Cointegration and Causality Test Among Export, Import, and Foreign Exchange

Subiyakto, Haryono and Algifari, Algifari (2016) Cointegration and Causality Test Among Export, Import, and Foreign Exchange. JEJAK : Journal of Economics and Policy, 9 (1). pp. 82-96. ISSN 1979-715X

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The rupiah exchange rate, import, and export are the important indicators in economy, including the Indonesia economy. The debate regarding the relationship among the exchange rate, import, and export has been persisting for several decades. Some researchers found that there is a relationship among those three and others explained that there is no correlation among them. The aim of this research is to obtain the empirical evidence of the causal relationship among the export, import, and foreign exchange rate by using the monthly data from January 2010 to April 2014. The export and import data are the export and import values in US dollar. The exchange rate data is the median exchange rates of the Indonesian Bank. The Johansen Cointegration Test and the Granger Causality Test are used to analyze the data. The research result shows that export and import have no causal relationship at five percent. Next, the foreign exchange rate influences the export and import at 10 percent level. The result indicates that the foreign exchange rate has small effects on the export and import. Based on the results, the government should control the balance of trade and should not make any policy that is based on the exchange rate values. Finally, it can be said that the exchange rate policy is not effective in increasing the exports and reducing the imports.

Item Type: Article
Uncontrolled Keywords: Exports, Imports, Foreign Exchange Rate, Johansen Cointegration Tests, Granger Causality Tests.
Subjects: AKUNTANSI > Akuntansi Sektor Publik
Divisions: Dosen STIE YKPN > Artikel
Depositing User: Unnamed user with email
Date Deposited: 04 Apr 2023 05:22
Last Modified: 04 Apr 2023 05:22

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