Abstract
Estimation study about the relationship between exchange rate flexibility and current account adjustment has been through three stages, the first stage was analysis of correlation among exchange rates variability (proxied by REER and NEER) and exchange rate regimes classification. The second step was estimating the relationship that the former was mentioned with VAR as benchmark model. The third step was applying the nonlinear estimation with Threshold VAR. The results of analysis showed that exchange rate regime classification may not capture actual exchange rate variability and flexibility exchange rate can accelerate current account adjustment in Indonesia if the changes of Indonesia exchange rate less than 27.7059 (low regime) whereas in high regime exchange rate is persistent increasing so that the system between exchange rate and current account become unstable. Bank Indonesia as monetary authorities must keep the changes of exchange rate less than 27.7059, due to exchange rate can affect current account adjustment, so can anticipate if there is current account deficit in Indonesia economy. Keywords : Exchange Rate Flexibility, Current Account Adjustment, Exchange Rate Regime, Classification, Threshold VAR
Highlights
Estimation study about the relationship between exchange rate flexibility and current account adjustment has been through three stages, the first stage was analysis of correlation among exchange rates variability and exchange rate regimes classification
Do we really know that flexible exchange rates facilitate current account adjustment? Some new empirical evidence for Central and Eastren Europe (CEE)
Exchange rate flexibility and current account adjustment: a threshold Vector Autoregression (VAR)
Summary
Jika dilihat respons nilai tukar terhadap neraca transaksi berjalan pada Gambar 3 terlihat bahwa adanya guncangan pada nilai tukar akan direspon negatif oleh neraca transaksi berjalan hingga periode kedua dengan kisaran nilai respons sebesar -0.02, kemudian akan naik kembali selang satu periode dan kemudian akan turun kembali, terlihat bahwa adanya kenaikan (apresiasi) pada nilai tukar tidak akan direspon dalam jangka waktu yang lama oleh neraca transaksi berjalan. Setelah mendapatkan nilai threshold maka estimasi akan dilanjutkan menggunakan TVAR dengan impulse response sebagai rangkuman dari hasil perilaku dinamis antara nilai tukar dan neraca transaksi berjalan. Sama halnya dengan penjelasan pada impulse response pertama dan kedua bahwa untuk kondisi high regime nilai respons akan persisten meningkat sehingga nilai respons tidak stabil. Dari hasil uji korelasi sebelumnya terpilih bahwa klasifikasi nilai tukar RR memiliki korelasi yang paling kuat dengan REER yaitu sebesar 0.71, sehingga klasifikasi RR terpilih sebagai variabel threshold dalam analisis model Threshold VAR ini. Setelah melakukan uji threshold kemudian diestimasi untuk memperoleh estimasi pada low regime dan high regime yang dirangkum dalam hasil impulse response (Gambar 7 – 8), di mana nilai. De facto crawling band dengan kisaran nilai lebih kecil atau sama dengan +/-5%
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