The Relationship of Chinese Yuan Renminbi, US Dollar, Australian Dollar, and Euro Exchange-Rate Against Rupiah Using Vector-Autoregression Method

DOI

10.2991/aebmr.k.220501.041How to use a DOI?

Keywords

Exchange-Rate; VAR

Abstract

This study analyses the relationship between Chinese Yuan Renminbi, US Dollar, Australian Dollar, and Euro exchange-rate to Rupiah using the Vector-Autoregression (VAR) method from January 2017 to December 2019. The results of this study show that each variable has a good correlation in long and short-term. This is supported by the results of Granger Causality test which states that several variables are influentially interrelated at certain period. In addition, the results on IRF and FEVD find that each variable has an impact on the shock in the currency of one country.

Copyright

© 2022 The Authors. Published by Atlantis Press International B.V.

Open Access

This is an open access article distributed under the CC BY-NC 4.0 license.

Download article (PDF)

TY  - CONF
AU  - Tongam Sinambela
AU  - Melda Melda
AU  - Paiaman Pardede
PY  - 2022
DA  - 2022/05/11
TI  - The Relationship of Chinese Yuan Renminbi, US Dollar, Australian Dollar, and Euro Exchange-Rate Against Rupiah Using Vector-Autoregression Method
BT  - Proceedings of the tenth International Conference on Entrepreneurship and Business Management 2021 (ICEBM 2021)
PB  - Atlantis Press
SP  - 269
EP  - 277
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220501.041
DO  - 10.2991/aebmr.k.220501.041
ID  - Sinambela2022
ER  -