Early Detection Of Currency Crisis In Indonesia Using A Combination Of Volatility And Markov Switching Models Based On Export Indicators
DOI:
https://doi.org/10.59141/jist.v4i3.607Keywords:
Detection, Crisis, MS-ARCH, ExporAbstract
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.
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2023 Efi Yatun Hasanah, Sugiyanto , Yuliana Susanti
![Creative Commons License](http://i.creativecommons.org/l/by-sa/4.0/88x31.png)
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
Authors who publish with this journal agree to the following terms:
- Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution-ShareAlike 4.0 International. that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
- Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
- Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work.