Indonesian Rupiah Research Articles

Can Tail Risk Predict Asia-Pacific Exchange Rates Out of Sample?

We present novel evidence to show that tail (market) risk, measured as the conditional autoregressive value at risk, is a good predictor of Asia-Pacific exchange rates. We use daily exchange rate data for the Australian dollar, the Chinese yuan, the Indonesian rupiah, the Japanese yen, the Malaysian ringgit, the New Zealand dollar, the Philippine peso, and the Singapore dollar each against the US dollar, the pound sterling, and the euro between January 3, 2007, and March 8, 2021. Impact analyses suggest hedging benefits for investors in US dollar–denominated exchange rates, especially in advanced Asia-Pacific countries. Superior out-of-sample forecast performance appears to supersede the Meese–Rogoff puzzle.

The value of the Ringgit and the indonesian Rupiah In the Sale and Purchase Transactions of the Village Community Aji YellowSebatik island Borders the Indonesian - Malaysian

The activity of the socio-economic society can be seen in the daily activities on the environment where the people live, especially people who live in the border area. The village Aji Yellow into the study site is located in Kabupaten Nunukan or commonly called the Island of Sebatik. People in Sebatik Island imposed a two currencies in the region, namely currency ringgit and indonesian rupiah. The purpose of this study untukmenjelaskan the value and meaning of the ringgit and the indonesian rupiah in the view of the Village community Aji Yellow;type-type of commodity goods traded; the practice of buying and selling transactions using the ringgit and the indonesian rupiah in the community of the Village Aji Yellow. The study used a qualitative method through interviews and participant observation. The results of the research show the value and meaning of the orientation of currency applied by the community in the Village of Aji Yellow which includes: historical aspects, ease of access, commodity, practical, security. Goods that becomes a commodity trading almost the entire starting from primary needs to tertiary. The value of the ringgit and the indonesian rupiah in the view of society is the result of consensus that can be beneficial in the social and cultural environment on the border of the two countries, Indonesia and Malaysia.

Peramalan Nilai Tukar Rupiah Terhadap Mata Uang Negara Asia Menggunakan Metode Quantum Neural Network

Currency is a standardized payment instrument used all around the world. Almost each country has their own currency, and it has a variable value. Asia is one of the biggest continent in the world. Most tourists whom visit Indonesia come from Asia. Thus, that makes the most currency exchanged in Indonesia are currencies from Asia. Currency exchange rate difference between one currency and another affected by several factor. One of those factor is inflation in its country. To overcome that issue, one needs a prediction system that can be used to predict the exchange rate of currencies in the future. Quantum Neural Network is used in this research to predict Indonesian Rupiah exchange rate value to other currency in Asia. Singapore, Hongkong and Japan currencies are particularly used in this research. Results obtained from this research are accuracies. Quantum Neural Network produces 99.78% accuracy on Singapore Dollar to Indonesian Rupiah exchange rate, 99.57% on Hongkong Dollar to Indonesian Rupiah, and 99.60% on Japanese Yen to Indonesian Rupiah.

Cost-effectiveness analysis of genotyping for HLA-B*15:02 in Indonesian patients with epilepsy using a generic model.

Carbamazepine (CBZ)-induced Stevens-Johnson syndrome and toxic epidermal necrolysis (SJS/TEN) are strongly associated with the HLA-B*15:02 allele. Screening HLA-B*15:02 before CBZ administration might prevent CBZ-induced SJS/TEN by enabling clinicians to prescribe alternative therapy for positive patients. Similar to other Southeastern Asian countries, HLA-B*15:02 is highly prevalent in Indonesia. Therefore, we assessed the economic value of HLA-B*15:02 screening before CBZ prescription to patients with epilepsy in Indonesia. A generic cost-effectiveness model and decision support tool, developed to enable users to perform an initial cost-effectiveness analysis from a healthcare provider/payer perspective, were used to assess the value of HLA-B*15:02 genotyping. The incremental cost-effectiveness ratio of adopting universal HLA-B*15:02 screening was 656,444,671 Indonesian Rupiah (IDR)/quality-adjusted life year (QALY) gained for patients compared with 2,634,975,574 IDR/QALY gained for providing valproic acid (alternative drug) without screening. Thus, neither HLA-B*15:02 screening nor substitution with VPA meets the Indonesian threshold for cost effectiveness. However, the improved outcomes with this test in other Asian countries may inform the desirability of implementation in Indonesia even with suboptimal cost-effectiveness.

Assessing the degree of tidal flood damage to salt harvesting landscape using synthetic approach and GIS - Case study: Cirebon, West Java

Tidal flood implications for agricultural areas have been relatively neglected in research due to their relatively low economic values. Nevertheless, many rural coastal communities are facing these types of floods regularly, especially salt harvesters. Based on a synthetic approach using damage functions and the Geographic Information System, this study applies previous simulations from a hydrodynamic model to quantify vulnerability through flood depth and duration. A depth-duration damage function using a synthetic approach was applied to develop damage curves based on previous events. Data was collected through a questionnaire aimed at salt harvesters’ group representatives. This data was used to evaluate the direct monetary loss related to two recorded events in Cirebon, West Java: in June 2016 (Event A) and in May 2018 (Event B). Those events brought losses of about Indonesian Rupiah (IDR) 74.11 × 109 (5.37%) and IDR 13.79 × 109 (8.1%) for Event A and Event B respectively. This study reveals the different vulnerability levels of the events, which represent different production stages in salt harvesting. This paper presents methods and information to support risk management in salt harvesting, including prioritizing mitigation strategies.

Indonesia’s Financial Markets and Monetary Policy Dynamics Amid the COVID-19 Pandemic

We examine the impact of the COVID-19 pandemic on Indonesia’s financial markets and monetary policy dynamics. We explore five types of financial markets in Indonesia: (1) the Indonesian rupiah (IDR) interbank money market; (2) the US Dollar (USD) interbank money market; (3) government conventional bond (SUN) markets; (4) the stock market; and (5) the USD/IDR spot market. We examine Bank Indonesia's (BI) three types of monetary policy instrument: (1) BI seven-day reverse repo rate; (2) minimum reserve requirement ratios; and (3) BI’s monetary operations. We find that the COVID-19 pandemic causes different impacts of particular monetary policy instruments on Indonesia’s financial markets during the pandemic compared with those in the non-pandemic period.

A Class of Non-Linear AGARCH(1,1) Model in Modeling Volatility of Returns

There are various forms of GARCH (Generalized Autoregressive Conditional Heteroskedasticity) modeling. The contribution of this study is to propose a class of non-linear AGARCH (Asymmetric GARCH) model by applying the Simple Tukey transformation to the lagged-volatility equation. The model is fitted to the daily returns of buying exchange rate of the USD (US Dollar) to the IDR (Indonesian Rupiah) from January 2010 to December 2017. The Adaptive Random Walk Metropolis (ARWM) method is employed in the Markov chain Monte Carlo algorithm to estimate model parameters. This study finds that both asymmetric effect (between return and volatility) and non-linearity in volatility are statistically significant, suggesting to incorporate both parameters into the GARCH(1,1) model. To choose the better fit model, the Log-likelihood Ratio Test (LRT) and Deviance Information Criterion (DIC) are employed. The empirical results indicate that the proposed model outperforms the basic AGARCH(1,1) model. Therefore, this study suggest a new class of non-linear AGARCH model.

Sustainability analysis of tomato jellyfish (Crambione mastigophora) fisheries resources management in Saleh Bay Waters, Sumbawa Island, Indonesia

Abstract. Asrial E, Marzuki M, Hamid, Khasanah RI. 2021. Sustainability analysis of tomato jellyfish (Crambione mastigophora) fisheries resources management in Saleh Bay Waters, Sumbawa Island, Indonesia. Biodiversitas 22: 512-520. The tomato jellyfish (Crambione mastigophora) or gullung (local term), is endemic in Saleh Bay, Sumbawa Island, Indonesia and has been utilized as an additional livelihood by fishermen for last two decades. Its commonly caught by 2-4 fishermen/boat using scoop net, wooden fishing vessels, and lamps as attractors and collectors of jellyfish. This study aims to determine the sustainability of jellyfish fisheries management. A survey-dependent method with sampling, observation, dialogue, and documentation techniques was applied for data compilation. The rapid appraisal for jellyfish fisheries - six dimensions (Rapjellyfish-6D), based on Rapfish technique, is utilized for analysis of the sustainability status of jellyfish fisheries management. This paper describes the sustainability analysis results for two of the six dimensions of jellyfish fisheries management, namely the technological dimension (13 attributes) as an input factor and the economic dimension as an output factor (14 attributes). At present, around 8-30 baskets/boat/day of jellyfish mouth-arms are being sold to the buyers in Saleh Bay. This catch's profit is divided between the fishermen (3 parts) and the boat owner (2 parts). The analytical results show the revenue per cost ratio (R/C Ratio) as 4.75 which means that every 1.00 Indonesian Rupiah (IDR) the cost of catching jellyfish will generate IDR 4.75. The breakeven point (BEP)Price is IDR 13,158 and BEPProduction is 3.13 and 8.33 baskets/trip for the assumed price of IDR 80,000 and IDR 30,000. The technological (36.13%) sustainability status and economic (49.64%) dimension is Less Sustainable. The leverage analysis results indicate that the group of sensitive attributes in the technological and economic dimensions, respectively, consists of 5 attributes and 3 attributes. All sensitive attributes have an impact on the low value of management sustainability. The sustainability of jellyfish fisheries management in Saleh Bay has been supported by a choice of environmentally friendly fishing methods. Besides, the mouth-arm price is formed from an oligopsony market system that is not profitable for fishermen. It is suggested to the village government to build an integrated and environmentally friendly scyphozoan facility to neutralize the liquid waste generated from scyphozoan processing.

How Do Inflation Rate, BI Rate, and Balance of Trade Directly Affect IDR to USD Exchange Rate and Indirectly Affect IDX Composite Index in Initial Stage of Covid-19 Outbreak?

This study is trying to fill the research gap by understanding how several important financial variables interplay and affect the macroeconomic indicators, especially in developing country like Indonesia during the financial crisis period caused by the unexpected and sudden Covid-19 pandemic outbreak. The purpose of this research is to determine the direct effect of the inflation rate, Bank Indonesia (BI) rate, and Balance of Trade on the movement of Indonesia Rupiah (IDR) currency stability against US Dollar (USD) and indirect impact to the Indonesia Stock Exchange (IDX) Composite index in Indonesia during the initial stage of the pandemic outbreak. To achieve the research objectives, this study uses the Rupiah exchange rate against USD and IDX Composite index as the dependent variables, while the Inflation rate (CPI), BI rate, and Balance of Trade as the independent variables. The quantitative methodology is used in this research by applying linear and multiple simple regression techniques. The results of this research show that the Inflation rate, BI rate, and Balance of Trade were significantly affecting the Rupiah exchange rate against the USD, and it found that the most dominant variable in this model was the BI rate. The Inflation rate and Balance of Trade partially had no direct significant influence toward the movement of the Rupiah exchange rate against the USD during the critical anticipation period of Covid-19 pandemic outbreak. Furthermore, Rupiah exchange rate against the USD gave a significant influence toward the IDX Composite index.

Financial Performance, Exchange Rate, and Firm Value: The Indonesian Public Companies Case


 
 
 Transactions between countries require a stable exchange rate. When the exchange rate of the country experiences uncertainty, then this will influence the company’s financial performance and even affect the company’s market value. This study aims to look for the direct influence of the company’s financial performance as an independent variable and the firm value as a dependent variable within the investor perspective, also including the exchange rate factor as a moderating variable. Investors could probably learn about information on the ups-and-downs of the Indonesian rupiah against foreign currencies before their investment decisions, even though financial performance substantially influences the company’s market value. The sample in this study was 50 companies within four years of observation. Data processing was carried out by the Eviews statistical application. The results showed that the financial performance, which is proxied by the capital structure, affects firm value, but not profitability. The impact of exchange rate moderation also occurs in the relationship of capital structure and firm value, while the moderation effect on profitability and firm value is not proven. This study provides information that exchange rates influence investment interests upon investors’ analysis of the financial performance of the capital structure, but not profitability.
 
 

Mercury Exposure in Artisanal and Small-Scale Gold Mining Communities in Sukabumi, Indonesia.

Background.Artisanal and small-scale gold mining (ASGM) is one of the largest sources of mercury (Hg) pollution in Indonesia. In West Java Province, ASGM is found in Bogor, Cianjur, and Sukabumi Regencies.Objectives.The present study aimed to evaluate Hg contamination effects and socioeconomic factors in communities living around ASGM operations in Sukabumi Regency.Methods.A quantitative method was used to describe socioeconomic ASGM communities. The concentrations of total mercury (T-Hg) in hair were measured in 71 respondents. This study also assessed perception of the use of Hg in the gold ore processing and their impact on the environment.Results.The population of gold miners in the studied three villages was 1300 households (25.77% from a total of 5044 households). Artisanal and small-scale gold mining involves both men and women employed as miners and gold amalgam processors, respectively. The average monthly income generated as much as Indonesian Rupiah (IDR) 272 000–2 000 000 (about 19–140 USD). Total Hg analysis was conducted for hair samples of 71 respondents (38 men, 33 women). The results showed an average T-Hg in men of 3.27±2.89 ppm, and women of 5.91±4.69 ppm. The level of T-Hg in the respondents was associated with distance to the ball mills and not related to distance to the mine site.Participant Consent.ObtainedEthics Approval.This study was approved by Ministry of Environment and Forestry of the Republic of IndonesiaCompeting Interests.The authors declare no competing financial interests.

Assessing Monetary Model of Exchange Rate Determination: Case of Indonesia

The main purpose of this paper is to assess the exchange rate determination in Indonesia after the Asian financial crisis. We use the Monetary Model to assess the prediction of the Indonesian Rupiah against the United States Dollar and other currencies of the largest trade partners of Indonesia. The models are the Flexible Price Monetary Model and the Sticky Price Monetary Model. We estimate short-run and long-run relationships using the Error Correction Model. The Monetary Model can explain partially the exchange rate variations, but the signs of money, income, and fiscal balance are not as expected. The causality may run from the exchange rate to money and price level.

THE ROLE CHANGES IN DOMESTIC AND PUBLIC SPHERES OF FARMER WOMEN THROUGH HOUSEHOLD LIVELIHOOD STRATEGY IN FATMITE VILLAGE, NAMROLE DISTRICT, SOUTH BURU REGENCY

Women roles are not only in domestic sphere, but has entered public sphere. This research aims to analyze the change of women roles in domestic and public spheres, and also to understand women roles in determination of livelihood strategies and their contribution to household income. Sample village was deliberately chosen, namely Fatmite Village in Namrole District with 30 female informants. Data collection technique involves questionnaire followed by in-depth interview with key informants. Data analysis is focused on the list of daily activities conducted by household women and the calculation of their income. This analysis is aimed to find out the contribution of women to the household income and also their spending proportion. Some results are obtained from this analysis. Women activities in pure domestic category have drained their time for 7 (seven) hours in a day. Women activities in additional domestic category have used their time for 11 (eleven) hours in a day. Total time effusion of women in domesticated activities is 18 hours a day. The contribution of woman to household income is reaching IDR (Indonesian Rupiah) 32,275,000, whereas their average income per month is IDR 2,689,583. Captured fishery, livestock, plantation farming, and crop farming are the kinds of job that provide income to household women.

The role of crude oil prices in the movement of the Indonesian rupiah: a quantile ARDL approach

The linkages between oil prices and exchange rates have been researched considerably. However, studies to date typically assume symmetric responses of exchange rates to changes in crude oil prices and use a symmetric linear regression model when tackling the topic. Therefore, the new contribution of this article is to utilize the quantile autoregressive distributed lag approach newly developed by Cho et al. (J Econom 188:281–300, 2015) and investigate whether or not evidence of locational asymmetries exists between oil prices and the Indonesian rupiah (IDR). We detect that the relationship between oil prices and IDR is heterogeneous across different quantiles, thereby providing evidence of locational asymmetries in both the long- and short-run. We believe that this discovery has profound implications on empirical modeling of the oil price–exchange rate nexus and policy analysis.

COVID-19 Challenges to ASEAN-5 Currencies Dynamic Linkages: Unity or Disunity?

This paper aim to empirically investigate the dynamic linkages of ASEAN-5 currencies market pre-and during COVID-19. The study started with Structural VAR by imposing structure to the regional exchange rates, followed by co-integration and Error Correction Model (VECM) within the VAR framework to capture the dynamic linkages of regional currencies. There are three main findings from this study. First, there is one co-integration relationship in both periods. Second, prior to the COVID -19, only Indonesia Rupiah that is statistically significant in bringing the exchange rate back to its long run path by 0.31% adjustment. The speed of adjustments back to this long run equilibrium is about 10 months. Third, the value of ECTs across all the countries were larger during COVID -19 implying to an extent there are some degree of intervention in an individual country. However, only Singapore Dollar and Indonesian Rupiah’s ECT are statistically significant in bringing their currencies back to the regional long run equilibrium. In other words, when there is any disequilibrium during the COVID -19, 57.32% and 67.67% of disequilibrium adjustment respectively come from Singapore Dollar and Indonesian Rupiah, correction takes about 2 days. This study add value to as to the first to investigate the subtleties movement of ASEAN-5 currencies during the recent COVID -19 pandemic.

WILL THE WINNER STILL BE THE WINNER? A STUDY OF EQUITY MUTUAL FUND PERFORMANCE IN INDONESIA

In this study, we explore the consistency of Indonesian Rupiah (IDR) – denominated equity mutual funds offered in Indonesia from 2007 to 2017 from various holding periods, namely one year, three years, and five years. Two questions are addressed. Will the winning mutual funds be the winner in the following period? Is the performance of a longer period more persistent than that of the shorter period? Using the nominal return from these eleven years, we find that the equity mutual funds in Indonesia earn no stable performance. The winner will not always be the winner in the following observed period. In addition, no evidence is found that long-term performance would result in a better persistence than that of the shorter time frame.

Perceived Risk of Being Infected With SARS-CoV-2: A Perspective From Indonesia.

The aim of this study was to determine the level of coronavirus disease 2019 (COVID-19) risk perceptions in Indonesia and characterize predictors of perceptions. An online cross-sectional study was conducted. A questionnaire assessed perceived risk and collected independent variables, including sociodemographic data. A multivariable linear regression model was used to characterize the relationship between independent variables and perceived risk. We included 1379 respondents in the final analysis with the mean and median of perceived risk score was 19.21% and 10.0%, respectively. Respondents aged between 21 and 30 years had the highest perceived risk, and those who were unmarried had 4.3% higher perceived risk compared with those who were married. Compared with the lowest monthly income group, those making Indonesian Rupiah (IDR) 6-10 million and more than IDR 10 million a month believed they had 4.2% and 8.8% higher risk, respectively. Citizens who lived in cities and health-care workers also had a higher perceived risk compared with those in the rural areas and non-health-care workers, respectively. Perceived risk of COVID-19 in Indonesia is relatively low, and this could hamper the adoption of preventive measures of COVID-19. Efforts to increase the awareness and perceived risk are important to prevent the pandemic from escalating.

Predicting foreign currency exchange rates using the numerical solution of the incompressible Navier–Stokes equations

The movement of exchange rates has similarities with physical phenomena, especially the movement of fluid in turbulence. The parameters change of the data information on the foreign exchange market will result in unstable exchange rates movement. These are according to changes in energy in the turbulence flow resulting in fluid particles moving randomly at fluctuating velocity. This study will predict the exchange rates of the United States Dollar (USD) to Indonesian Rupiah (IDR) using the incompressible Navier–Stokes equations which have been modified with economic parameters. The analogy of economic parameters to physical parameters such as Gross Domestic Product (GDP) as the distance between the two measured velocity points, the trade balance of two countries as fluid viscosity, and fluid flow velocity as exchange rate changes, while the inflation rates and interest rates are external forces. The numerical solution of the Navier–Stokes equations is solved using the Crank–Nicolson finite difference method. The results of the prediction of the exchange rate of USD to IDR are compared with actual exchange rate data. The exchange rate prediction results of the Navier–Stokes equations that calculated using the Crank–Nicolson scheme for one year produce an error percentage below 2.5 % of the actual exchange rate data.

The weak rupiah: catching the tailwinds and avoiding the shoals.

The Indonesian rupiah depreciated 50% between July 2011 and February 2020. Blanchard et al. (Are capital inflows expansionary or contractionary? Theory, policy implications, and some evidence. NBER Working Papers 21619, National Bureau of Economic Research, Cambridge, MA, 2015) showed that capital outflows from emerging markets can reduce output by increasing the cost of financial intermediation and can increase output by increasing net exports. Regression results indicate that Indonesian banks are exposed to depreciations, but that exports are not stimulated by depreciations. The findings also indicate that Indonesia’s export price index is positively correlated with commodity prices and negatively correlated with manufactured goods prices. Exporting more manufactures would reduce Indonesia’s exposure to volatile commodity prices and allow depreciations to stimulate exports. This paper considers several steps that Indonesia could take to increase its manufacturing exports.

Efficient or adaptive? Evidence from Indonesian forex market

We test the possible presence of weak‐form informational efficiency in the Indonesian forex (FX) market using daily bilateral exchange rate return of Indonesian Rupiah against U.S. Dollar from January 24, 2001 to March 29, 2019. First, we employ a battery of statistical tests including variance ratio tests, tests for linear dependence and Hurst coefficient on the full dataset as well as on four non‐overlapping sub‐samples of equal length. The tests provide a mixed result, whereas Hurst coefficient values identify long‐run persistence in the market. Based on this evidence, we test the possibility of adaptive nature of Indonesian FX market. The adaptive market hypothesis is tested using the newly proposed adaptive index (AI) in order to quantify the degree of information inefficiency in the Indonesian FX market at any given point. The AI values conclusively prove that Indonesian FX market is adaptive and periodically switches between states of efficiency and inefficiency. Moreover, various macroeconomic and financial events influencing Indonesian FX market efficiency are identified.