Autoregressive Distributed Lag Modeling of the Effect Macroeconomic Variables on Export Growth (Case Study: Indonesia)

Authors

  • Lia Amaliawiati*, Farida Nursjanti

Abstract

- The purpose of this study is to analyze the short-term influence of macroeconomic variables on the
growth of Indonesian exports and to find out how the growth of exports reacts to changes in the value of
macroeconomic variables. The export price index, exchange rate, economic growth, inflation and the interest
rate are the macroeconomic variables referred to. This research uses data from the time series 1999-2019. The
use of the autoregressive distributed lag model shows that the export price index (lag -2) with a negative
direction and the interest rate (lag -2) with a positive direction are the macro variables that influence export
growth in the short run. In the long run, with a positive directional response to the interest rate and a negative
response to the exchange rate, the interest rate and exchange rate variables are the variables that respond most to
export growth.

Published

2020-10-16

Issue

Section

Articles