PERGERAKAN BERSAMA MATA UANG ASEAN 4 PERIODE 1997-2005: SUATU APLIKASI TEORI OPTIMAL CURRENCY AREA DENGAN MENGGUNAKAN MODEL VECTOR ERROR CORRECTION
Starting from the Optimum Currency Area (OCA), this paper utilize the Vector Error Correction Model (VECM) to identify the dynamic short term and the long term co-movement between the ASEAN 4 currencies, including their existing fundamental mechanism. There are at least 3 important findings, (i)the co-movement between the ASEAN 4 currencies is not proved empirically, (ii) the theory of OCA does not robust in explaining the co-movement pattern in ASEAN, and (iii) the existance of OCA is a global phenomena, indicated from the significance of Yen currency on the ASEAN 4. These findings led to a conclusion of this paper that the ongoing economic integration as well as the financial one in ASEAN are not enough to form a unified monetary arrangement nor a common currency in this region.
JEL Classification : F02, F36, F33, C32
Keywords: Pergerakan Bersama, Optimum Currency Area, Vector Error Correction Model
Baele, Lieven, Ferrando, Annalisa, Hordahl, Peter, Krylova, Elizaveta dan Monnet, Cyril, “Measuring Financial Integration In The Euro Area, Occassional Papers”, European Central Bank, Working Paper No. 14, April 2004.
Bayoumi, Tamim, “A Formal Model Of Optimum Currency Areas”, CEPR Discussion Papers No. 968, 1994.
Bayoumi, T and P. Mauro. “The Suitability Of Asean For A Regional Currency Arrangement”, International Monetary Fund, Working Paper No. 99/162, December 1999.
Bilson, John F.O “Recent Developments In Monetary Models Of Exchange Rate Determination”, IMF Staff Paper No. 26, 1979.
Branson, William dan Healy, Conor N. “Monetary and Exchange Rate Policy Coordination In ASEAN+1”, National Bureau Of Economic Research, Working Paper No. 11713, 2005.
Corsetti, G. and Pesenti, Paolo, “Self-Validating Optimum Currency Areas”, National Bureau Of Economic Research, Working Paper, No. 8783, 2002.
Corden, W.M. “Monetary Integration”, Essays In International Finance, International Finance Section No. 93, Princeton University, Dept. Of Economics, 1972.
Dickey, D.A. dan Fuller, W.A., “Distribution Of The Estimators For Autoregressive Time Series With A Unit Root”, Journal Of The American Statistical Association, 1979, Vol. 74, hal. 427-431.
Eichengreen, Barry and Bayoumi T, “Is Asia An Optimum Currency area? Can It Become One? Regional, Global and Historical Perspectives On Asian Monetary Relations”, Mimeo, University Of California, Berkeley, 1996.
Emerson, M., D. Gros, A. Italianer, J. Pisani-Ferry and H. Reichenbach. “One Market, One Money: An Evaluation of the Potential Benefits and Costs of Forming an Economic and Monetary Union”, New York, Oxford University Press, 1992.
Enders, Walter, Applied Econometric Time Series, John Wiley & Son, New York, 1995.
Fleming, J. Marcus, “On Exchange Rate Unification”, The Economic Journal, 1971, Vol 81, hal 467-88.
Frenkel, J. A., “A Monetary Approach To The Exchange Rate: Doctrinal Aspects and Empirical Evidence”,Scandinavian Journal Of Economics, 1976, 78(2), hal 200-24.
Frankel, Jeffrey A. “Is Japan Creating A Yen Bloc In East Asia and The Pacific?”, National Bureau Of Economic Research, Working Paper No. 4050, April 1992.
Frankel, Jeffrey. A., dan Rose, Andrew K.,”Economic Structure and The Decision To Adopt A Common Currency”, Background Report, Swedish Government Commission On EMU, Mei 1996.
Frankel, Jeffrey A., dan Rose, Andrew K., “The Endogeneity Of The Optimum Currency Area”, Economic Journal, July 1998, 108(449), hal. 1009-25.
Frankel, Jeffrey A. dan Wei, Shang-Jin. “Trade Blocs and Currency Blocs”, National Bureau Of Economic Research, Working Paper No. 4335, April 1993.
Grubel, Herbert G. “The Theory Of Optimum Currency Areas”, Canadian Journal Of Economics, Mei 1970, hal. 318-324.
Harris, Richard. Using Cointegration Analysis In Econometric Modelling, Harvester Wheatsheaf, Mayland Avenue, 1995.
Hawkins, John and Paul Masson, “Economic Aspects Of Regional Currency areas and The Use Of Foreign Currencies”, BIS Working Paper, pp. 4-42, May 2000.
Horvath, Julius., “Optimum Currency Area Theory: A Selective Review”, BOFIT Discussion Papers, Vol. 15, 2003.
Johansen, Soren. “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Of Autoregressive Models”, Econometrica, 1991, Vol. 59, pp. 1551-80.
Kenen, P.B. “Theory of Optimum Currency areas: An Eclectic View”. dalam R.A. Mundell, dan A.K. Swoboda, eds., Monetary Problems in the International Economy, Chicago, University Of Chicago Press, 1969.
Kim, T-J dan Ryou, J-W, “The Optimum Currency Basket and The Currency Bloc in Asia”, Bank Of Korea Economic Papers, Vol 4, No. 1, May, pp. 194-216, 2001.
McKinon, Ronald. “Optimum Currency areas”, American Economic Review, 53, September 1963, 717-724.
Mintz, N.N., “Monetary Union and Economic Integration”, The Bulletin, New York University, April 1970.
Mongeli, Fransesco P. “New Views On The Optimum Currency Area Theory: What Is EMU Telling US?”, ECB Working Paper No. 138, April. 2002.
Mundell, R, “A Theory Of Optimum Currency Areas”, American Economic Review, 1961, hal. 379-96.
Mundel, Robert A. “Uncommon Arguments For Commonc Currencies”, dalam H.G. Johnson
and A. K. Swoboda,eds.,The Economics Of Common Currencies, Allen and Unwin, 1973, hal. 114-32.
Mundell, R, “Prospects for an Asian Currency Area”, Journal Of Asian Economics, 2003, no. 14, hal. 1-10.
Said, S. and David Dickey, “Testing for Unit Roots in Autoregressive-Moving Average Models with Unknown Order”, Biometrica, 1984, 71, hal 599-607.
Sims, Christopher, 1980, “Macroeconomics and Reality”, Econometrica, 48, hal. 1-49.
Shinji, Takagi, “The Yen and Its Asean Neighbors, 1980-1995: Cooperation Or Competition”, National Bureau Of Economic Research, Working Paper No. 5720, 1996.
Warjiyo, Perry, “Materi Kuliah Ekonomi Keuangan Internasional”, Program Pasca Sarjana Ilmu Ekonomi, Universitas Indonesia, 2004.
Wilson, Peter. “Prospects For Asian Monetary Cooperation After The Asian Financial Crisis: Pipedream or Possible Reality?” National University Of Singapore, Working Paper No. 151, 2002.
Buletin Ekonomi Moneter dan Perbankan / Bulletin of Monetary Economics and Banking is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.