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The Causality Model of Indonesia Rupiah Exchange Rates, Imports, and Exports Using Multivariate Time Series Model of Vector Autoregressive
Devianto D.
2nd International Symposium on Information Technology and Digital Innovation Creative Trends in Sustainable Information Technology Design and Innovation Isitdi 2024
Abstract
Macroeconomic indicators influence each other in the causal relationship between the rupiah exchange rate, imports and exports. Time series studies with multivariate macroeconomic data can be modeled using a vector autoregressive approach. The data used in this research are series of monthly data of exchange rate, export, and import of Indonesia starting from January 2016 to July 2022. Data stationarity was detected through the Augmented Dickey Fuller (ADF) test with the optimal lag determined using the Akaike Information Criteria (AIC) which states there is a significant short-term effect of two lags in this model. This can also be seen from the Impulse Response Function (IRF) which tends to fluctuate only in the initial lags. Based on the results of the Granger causality test, only one significant relationship can be obtained, where the increase in exports is followed by an increase in imports. This condition indicates that the volume of import and export still does not have a strong influence on the rupiah exchange rate. Meanwhile, based on variance decomposition, it shows that each variable's causality is dominantly only influenced internally by the variable itself, while the influence of other variables is still very small.