The time series regression analysis in evaluating the economic impact of COVID-19 cases in Indonesia
Model Assisted Statistics and Applications
; 16(3):197-210, 2021.
Article
in English
| Scopus | ID: covidwho-1405399
ABSTRACT
This study aims to determine the impact of COVID-19 cases in Indonesia on the USD/IDR exchange rate using the Transfer Function Model and Vector Autoregressive Moving-Average with Exogenous Regressors (VARMAX) Model. This paper uses daily data on the COVID-19 case in Indonesia, the USD/IDR exchange rate, and the IDX Composite period from 1 March to 29 June 2020. The analysis shows (1) the higher the increase of the number of COVID-19 cases in Indonesia will significantly weaken the USD/IDR exchange rate, (2) an increase of 1% in the number of COVID-19 cases in Indonesia six days ago will weaken the USD/IDR exchange rate by 0.003%, (3) an increase of 1% in the number of COVID-19 cases in Indonesia seven days ago will weaken the USD/IDR exchange rate by 0.17%, and (4) an increase of 1% in the number of COVID-19 cases in Indonesia eight days ago will weaken the USD/IDR exchange rate by 0.24%. © 2021 - IOS Press. All rights reserved.
Full text:
Available
Collection:
Databases of international organizations
Database:
Scopus
Type of study:
Experimental Studies
Language:
English
Journal:
Model Assisted Statistics and Applications
Year:
2021
Document Type:
Article
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