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
https://doi.org/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.
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Proceedings
8th International Conference of Entrepreneurship and Business Management Untar (ICEBM 2019)
Part of series
Advances in Economics, Business and Management Research
Publication Date
29 June 2020
ISBN
978-94-6252-980-9
ISSN
2352-5428
DOI
https://doi.org/10.2991/aebmr.k.200626.070How to use a DOI?
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  -