Monetary Policy Response On Exchange Rate Volatility In Indonesia
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Within the frameworks of its publishing activity, the Faculty of Economics publishes the
Journal of Contemporary Economic and Business Issues
(http://www.eccf.ukim.edu.mk/Article/141)
Call for papers >>> (/ArticleContents/JCEBl/JCEBl_3/Ca ll for papers.pdf)
. Journal of Contemporary Economic and Business Issues is a new peer-reviewed open access journal in subj ects of economics
and business which covers economics, economic policy, finance, quantitative economics, business and other relevant fields .
. It is a semi-annual academic journal published by the Ss. Cyril and Methodius University, Faculty of Economics - Skopje in both
print and online version.
Journal of Contemporary Economic and Business Issues will publish original scientific papers. preliminary communications,
conference papers, review articles, but also high quality professional papers. We particularly welcome contributions that explore
economic and business issues of emerging economies.
The Editorial Boards (http ://www.eccf.ukim.edu.mk/Article/94) consists of eminent economists from different countries.
All articles shOuld be written in cnghsh and are sub1ect to a double bhnd peer-review process. Only original unpublished works.
not under consideration for publication elsewhere. should be submitted . Submitted papers need to be prepared according to
•the lnstrucbons for authors (http:/Awlw eccf ukim edu mk/Article/95)
Faculty of Economics
Ss. Cyril and Mothodlus University In Skopje
Btvd Goce Detchev 9V
1000 SkOPle
Repubhc of Macedonia
Telephone (02) 3286-800
fax (02) 3118·701
e·mad contact@eccf.uk1medu n1c
(hit p //www. eccl. ukim. edu.nil/Art1cle/ I 02)
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ｾ＠
Publications
Journal ＨＯｍ､ｾＲＱ＠
Ee tonal Boaro (/Mde/941
Contact (/Mde/96)
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o
Joumal Alctl1ve (/Mde/142)
Annual (/Mde/11 8)
Course books (1Mdel117J
Ol\er (IMde/116)
Editorial board
Editorial Boud
Vesna Bucevska. Edft0t-ln.Chlel
a.11ana Tashema - K1lkashl1eva. S.creury
Albeno Munoz Glrcia. Un1versid1d Carlos 111 de Madrid, Spain
• Andre)a Pudhar. Unlverslf'( of Mlrlbor. Faeully or Organlzauonal Sciences. Slovenia
• Bozidar Cerovlc Un1vers11y or Belgrade. Facuuy of Economics. Sert.a
• Btanlto R11uta. Un1vers.f'(of Belgrade. Facully of Economics. Setbta
• Edvard lijan. University of Rljeka. Facully of Manbme Srud1es. Slovenia
• Franas Ille. Jntemabonal Urnvers11y of Monaco. Monaco
• i.-ai Hashl Business School Statlordshire Un1vers•ly Leek Rd • Um!ed Kingdom
• Ivan Milenko-.ic. U111vet$11'( of of Pnsbna Faculf'( of Economics. Kosovsl.
H::mJ,, iJ1h 19 (:\c\\ cy-\\'c,l
autom:111c) u:.ing J);mlcu l;cmcl
Ba11J,,jJ1h. 19 Ｈｲ｜＼ＺＱ
ＮＺｾﾭ
\\' c't :1utom.111c) u,111g
ｾＱｧ＠
ｨ｡ｾ＠
ｃＧｯｮｾ
ｴＮ ｭｴ＠
Bartlcll kcmcl
Augmented
1- ｾＱ｡ｩｳ｣＠
Prob •
-47.25723
0.000 1
Philips-
DickcyＱ ﾷｵ
Ｑ｣ｲＺｾ＠
Prn·on
statistic
lc:st
ｾｬＴＱ
,\Jj 1-s1::11
Prob ..
-46.63928
0.000 1
LMStat
K1\iatko\\Ski·
Philips-S.:hmidtShin tc5t ｾ ｴ｡ｩ ｾｴＮＺ＠
0.29534
ｴｩｾＱ｣＠
Source: Author's calculations
Additionally, Table 3 reports the ljung-Box-Pierce a statistics of autocorrelation of the
deviations and the squared deviations of exchange rate series from its sample mean.
Ljung-Box-Pierce a statistics carries out the Breusch-Godfrey Lagrange multiplier test for
high-order serial correlation. While the a-statistic of the deviations are employed to detect
autocorrelation. a-statistic of the squared deviations (a 2) , are employed to test the volatility
clustering or ARCH effects. For the exchange rate series, the statistics are calculated for
lags up to 24 days. According to the results, there is a serial correlation and 0 2 statistic
displays strong evidence of ARCH effect. The null hypothesis of the test is that there is no
JCtBI. \bl.I (2014) :>.o 2. pp 35 - .5.t I
43
-
-
Fern· S111r11111/tl111 \ v1·1 l:t1111. 1, 11.'''"'· l>edt H11d11n.111
ｊＯＬＱｾｭＮ＠
lu111 /J,u,ltt1111
serial correlation in the residuals up to the spec1f1ed order. Re1ection of the null hypothesis
1mphes volatility clustering 1n the series
Impact of Central Bank's Foreign Exchange Interventions
Generally, the literature investigating Indonesia experiences focused on the effectiveness
of the Bank Indonesia (Bl) interventions in general Differently, in this study the impact of
the Bank Indonesia's sale of foreign-exchange intervention (D_INT_Sell_Spot) and other
possible relevant variable such as NDF rate and real interest rate differential (RIRD) and
foreign-exchange turn over (GTOV _FX_TOTAL), will be examined. Therefore, the following
model 1s proposed to model mean of the exchange ra te returns and cond1t1onal volatility as
follows:
llsp 0 dan a + P < 1
Table 2. Mean equation and pre-estimation test results
Dependent Venable R_SPOT
Method least SQuares
Dale 07115/1 4 Time 14 16
Sample (ad1usted) 1/04/200812/31/2013
Included obseMbons 1563 after ad1ustments
Yariable
Coellioent
Std Error
t-Stabsbc
c
-0.073351
-0.306758
0402657
0 009802
4 41E·10
-0 001270
0 054676
0 022883
0019795
0 009116
1 12E·10
0 000603
·1 341570
·13 40573
20 34148
1.075332
3 938418
-2.108006
R_SPOT(-1)
R_NOF
RIRP
INT_SEll_SPOT
GTOV_FX_ TOTAL
R-squared
/ld1usted R-sQuared
SE of regression
Sum squared res1d
log likelihood
ｆＭｳｴ｡ｨｾ｣＠
Prob(F-statisbc)
0 250244
0.247836
0.597249
555 3921
·1409 192
103 9351
0000000
Source. Author's Calculations
44
IJCl:BI. Vol.I ＼ｾＰＱＴＩ＠
No.2. pp. 35 · 5-1
Mean dependent var
S O dependent 1.er
AAa1ke 1nro criterion
Schwarz cntenon
Hannan -Quinn enter
Durbin-Watson stal
Prob
0 1799
0.0000
00000
0.2824
00001
0 0352
0 018866
0 688651
1 810867
1 831421
1 818508
2 269315
(2)
.\ftl/ll'hll I f'O/tC\
I
1'1(>
search ..
ｴｾ ｀＠
0,
MKIEN
Faculty o f Economics
Sa Cyril •nd Methodlua Univers ity In Skop)e
IHome)
(/Home)
lliE fACUlTY ..,
STVOY ..,
COCPEAATICJ-1 ..,
RESEARCH ..,.
Pl.!lllCAllQt.S ,.
Publications
Journal (/Article/92)
o
Editorial Board (/Article/94)
o
Instructions for Authors (/Article/95)
o
Contact (/Article/96)
o
Current issue (/Article/141)
o
Journal Archive (/Article/142)
Annual (/Article/118)
Course books (/Article/117)
Other (/Article/116)
Journal
Within the frameworks of its publishing activity, the Faculty of Economics publishes the
Journal of Contemporary Economic and Business Issues
(http://www.eccf.ukim.edu.mk/Article/141)
Call for papers >>> (/ArticleContents/JCEBl/JCEBl_3/Ca ll for papers.pdf)
. Journal of Contemporary Economic and Business Issues is a new peer-reviewed open access journal in subj ects of economics
and business which covers economics, economic policy, finance, quantitative economics, business and other relevant fields .
. It is a semi-annual academic journal published by the Ss. Cyril and Methodius University, Faculty of Economics - Skopje in both
print and online version.
Journal of Contemporary Economic and Business Issues will publish original scientific papers. preliminary communications,
conference papers, review articles, but also high quality professional papers. We particularly welcome contributions that explore
economic and business issues of emerging economies.
The Editorial Boards (http ://www.eccf.ukim.edu.mk/Article/94) consists of eminent economists from different countries.
All articles shOuld be written in cnghsh and are sub1ect to a double bhnd peer-review process. Only original unpublished works.
not under consideration for publication elsewhere. should be submitted . Submitted papers need to be prepared according to
•the lnstrucbons for authors (http:/Awlw eccf ukim edu mk/Article/95)
Faculty of Economics
Ss. Cyril and Mothodlus University In Skopje
Btvd Goce Detchev 9V
1000 SkOPle
Repubhc of Macedonia
Telephone (02) 3286-800
fax (02) 3118·701
e·mad contact@eccf.uk1medu n1c
(hit p //www. eccl. ukim. edu.nil/Art1cle/ I 02)
The faculty (/Artlcle/1)
Contact (/Article/139)
Message from the Dean (/Article/46)
Faculty's Operation (/Article/ 19)
OrganiZat1on (/Article/20)
Dean's Office (/Article/6)
Internal Organizational Units (/Article/111)
Stall (/StaflLisl/52/1)
Capacihes (/Article/33)
Self-Evaluation (/Article/22)
Pubhc Procurement (/Article/113)
Study (/Artlcle/2)
Enrollment (/Article/104)
Calendar of Activities (/Article/140)
Study Rules (/Article/109)
Curricula (/Prograrmies/61)
Student Affairs (/Arlicle/27)
Bulletin Board (fTable/62)
Student Exchange and Mobility (/Article/32)
FAQs (/Article/103)
Cooperation (/Article/3)
• Student Organisations (/Arlicle/106)
Scholarships I Mobility (/Article/107)
Merrberships (/Ar11cle/108)
International Cooperation Agreements (/Atticle/21)
Research (/Article/4)
Research (/Article/37)
sc?atch
C\
l.'!< JEN
F•cully of Economics
ｫＮ
ｃＩＬＮｾＭ＠
iome)
. . . •.1. • ..t•t
...
t .L.. .
-c.aJi't."""°'" •
ＮＬ
Ｌ Ｑ ｾ＠
.. ..... . _... ...., ...
ｾ＠
Publications
Journal ＨＯｍ､ｾＲＱ＠
Ee tonal Boaro (/Mde/941
Contact (/Mde/96)
Cunent1ssue (IAIUde/141)
o
Joumal Alctl1ve (/Mde/142)
Annual (/Mde/11 8)
Course books (1Mdel117J
Ol\er (IMde/116)
Editorial board
Editorial Boud
Vesna Bucevska. Edft0t-ln.Chlel
a.11ana Tashema - K1lkashl1eva. S.creury
Albeno Munoz Glrcia. Un1versid1d Carlos 111 de Madrid, Spain
• Andre)a Pudhar. Unlverslf'( of Mlrlbor. Faeully or Organlzauonal Sciences. Slovenia
• Bozidar Cerovlc Un1vers11y or Belgrade. Facuuy of Economics. Sert.a
• Btanlto R11uta. Un1vers.f'(of Belgrade. Facully of Economics. Setbta
• Edvard lijan. University of Rljeka. Facully of Manbme Srud1es. Slovenia
• Franas Ille. Jntemabonal Urnvers11y of Monaco. Monaco
• i.-ai Hashl Business School Statlordshire Un1vers•ly Leek Rd • Um!ed Kingdom
• Ivan Milenko-.ic. U111vet$11'( of of Pnsbna Faculf'( of Economics. Kosovsl.
H::mJ,, iJ1h 19 (:\c\\ cy-\\'c,l
autom:111c) u:.ing J);mlcu l;cmcl
Ba11J,,jJ1h. 19 Ｈｲ｜＼ＺＱ
ＮＺｾﾭ
\\' c't :1utom.111c) u,111g
ｾＱｧ＠
ｨ｡ｾ＠
ｃＧｯｮｾ
ｴＮ ｭｴ＠
Bartlcll kcmcl
Augmented
1- ｾＱ｡ｩｳ｣＠
Prob •
-47.25723
0.000 1
Philips-
DickcyＱ ﾷｵ
Ｑ｣ｲＺｾ＠
Prn·on
statistic
lc:st
ｾｬＴＱ
,\Jj 1-s1::11
Prob ..
-46.63928
0.000 1
LMStat
K1\iatko\\Ski·
Philips-S.:hmidtShin tc5t ｾ ｴ｡ｩ ｾｴＮＺ＠
0.29534
ｴｩｾＱ｣＠
Source: Author's calculations
Additionally, Table 3 reports the ljung-Box-Pierce a statistics of autocorrelation of the
deviations and the squared deviations of exchange rate series from its sample mean.
Ljung-Box-Pierce a statistics carries out the Breusch-Godfrey Lagrange multiplier test for
high-order serial correlation. While the a-statistic of the deviations are employed to detect
autocorrelation. a-statistic of the squared deviations (a 2) , are employed to test the volatility
clustering or ARCH effects. For the exchange rate series, the statistics are calculated for
lags up to 24 days. According to the results, there is a serial correlation and 0 2 statistic
displays strong evidence of ARCH effect. The null hypothesis of the test is that there is no
JCtBI. \bl.I (2014) :>.o 2. pp 35 - .5.t I
43
-
-
Fern· S111r11111/tl111 \ v1·1 l:t1111. 1, 11.'''"'· l>edt H11d11n.111
ｊＯＬＱｾｭＮ＠
lu111 /J,u,ltt1111
serial correlation in the residuals up to the spec1f1ed order. Re1ection of the null hypothesis
1mphes volatility clustering 1n the series
Impact of Central Bank's Foreign Exchange Interventions
Generally, the literature investigating Indonesia experiences focused on the effectiveness
of the Bank Indonesia (Bl) interventions in general Differently, in this study the impact of
the Bank Indonesia's sale of foreign-exchange intervention (D_INT_Sell_Spot) and other
possible relevant variable such as NDF rate and real interest rate differential (RIRD) and
foreign-exchange turn over (GTOV _FX_TOTAL), will be examined. Therefore, the following
model 1s proposed to model mean of the exchange ra te returns and cond1t1onal volatility as
follows:
llsp 0 dan a + P < 1
Table 2. Mean equation and pre-estimation test results
Dependent Venable R_SPOT
Method least SQuares
Dale 07115/1 4 Time 14 16
Sample (ad1usted) 1/04/200812/31/2013
Included obseMbons 1563 after ad1ustments
Yariable
Coellioent
Std Error
t-Stabsbc
c
-0.073351
-0.306758
0402657
0 009802
4 41E·10
-0 001270
0 054676
0 022883
0019795
0 009116
1 12E·10
0 000603
·1 341570
·13 40573
20 34148
1.075332
3 938418
-2.108006
R_SPOT(-1)
R_NOF
RIRP
INT_SEll_SPOT
GTOV_FX_ TOTAL
R-squared
/ld1usted R-sQuared
SE of regression
Sum squared res1d
log likelihood
ｆＭｳｴ｡ｨｾ｣＠
Prob(F-statisbc)
0 250244
0.247836
0.597249
555 3921
·1409 192
103 9351
0000000
Source. Author's Calculations
44
IJCl:BI. Vol.I ＼ｾＰＱＴＩ＠
No.2. pp. 35 · 5-1
Mean dependent var
S O dependent 1.er
AAa1ke 1nro criterion
Schwarz cntenon
Hannan -Quinn enter
Durbin-Watson stal
Prob
0 1799
0.0000
00000
0.2824
00001
0 0352
0 018866
0 688651
1 810867
1 831421
1 818508
2 269315
(2)
.\ftl/ll'hll I f'O/tC\
I
1'1(>