Proceedings of the 3rd International Conference on Administrative Science, Policy, and Governance Studies, ICAS-PGS 2019, October 30-31, Universitas Indonesia, Depok. Indonesia

Research Article

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

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  • @INPROCEEDINGS{10.4108/eai.30-10-2019.2299417,
        author={Sandy  Kusnadi and Ferdinand Dehoutman Saragih},
        title={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},
        proceedings={Proceedings of the 3rd International Conference on Administrative Science, Policy, and Governance Studies, ICAS-PGS 2019, October 30-31, Universitas Indonesia, Depok. Indonesia},
        publisher={EAI},
        proceedings_a={ICAS-PGS},
        year={2020},
        month={8},
        keywords={macroeconomics variable cointegration causality vecm},
        doi={10.4108/eai.30-10-2019.2299417}
    }
    
  • Sandy Kusnadi
    Ferdinand Dehoutman Saragih
    Year: 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
    ICAS-PGS
    EAI
    DOI: 10.4108/eai.30-10-2019.2299417
Sandy Kusnadi1,*, Ferdinand Dehoutman Saragih1
  • 1: Department of Business Administrative, Faculty of Administrative Science, Universitas Indonesia, Depok, 16424, Indonesia
*Contact email: Sandy.kusnadi@ui.ac.id

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.