THE UNITED STATES’ MONETARY POLICY SPILLOVER EFFECT AGAINST RUPIAH -US DOLLAR EXCHANGE DURING USA – CHINA TRADE WAR
Abstract
The United States (US) and China trade war has resulted in global economic crisis. This causes spillover effects to other countries due to the policies imposed by the two big countries. The objective of the research is to analyze the impact of Fed Fund Rate, as the monetary policy of the US, as well as other variables on the Rupiah -US Dollar Exchange Rate. The method used in this analysis is the Error Correction Model with time series data. The result indicates that in the long run the depreciation of Rupiah -US Dollar exchange rate is influenced by the increase of Fed Fund Rate, while there is no impact of Fed Fund Rate on Rupiah -US Dollar Exchange Rate in the short run. The results suggests that the US monetary policy during the trade war in form of the increase of Fed Fund Rate in long term has resulted spillover effect in Indonesia i.e., the depreciation of the Rupiah – US Dollar exchange rate.
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References
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Charef, F. dan Ayachi, F. 2018. Non-linear causality between exchange rates, inflation, interest rate differential and terms of trade in Tunisia. African Journal of Economic and Management Studies
Caceres, C., Carriere, Y., Demir, I., Gruss, B. 2016. U.S. Monetary Policy Normalization and Global Interest Rates.IMF Working Paper
Daulay, N.A., Mayes, A., Maulida, Y. 2013. Analisis Jalur Transmisi Bi Rate Terhadap Nilai Tukar Rupiah Di Indonesia. Jurnal Ekonomi Volume 21, Nomor 1
Dewanto, A. 2014. Pengaruh Inflasi, Harga Minyak Dunia Dandow Jones industrial average terhadap Indeks Harga Saham Sektor manufaktur Pada Perusahaan Yang Terdaftar Di Bursa efek Indonesia Periode 2007-2010. Skripsi
Febriana, A dan Muqorobbin, M.2014. Investasi Asing Langsung Di Indonesia Dan Faktor Faktor Yang Mempengaruhinya. Jurnal Ekonomi dan Studi Pembangunan Volume 15, Nomor 2
Galati, G., Heath, A., dan McGuire., P. 2007. Evidence of carry trade activity. BIS Quarterly Review
Handrayani, Putri dan Puspitasari.2019.Efek Spilloverpada Perubahan Kebijakan Moneter Amerika Terhadap Stock Marketdi Asean. Jurnal Economia. 15(2):232-242
Hari, A. dan Brorsen, B.W. 2002. The Overlapping Data Problem. Paper of Department of Agricultural Economics Oklahoma State University
Haryanto.2020. Dampak Covid-19 terhadap Pergerakan Nilai Tukar Rupiah dan Indeks Harga Saham Gabungan (IHSG).The Indonesian Journal of Development PlanningVolume IV No. 2
IHSG-IDX.COM.2020 .Diakses pada Maret 2020. IHSG tahu 2018-2020
International Monetary Fund (IMF). https://www.imf.org/external/index.htm. Diakses pada Juni 2019
Investing.com.2018. https://id.investing.com/analysis/pengertian-indeks-dow-jones-industrial-average-djia-200199971
Investing.com.2020. https://id.investing.com/indices/shanghai-composite
Investing.com.2020. https://id.investing.com/indices/us-30
Kemu, S. Z. dan Ika, S. 2016. Transmisi BI 7 Days RR sebagai Instrumen untuk Mencapai Sasaran Kebijakan Moneter.Kajian Ekonomi Keuangan Vol. 20 No. 3:262-283
Kim, S. dan Nguyena, D. 2008. The reaction of the Australian financial markets to the interest rate news from the Reserve Bank of Australia and the U.S. Fed. Research in International Business and Finance.22:378–395
Lee-lee, C. dan Hui-Boon, T. 2007. Macroeconomic Factors Of Exchange Rate Volatility Evidence From Four Neighbouring Asean Economies. Studies in Economics and Finance.Vol. 24 No. 4:266-285
Purwanti, D. 2018. Analisis Faktor-Faktor Yang Mempengaruhi Nilai Tukar Rupiah Terhadap Dolar Amerika Aplikasi Teori Purchasing Power Parity(Ppp).Naskah Publikasi
Priola, M.P., Lorenzini, P., Tizzanini,G., Zicchino.2020. Measuring central banks’ sentiment and its spillover effects with a network approach.Journal Of Economic Literature(JEL)
Suriani, S., Kumar.M.D., Jamil, F., Muneer, S.2015. Impact of exchange rate on stock market. International Journal of Economics and Financial Issues (ISSN): 2146-4138
Tsagkanos, A. dan Siriopoulos, C. 2013. A long-run relationship between stock price index and exchange rate: A structural nonparametric cointegrating regression approach. Int. Fin. Markets, Inst: 106–118
Liu, K. 2020. The effects of the China–US trade war during 2018–2019 on the Chinese economy: an initial assessment. Economic and Political Studies
Published
2022-02-02
How to Cite
SETYADHARMA, Andryan; RAHMAWATI, Anisa.
THE UNITED STATES’ MONETARY POLICY SPILLOVER EFFECT AGAINST RUPIAH -US DOLLAR EXCHANGE DURING USA – CHINA TRADE WAR.
Jurnal Ekonomi Kuantitatif Terapan, [S.l.], p. 43-58, feb. 2022.
ISSN 2303-0186.
Available at: <https://ojs.unud.ac.id/index.php/jekt/article/view/72208>. Date accessed: 21 nov. 2024.
doi: https://doi.org/10.24843/JEKT.2022.v15.i01.p04.
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Articles
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