Early Detection Of Currency Crisis In Indonesia Using A Combination Of Volatility And Markov Switching Models Based On Export Indicators

Authors

  • Efi Yatun Hasanah Universitas Sebelas Maret Surakarta, Indonesia
  • Sugiyanto Sugiyanto Universitas Sebelas Maret Surakarta, Indonesia
  • Yuliana Susanti Universitas Sebelas Maret Surakarta, Indonesia

DOI:

https://doi.org/10.59141/jist.v4i3.607

Keywords:

Detection, Crisis, MS-ARCH, Expor

Abstract

The currency crisis that occurred in Indonesia in 1997/1998 and 2008 had a significant impact on the Indonesian economy. An early detection system for crises is necessary to minimize the impact of such crises. One model that can detect currency crises is a combination of volatility and Markov switching models. There are several indicators that can be used to detect currency crises in a country, and one of them is exports. Research results indicate that the best combination of volatility and Markov switching models for the export indicator is MS-ARCH (2,2) with an assumption of two states. The crises of 1997/1998 and 2008 can be detected using the smoothed probability values with certain limits. Predictions for the period of July 2022-June 2023 based on the export indicator show no signs of a crisis in Indonesia.

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Published

2023-03-29

How to Cite

Hasanah, E. Y., Sugiyanto, S., & Susanti, Y. . (2023). Early Detection Of Currency Crisis In Indonesia Using A Combination Of Volatility And Markov Switching Models Based On Export Indicators. Jurnal Indonesia Sosial Teknologi, 4(3), 370–381. https://doi.org/10.59141/jist.v4i3.607

Issue

Vol. 4 No. 3 (2023): Jurnal Indonesia Sosial Teknologi

Section

Articles

License

Copyright (c) 2023 Efi Yatun Hasanah, Sugiyanto , Yuliana Susanti

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