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Abstract

The stable fluctuation of Rp against the US$ during the free floating exchange rate regime in 2002-2007 raises the existence of fear of floating exchange rate phenomenon in Indonesia. The GARCH method is use to verify this phenomenon. Moreover, Time Varying Parameter and Error Correction Mechanism method shows the economic reason behind the Monetary Authority's response in stabilizing rupiah. Depreciation and increasing volatility of Rupiah raises inflation and bank Non-Performing Loans, while appreciation and increasing volatility of Rupiah, reduce the net export. Furthermore, Vector Autoregressive confirms the Monetary Authority respond to exchange rate shock through the interest rate policy for four months and through the foreign reserves policy for two months.

Bahasa Abstract

Fluktuasi nilai tukar (Rp/US$) yang relatif stabil selama 2002{2007 di Indonesia memunculkan potensi fenomena fear of floating. Dengan metode GARCH ditemukan bahwa fenomena tersebut terjadi di Indonesia. Kemudian dengan metode Time Varying Parameter dan Error Correction Mechanism, studi ini menunjukkan alasan ekonomi bagi Otoritas Moneter untuk menstabilkan perilaku nilai tukar rupiah. Depresiasi dan peningkatan volatilitas rupiah diketahui berdampak pada kenaikan in asi dan Non-Performing Loans bank, sebaliknya apresiasi dan peningkatan volatilitas rupiah berdampak pada penurunan ekspor neto. Lalu, dengan Vector Autoregressive ditemukan bahwa jika terjadi gangguan pada nilai tukar, maka Otoritas Moneter merespons melalui tingkat bunga selama empat bulan dan cadangan devisa selama dua bulan.

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