Proceedings of the 8th International Conference on Entrepreneurship and Business Management (ICEBM 2019) UNTAR

The Determinants of Exchange-Rate Volatility

Authors
Ishak Ramli
Corresponding Author
Ishak Ramli
Available Online 29 June 2020.
DOI
10.2991/aebmr.k.200626.070How to use a DOI?
Keywords
exchange-rate volatility, monetary, Stock Market Index, Inflation
Abstract

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.

Copyright
© 2020, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 8th International Conference on Entrepreneurship and Business Management (ICEBM 2019) UNTAR
Series
Advances in Economics, Business and Management Research
Publication Date
29 June 2020
ISBN
10.2991/aebmr.k.200626.070
ISSN
2352-5428
DOI
10.2991/aebmr.k.200626.070How to use a DOI?
Copyright
© 2020, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Ishak Ramli
PY  - 2020
DA  - 2020/06/29
TI  - The Determinants of Exchange-Rate Volatility
BT  - Proceedings of the 8th International Conference on Entrepreneurship and Business Management (ICEBM 2019) UNTAR
PB  - Atlantis Press
SP  - 412
EP  - 419
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.200626.070
DO  - 10.2991/aebmr.k.200626.070
ID  - Ramli2020
ER  -