Estimasi model var dan penerapan irf dan fevd pada nilai tukar mata uang, kasus covid-19, dan informasi twitter WHO di Asia Tenggara = Var model estimation and application irf and fevd on currency exchange rates, covid-19 cases, and WHO twitter information in Southeast Asia

Darmawan, Matthew Axel (2022) Estimasi model var dan penerapan irf dan fevd pada nilai tukar mata uang, kasus covid-19, dan informasi twitter WHO di Asia Tenggara = Var model estimation and application irf and fevd on currency exchange rates, covid-19 cases, and WHO twitter information in Southeast Asia. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Penyebaran COVID-19 telah dinyatakan sebagai pandemi global oleh WHO pada Maret 2020. Sebagai pandemi global tentunya COVID-19 telah memberikan pengaruh positif maupun negatif kepada berbagai sektor. Salah satu sektor yang paling dipengaruhi oleh pandemi COVID-19 adalah sektor ekonomi internasional. Tercatat oleh World Bank bahwa pandemi COVID-19 telah menyebabkan ekonomi internasional mengalami resesi terburuk sejak Perang Dunia Kedua, termasuk ekonomi benua Asia Tenggara. Penelitian ini bertujuan untuk mengobservasi pengaruh yang diberikan pandemi COVID-19 dan informasi WHO, sebagai organisasi yang paling signifikan pada pandemi ini, yang didistribusi melalui media sosial Twitter terhadap kondisi ekonomi negara di benua Asia Tenggara. Parameter yang digunakan sebagai taraf ukur kondisi ekonomi yang objektif adalah nilai tukar mata uang (exchange rate). Penelitian ini menggunakan metode deret waktu multivariat vector autoregressive (VAR) untuk mendeskripsikan interaksi dinamis antar variabel penelitian. Model yang telah diestimasi akan digunakan untuk melakukan peramalan exchange rate relatif terhadap pandemi COVID-19 dan informasi WHO. Hasil penelitian menunjukan mayoritas model VAR mampu meramal exchange rate dengan cukup baik. Model VAR juga akan digunakan untuk mengestimasi impulse response functions (IRF) dan forecast error variance decomposition (FEVD) yang akan digunakan untuk menunjukan perbedaan pengaruh yang diberikan pandemi COVID-19 dan informasi WHO kepada setiap negara di benua Asia Tenggara. / The spread of COVID-19 has been declared a global pandemic by WHO on March 2020. As a global pandemic, COVID-19 has had countless influences on various sectors. One of the most affected sectors is the international economic. The COVID-19 pandemic has caused the international economy to experience its worst recession since the Second World War, including the economies of the Southeast Asian countries. This study aims to observe the influences of COVID-19 pandemic and WHO information distributed through Twitter exerted to the economic conditions of countries in the Southeast Asian continent. The parameter used as a standard of measuring objective economic conditions is the respective currency exchange rate. This study used the multivariate vector autoregressive (VAR) time series method to describe dynamic interactions between research variables. The estimated model will be used to forecast exchange rates relative to the COVID-19 pandemic and WHO information. The results showed that most VAR models were able to predict exchange rates quite well. The VAR models will also be used to estimate impulse response functions (IRF) and forecast error variance decomposition (FEVD) which will be used to show the difference in influences exerted by the COVID-19 pandemic and WHO information to Southeast Asian countries.

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