ANALISIS PENGARUH VOLATILITAS NILAI TUKAR PADA EKSPOR KOMODITI MANUFAKTUR DI INDONESIA PENERAPAN ESTIMASI DENGAN MENGGUNAKAN DISTRIBUSI LAG POISSONS PADA PERSAMAAN NON LINEAR SEEMINGLY UNRELATED REGRESSION
The purpose of this paper is to explain the uncertainty of exchange rate volatility effect to international trade. Its effect to international trade, specially quantity of export, come from accumulation exchange rate fluctuation from several lag. For the record, some previous researches which found out the impact of exchange rates on trade did not consider some of the things. First, the existence of inconstancy on trade. Namely, depend on the change of elasticity along the time of observations. Secondly, the number of lag in independent variable which is needed in order to record the highest impact. Third, there is an accumulation of impact in some previous period. The industry with lower import content become easier to maintain the export level. Export adjustment will occure with different time. This paper found that the industry with lower import content has faster export adjusment than higner import content. The data will separate into two different import content. The industry with higher import content will reduce the export if exchange rate volatility increase.
The other purpose of this paper is to explain the algorithm solution for system equation which has non linier form in its parameter, especially in system equation of seemingly unrelated regression. Particularly, this paper will discuss the model formation by inserting poissons probability function, which cause the non linier form. Inserting poissons distibution probablity to equation of trade can estimate the time of adjustment that has a best distribution. Then, this paper will explain the implementation that had been done by Ekananda (2003) about poisons probability function on system equation, the dynamics of equation and the simultaneous equation by using Hausman algorithm (1975).
Baum, Christopher F., Caglayan, Mustafa and Ozkan, Neslihan (1999), Exchange Rate Effect on the Volume of Traded flows: An empirical Analisis Employing High-Frequency Data, Department of Economics, Boston College.
Bini-Smaghi, Lorenzo (1991)., Exchange Rate Variability dan Trade: Why Is It so Difficult to Find any Empirical Relationship? Applied Economics 23 (May): 927-35,
Bollerslev, T., R.Y. Chou and K.F. Kroner (1992), ARCH modelling in Finance, Journal of econometrics, 52, 5-59.
Cote, Agathe (1994), Exchange Rate Volatility And Trade A Survey, International Department Bank Of Canada, May. Chusman, D.O (1983), The Effect Of Real Exchange Rate Risk On International Trade, Journal of Internatinal Economics, 15, 45-63.
Dornbusch, Rudiger & Helmers, F. Leslie C.H (1991)., The Open Economy, Tools for Policymakers in Developing Countries, EDI Series in Economic Development, Oxford University Press, Fourth Printing.
Ekananda, M (2002), Pengaruh Pengaruh Volatilitas Nilai Tukar Pada Perdagangan Internasional, Analisis Empiris Pada Ekspor Non Migas Di Indonesia, Tesis Magister Ekonomi, Universitas Indonesia.
Ekananda, M (2003), Ketidakpastian Pengaruh Volatilitas Nilai Tukar Terhadap Ekspor Komoditi Manufaktur Di Indonesia. Suatu Kajian Pendistribusian Pengaruh Volatilitas Dengan Menggunakan Distribusi Lag Poissons Pada Persamaan Sistem Non Linear Seemingly Unrelated Regression, Disertasi Doktor Ekonomi, Universitas Indonesia.
Ekananda, M (2004), Estimasi Persamaan Non Linier Seemingly Unrelated Regression pada Model Perdagangan Internasional, Jurnal Ekonomi dan Pembangunan Indonesia. Vol 4 no 1. Januari 2004, Fakultas Ekonomi, Universitas Indonesia.
Gagnon, J.E. (1993), Exchange Rate Variability and The Level of International Trade, Journal of International Economics, 34, 269-287.
Gibson, Heater, D (1996), International Finance, Exchange rates and Financial Flows in The International System, Longman Publishing NewYork, Chapter 3, p. 126.
Goldstaein and Khan (1985), Income and Price Effects in Foreign Trade, in :R.W. Jones and P.B Kenen (eds), Handbook of Internationel Economics, Amsterdam: NorthHolland, 1041-1105.
Goeltom, Miranda dan Suardhini, Made (1997), Analisis Dampak Intervensi Bank Sentral Dalam Penetapan Nilai Tukar Terhadap Ekspor-Impor Indonesia, Ekonomi dan Keuangan Indonesia, Volume XLV, Nomor 1, 1997.
Greene, William H (2000), Econometric Analysis, Macmillan Publishing Company, Fifth Edition, New York.
Hinkle & Montiel (1999), Exchange Rate Misalignment, Concept and Measurement for developing country, A World Bnank Publication, Oxford University Press, p. 45.
Hooper, Peter & Kohlhagen, (1978), The Effect of Exchange Rate Uncertainty on The Proces and Volume of International Trade, Journal of International Economics, No 8 p.483-511.
Hossain, Akhtar & Chowdhury, Anis (1998), Open Economy Macroeconomics for Developing, Edward Elgar Publishing Limited, Inc., Massachusets.
Klaassen (1999) Why is it so Difficult to find an effect of exchange rate risk on trade, Center for Economic Research, Tilburg University, Discussion Paper.
Krugman (1998), “The Effects of Exchange Rate Trends and Volatility on Export Prices: Industry Examples from Japan, Germany, and the United States.” Weltwirtschaftliches Archiv 125:588-618.
Merton, R.C (1980), On estimating the expected Return on The Market : An Explanatory Investigation, Journal of Financial Economic, 8, 323-361.
Pasaribu, Chandra dan Djaja Komara (1995), Mekanisme Penyesuaian Nilai tukar riil terhadap perubahan Ter m of Trade : Studi Empiris di Indonesia, Majalah Ekonomi dan Keuangan Indonesia, Vol. XLIII, No. 3.
Spiegel, M (1988), Theory and Problem of Statistics, Schaum Series, 3rd edition, McGraw-Hill Inc. page 128.
Susilo, Antonius (2001), Dampak Ketidakpastian Nilai Tukar Indonesia tehadap Pertumbuhan Ekspor Periode 1979.1-1988.4 : Suatu Pendekatan Teknik Kointegrasi dan Model Koreksi Kesalahan, Thesis UI 2001.
Stokman, A.C.J. (1995), Effect of Exchange Rate Risk on Intra-Ec Trade, De Economist 143, p. 41-54, Netherland.
Buletin Ekonomi Moneter dan Perbankan / Bulletin of Monetary Economics and Banking is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.