trade Openness, Reserve Assets, and Stock Market Index.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Ishak Ramli PY - 2020 DA - 2020/06/29 TI - The Determinants of Exchange-Rate Volatility BT - 8th International Conference of Entrepreneurship and Business Management Untar (ICEBM 2019) PB - Atlantis Press SP - 412 EP - 419 SN - 2352-5428 UR - https://doi.org/10.2991/aebmr.k.200626.070 DO - https://doi.org/10.2991/aebmr.k.200626.070 ID - Ramli2020 ER -