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Analisis hubungan harga minyak mentah, nilai tukar mata uang, indeks saham dan tingkat suku bunga dengan vector error correction model
This research tries to describe the relationship among oil price, exchange rate, stock market, and interest rate in 1997-2004 period, using Vector Error Correction Model (VECM), Vector Autoregression, and Variance Decomposition. The period then split into 3 phases according to the keystones of Indonesian economy. First, Monetary Crisis Period (1997-1998); Second, Recovery Period (1999-2001, and; Third, Present Economic Condition Period (2002-2004). The results shows that there exist a cointegration?long run relationship?almost in every period among all variables, except for Monetary Crisis Period (1997-1998). Meanwhile, Variance Decomposition analysis proves that oil price influence stock market only in present period (2002-2004), while in other periods, oil price has no influence to the rest variables. The concerning results indicate that oil price doesn?t have strong influence to Indonesian economy, with the exception of Present Period. The phenomena is made possible by the fact that oil price has strong fluctuation in pertaining period and becoming one of big issues in world economy. Other important substance is the fact that stock market has strong influence to exchange rate and interest rate in recovery period (1999-2001). It implies that boosting investment was the solution to recover Indonesian economy from monetary crisis.Ada tabel
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| 5197 | PSB lt.2 - Karya Akhir | 1 |
| Penerbit | Depok: Departemen Manajemen Fakultas Ekonomi Universitas Indonesia 2005 |
|---|---|
| Edisi | - |
| Subjek | Financial management Share prices Exchange rate Interest rate Crude Oil |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | x, 140 p. ; 30 cm |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |