PUTRI, DWIYANA MARDIKA (2024) RESPON SHOCK EXCHANGE MARKET PRESSURE TERHADAP INFLATION TARGET FRAMEWORK. S1 thesis, UNIVERSITAS SULTAN AGENG TIRTAYASA.
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Abstract
Exchange rates have a very significant impact on inflation in developing countries. The national exchange rate system determines how much pressure is exerted on the foreign exchange market. Since monetary authorities are less involved in a floating exchange rate system, market pressures are more frequent than in a fixed exchange rate system. Exchange Market Pressure is a method developed by Girton and Roper (1977) to determine how global economic pressures will affect a country's budget. This indicator shows how much pressure is exerted on a country's exchange rate. Before facing the peak of the crisis in 2008, the EMP values of the five countries since 2006 have often experienced pressure in the foreign exchange market, meaning that there has been simultaneous depreciation in the five countries. This study aims to analyze how Exchange Market Pressure responds to the implementation of ITF in Indonesia, Thailand, the Philippines, Brazil, and India. The data used in this study are secondary data obtained from the World Bank for the period 2000Q1 to 2023Q4. The analysis method used in this study is Structural VAR (SVAR). The results of the study prove that increasing inflation, increasing domestic credit, decreasing current account balance, and decreasing interest rates will increase foreign exchange market pressure in Thailand and Brazil. Inflation has a negative effect on Exchange Market Pressure in Indonesia and India. Domestic credit has a negative effect on EMP in the Philippines and India. Interest rates have a positive effect on Exchange Market Pressure in India.
| Item Type: | Thesis (S1) | |||||||||
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| Additional Information: | berkembang Sistem nilai tukar nasional menentukan seberapa besar tekanan yang diberikan pada pasar mata uang asing. Karena otoritas moneter kurang terlibat dalam sistem nilai tukar mengambang, tekanan pasar lebih sering terjadi dibandingkan sistem nilai tukar tetap. Exchange Market Pressure adalah metode yang dikembangkan oleh Girton dan Roper (1977) untuk mengetahui bagaimana tekanan ekonomi global akan mempengaruhi anggaran suatu negara. Indikator ini menunjukkan seberapa besar tekanan yang diberikan pada nilai tukar suatu negara. Sebelum menghadapi puncak krisis tahun 2008 nilai EMP kelima negara sejak tahun 2006 sudah sering terjadi tekanan di pasar valas, artinya terjadi depresiasi secara bersamaan di kelima negara tersebut. Penelitian ini bertujuan menganalisis bagaimana respon Exchange Market Prsessure terhadap penerapan ITF pada negara Indonesia, Thailand, Filiphina, Brazil, dan India. Data yang digunakan dalam penelitian ini adalah data sekunder yang diperoleh dari World Bank periode 2000Q1 sampai dengan 2023Q4. Metode analisis yang digunakan dalam penelitian ini adalah Structural VAR (SVAR). Hasil dari penelitian membuktikan meningkatnya Inflasi, bertambahnya kredit domestik, berkurangnya neraca transaksi berjalan, dan penurunan suku bunga akan meningkatkan tekanan pasar valuta asing di Thailand dan Brazil. Inflasi berpengearuh negatif terhadap Exchange Market Pressure Indonesia dan India. Kredit domestik berpengaruh negatif terhadap EMP Filiphina dan India. Suku bunga berpengaruh positif terhadap Exchange Market Pressure India. | |||||||||
| Uncontrolled Keywords: | Tekanan Pasar Valuta Asing, Kerangka Penargetan Inflasi,SVAR Foreign Exchange Market Pressure, Inflation Targeting Framework, SVAR | |||||||||
| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HC Economic History and Conditions |
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| Depositing User: | Dwiyana Mardika Putri | |||||||||
| Date Deposited: | 12 Aug 2024 10:16 | |||||||||
| Last Modified: | 19 Aug 2024 09:47 | |||||||||
| URI: | http://eprints.untirta.ac.id/id/eprint/40503 |
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