IDR and YEN Currency With Structural Model

Authors

  • Dra. Rr. Angraini Soemadi  Lecture at FEB Universitas Muhammadiyah Tangerang, Banten
  • MSI  Lecture at FEB Universitas Muhammadiyah Tangerang, Banten

Keywords:

Currency, VAR, SVAR, VEC, SVEC

Abstract

This research aims to investigate a simple algorithm modeling, how the algorithm implementation and development into the structural model in the form of multivariate time series data using Eviews. 2 basic instruments are in use are vector auto regressive (VAR) and vector error correction (VEC) which will be developed into a structural vector auto regressive (SVAR) and structural vector error correction (SVEC). In this study used a variable currency IDR (Indonesia) and YEN (Japan) during the period 2004-2014, which convert into USD. Modeling of basic instruments that created and continue to shape innovative structures, can result in that the VAR model and SVAR be implemented on the stationary, while the VEC and SVEC models can be implemented in the data that are non-stationary.

References

  1. Akaike, H., 1971, Autoregressive model fitting for control, Annals of the Institute of Statistical Mathematics, 23, pp. 163-180.
  2. Brooks, C. 2008., Introductory econometrics for finance. New York: Cambridge University Press.
  3. Granger, C.W.J. 1981,, Some Properties of Time Series Data and Their Use in Econometric Model Specification, Journal of Econometrics, 16, pp. 121-130.
  4. Hadi, Y.S. 2003,, Analisis Vector Autoregression (VAR) terhadap Korelasi antara Pendapatan Nasional dan Investasi Pemerintah di Indo-nesia. Jurnal Keuangan dan Moneter, 6, pp. 107-121.
  5. Harris, R, and Sallis, R. 2003., Applied time series modelling and forecasting. New York: John Wiley & Sons.
  6. Halim, S., Bisono, I.N. 2007,, Melissa, and Cynthia, Automatic Seasonal Auto Regressive Moving Average Models and Unit Root Test Detection,
  7. Lütkepohl, H. 2005., New introduction to multiple time series analysis. Berlin: Springer.
  8. Pfaff, B. 2008,, VAR, SVAR and SVEC models: Implementation within R package vars. Journal of Statistical Software, 27(4), pp. 1-29.
  9. Sims,  C.  A. 1980,,  Macroeconomics  and  reality. Journal Econometrica, 48, pp. 1-48.
  10. Johansen, Soren. 1995. Likelihood-Based Inference in Cointegrated Vector Autoregressive Models. Oxford: Clarendon Press.

International Journal of Scientific Research in Science and Technology

Downloads

Published

2017-04-30

Issue

Volume 3, Issue 3, March-April-2017

Section

Research Articles

License

Copyright (c) IJSRST

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

How to Cite

[1]
Dra. Rr. Angraini Soemadi, MSI, " IDR and YEN Currency With Structural Model , International Journal of Scientific Research in Science and Technology(IJSRST), Online ISSN : 2395-602X, Print ISSN : 2395-6011, Volume 3, Issue 3, pp.597-600, March-April-2017.