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Journal > Jurnal Ekonomi & Studi Pembangunan > KETERKAITAN ANTARA NILAI TUKAR, TINGKAT SUKU BUNGA DAN INDEKS HARGA SAHAM DI INDONESIA

 

Jurnal Ekonomi & Studi Pembangunan
Vol 16, No 1 (2015): JESP Volume 16 Nomor 1, April 2015
KETERKAITAN ANTARA NILAI TUKAR, TINGKAT SUKU BUNGA DAN INDEKS HARGA SAHAM DI INDONESIA
Setyastuti, Rini ( Fakultas Ekonomi, Universitas Atma Jaya, Yogyakarta)
Article Info   ABSTRACT
Published date:
01 Apr 2015
 
Abstract: This study examine the relation between exchange rate, interest rate, and stock price. Vector Autoregression (VAR) is employed to simultaneously estimate the dynamic relationship of the variables. Using monthly data covering the August 1997– May 2012 period, empirical results showed that there is no causal relation between variables in the all of period. There is only one way relation between interest rate and exchange rate in the crises period. There is a positive effect on the exchange rate when the interest rate increased.Abstrak: Penelitian ini menguji hubungan antara nilai tukar, suku bunga, dan harga saham. Vector Autoregression (VAR) digunakan untuk secara bersamaan memperkirakan hubungan dinamis dari variabel. Penelitian ini menggunakan data bulanan yang mencakup periode Agustus 1997 hingga Mei 2012. Hasil empiris menunjukkan bahwa ada hubungan kausal antarvariabel dalam semua periode. Hanya ada satu cara hubungan antara tingkat bunga dan nilai tukar pada periode krisis. Ada efek positif pada nilai tukar saat suku bunga meningkat. 
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