Dynamic Relationship among Gold Price, Crude Oil Price, Rupiah Exchange Rate and Gross Domestic Product (GDP) in Indonesia during 1999-2018 with Phase-Wise Analysis

Kusnadi, Sandy and Saragih, Ferdinand Dehoutman (2020) Dynamic Relationship among Gold Price, Crude Oil Price, Rupiah Exchange Rate and Gross Domestic Product (GDP) in Indonesia during 1999-2018 with Phase-Wise Analysis. In: ICAS-PGS 2019, October 30-31, 2019, Universitas Indonesia, Depok. Indonesia.

[thumbnail of PDF]
Preview
Text (PDF)
eai.30-10-2019.2299417.pdf - Published Version

Download (282kB) | Preview

Abstract

Gold and crude oil are ones of the most strategic commodities claimed to have an influence on national economic movements. It is assumed that the two commodities have a relationship with foreign exchange rates. Foreign currencies, particularly US Dollar, greatly influence the economic and investment climate both nationally and internationally. This research aims to analyze the cointegration and causality relationship between the price of gold, the price of crude oil, the exchange rate of Rupiah, and the Gross Domestic Product (GDP) in 1999-2018. This research is quantitative research using data for 20 years starting from 1999 to 2018. The data in this study are time series data using quarterly data from 1999 to 2018. The analysis technique used includes testing the Augmented Dickey-Fuller Test, Lag Optimum, Johansen Cointegration Test, Vector Error Correction Model (VECM), and VEC Granger Causality / Block Exogeneity Wald Test. The results of this study indicate that the variable price of gold, crude oil prices, the exchange rate of Rupiah, and Gross Domestic Product (GDP) has a cointegration relationship and the variable price of gold has a causal relationship with crude oil prices and the Rupiah exchange rate. In addition, there is also a causality relationship on Gross Domestic Product (GDP) to the price of gold.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: macroeconomics variable cointegration causality vecm
Subjects: H Social Sciences > H Social Sciences (General)
Depositing User: EAI Editor IV
Date Deposited: 06 May 2021 09:44
Last Modified: 06 May 2021 09:44
URI: https://eprints.eudl.eu/id/eprint/3005

Actions (login required)

View Item
View Item