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Web End = Asia-Pacic Finan Markets (2015) 22:429444 DOI 10.1007/s10690-015-9206-2
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Web End = Change Point Analysis of Exchange Rates Using Bootstrapping Methods: An Applicationto the Indonesian Rupiah 20002008
Amirullah Setya Hardi1 Ken-ichi Kawai2
Sangyeol Lee3 Koichi Maekawa4
Published online: 26 September 2015 Springer Japan 2015
Abstract In this paper, we investigate detecting single change point under time series regression model with GARCH errors using the cumulative sum of squares of the least squares residuals test and the log-likelihood ratio test. Furthermore we think it is important to calculate condence interval for an estimated change point, for which we need to know the sampling distribution of the estimated change point. We obtain the sampling distribution to calculate condence interval using Monte Carlo simulation based on a circular block bootstrap method and verify the performance of the above break point tests by Monte Carlo experiment. Then we detect a change point in the exchange rate of Indonesian Rupiah (IDR) using the above test to detect. The Government of Indonesia ofcially announced (de jure) to adopt a oating exchange rate regime in August 1997. However, from time to time, Bank Indonesia nevertheless maintains the stability of rupiah value in the market. Since there is no ofcial information regarding on central banks intervention in the foreign exchange market,
B Amirullah Setya Hardi
Ken-ichi Kawai [email protected]
Sangyeol Lee [email protected]
Koichi Maekawa [email protected]
1 Graduate School Hiroshima University of Economics, 5-37-1 Gion, Asaminami 731-0138, Japan
2 Department of International Business Management, Beppu University, 82 Kita-ishigaki,
Beppu 874-8501, Japan3 Department of Statistics, Seoul National University, Seoul, Korea4 Hiroshima University of Economics, 5-37-1 Gion, Asaminami 731-0138, Japan
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therefore detecting a structural change in the time series of the exchange market can be used as an indicator of exchange rate management. Our real data analysis shows that the IDR had been moving with the USD since 2000, but that the direction of the relationship changed in March 2002. This indicates that there was some control over the Rupiahs movement.
Keywords Circular block bootstrap Log-likelihood ratio...