Forecasting the Indonesian Rupiah Against the Us Dollar - Financial and Economic Forecasting (Chapter 18)

8 Pages Posted: 13 Jan 2003

See all articles by Jack H.W. Penm

Jack H.W. Penm

Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce

Jammie H. Penm

Independent

R. Deane Terrell

Australian National University (ANU) - National Graduate School of Management

Date Written: October 2002

Abstract

We investigate and construct forecasting models for the exchange rate of the Indonesian rupiah against the US dollar. Monthly data for three variables; exchange rate, interest rate and foreign reserves were employed in the Economic Forecasting Program (EFP) to obtain the forecasting results. The selected VAR correctly predicted the turning point troughs and peaks, with no false fluctuations being predicted.

Keywords: Forecasting the Indonesian Rupiah

JEL Classification: C22, C53, E31

Suggested Citation

Penm, Jack and Penm, Jammie H. and Terrell, R. Deane, Forecasting the Indonesian Rupiah Against the Us Dollar - Financial and Economic Forecasting (Chapter 18) (October 2002). Available at SSRN: https://ssrn.com/abstract=359962 or http://dx.doi.org/10.2139/ssrn.359962

Jack Penm (Contact Author)

Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce ( email )

Canberra, Australian Capital Territory 0200
Australia
+61 (02) 61250535 (Phone)
+61 (02) 61250087 (Fax)

Jammie H. Penm

Independent ( email )

61 (02) 62880126 (Phone)
61 (02) 61250087 (Fax)

R. Deane Terrell

Australian National University (ANU) - National Graduate School of Management ( email )

Sir Roland Wilson Building (120)
Canberra, Australian Capital Territory 0200
Australia

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