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The time series regression analysis in evaluating the economic impact of COVID-19 cases in Indonesia

Utriweni Mukhaiyar, Devina Widyanti, Sandy Vantika
2021 Model Assisted Statistics and Applications  

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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
more » ... ange 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%.
doi:10.3233/mas-210533 fatcat:w7aisreni5hztif2r522il4s5a
Citation

Utriweni Mukhaiyar, Devina Widyanti, Sandy Vantika. "The time series regression analysis in evaluating the economic impact of COVID-19 cases in Indonesia." Model Assisted Statistics and Applications 16.3 (2021) 197-210