Interkoneksi Volatilitas Nilai Tukar Dan Tujuan Domestic Impossible Trinity Pada Asean-4: Dornbusch Overshooting Model

Abstract

The increasing volatility of exchange rate since the beginning of the early 1980-90s seized attention many international economists and monetary policymakers. The purpose of this research is to identify the issues of becoming of the volatility of the exchange rate that is seen the theory of exchange rate overshooting by Dornbusch is a theoretical explanation for high levels of exchange rate volatility with the assumptions that goods prices are sticky. Then implicates in determining the monetary policy framework in a country known as the impossible trinity. Impossible Trinity consists of three the policy are not fully always dominant used simultaneously, namely the stability of exchange rates, the mobility of capital flows (FDI), and monetary independent policy, namely GDP, inflation, and the interest rate. The research period lasts 1987Q1-2016Q4 with the country which became the object of Indonesia, Malaysia, Thailand, and the Philippines. In this research model is the model Dynamic Vector Error Correction models (VECM) models, with the VECM (8). The results of the modeling VECM (8) Granger Causality test linked to see the relationship causality is a significant variable. Estimation results show that all countries in the object of the study experienced the phenomenon of overshooting. Then in the determination of policies Monetary found, that Indonesia puts more emphasis on independent policy frameworks monetary, namely inflation and GDP. Malaysia at the level of interest rates and Foreign Direct Investment. Thailand was discovered in the framework of inflation and interest rates. While The Philippines effective against the exchange rate and GDP trails through inflation. Exchange rate overshooting determines of the monetery policy on impossible trinity that depend on the characteristic and economic priority of a country’s.