Causality Analysis of IDR/USD exchange rates and sectoral indices in Indonesia period : 2003 - 2009

Deskripsi

This thesis is purposed to examine the causality relationship between IDR/USD exchange rates and 9 sectoral indices in Indonesia Stock Exchange (IDX) during the period 2003-2009. We use the Granger Causality Test, Vector Autoregression and Impulse response Function as our tools. The results shows that IDR/USD exchange rate has bi-directional causality relationship with all the nine sector indices. The result of VAR test is used to see which past lags are significant in determining each variable?s current value. The Impulse Response Function diagrams show that a unit shock in one variable?s error term does not affect the movement of other variable significantly.Ada tabel