Forecasting the Rupiah Exchange Rate Influenced by Several Factors Using the Improve Grey Model (1,3)

Dian Meilin Pratiwi, Firdaniza Firdaniza, Dianne Amor Kusuma

Abstract


The rupiah exchange rate is one of the important indicators of a country's economic stability, but the rupiah exchange rate often fluctuates following the factors that influence it. Forecasting the rupiah exchange rate is very important for economic planning, it helps the government make monetary policy decisions to maintain the stability of the rupiah exchange rate. Common methods used to forecast the rupiah exchange rate are ARIMA, FTS Markov Chain, and exponential smoothing. These methods are widely used to show the relationship between variables, but these methods have the disadvantage that they must meet the assumptions of data patterns. The contribution of this research is the use of the improve Grey model (1,3) predict the rupiah exchange rate in 2024, which is influenced by inflation and the balance of payments. The improve Grey model (1,3) was chosen because it does not require data distribution assumptions and can consider several external factors, thus providing more specific results for certain fields. The improve Grey model (1,3) uses the Grey model (1,1) to calculate the parameter values of the independent variables in the calculation of the improve Grey model (1,3) whitening equation. The calculation of the improve Grey model (1,3) whitening equation is calculated using a first-order ordinary differential equation. The use of the improve Grey (1,3) model for forecasting the rupiah exchange rate is considered accurate based on the Mean Absolute Percentage Error (MAPE) value. The rupiah exchange rate influenced by inflation and the balance of payments using the improve Grey model (1,3) for 2024 is predicted to increase from the previous year to Rp. 18.076, which indicates a weakening in value. This weakening has a positive impact on the balance of payments and a negative impact on inflation.

Keywords


Balance of Payment; Improve Grey Model (1,3); Inflation; Rupiah Exchange Rate

Full Text:

PDF

References


W. Khamidah and R. R. Sugiharti, "Faktor yang Mempengaruhi Nilai Tukar Rupiah terhadap Dollar Amerika, Euro, dan Poundsterling," Economics and Development Studies, vol. 5, no.1, pp. 40-52, 2022, doi: 10.20527/ecoplan.v5i1.425.

S. Arifin and S. Mayasya, "Faktor-Faktor yang Mempengaruhi Nilai Tukar Rupiah Terhadap Dolar Amerika Serikat," Jurnal Ekonomi-Qu, vol. 8, no. 2, p. 82-96, April 2018, doi: https://doi.org/10.35448/jequ.v8i1.4965.

T. Tambunan, Perdagangan Internasional dan Neraca Pembayaran, Jakarta: Pustaka LP3ES, 2000.

R. A. Salamah and K. T. Wahyuni, "Analisis Simultan Neraca Pembayaran Indonesia Tahun 2009-2020," in Seminar Nasional Official Statistics 2021 , vol. 1, 2021, pp. 507-516, doi: https://doi.org/10.34123/semnasoffstat.v2021i1.953.

Y. U. Rofi'i, "Pengaruh Indeks Harga Konsumen, Jumlah Uang Beredar, Produk Domestik Bruto, Suku Bunga, dan Neraca Pembayaran terhadap Nilai Tukar Rupiah," Ekonomi dan Manajemen Teknologi, vol. 7, no. 4, pp. 1139-1148, 2023, doi: https://doi.org/10.35870/emt.v7i4.1568.

E. Wijaya, "Analisis Faktor-Faktor yang Mempengaruhi Nilai Tukar Rupiah Periode 1999Q1-2019Q2," Samudra Ekonomi dan Bisnis, vol. 11, no. 2, pp. 197-209, 2020, doi: 10.33059/jseb.v11i2.1919.

H. Li, W. Nie and H. Duan, "A Haavelmo Grey Model Based on Economic Growth and its Application to Energy Industry Investments," Chaos, Solitons and Fractals, vol. 181(20), no. 2, pp. 114669, 2024, doi: 10.1016/j.chaos.2024.114669

M. Zhan-li and S. Jin-hua, "Application of Grey-Markov Model in Forecasting Fire Accident," in Procedia Engineering, vol. 11, 2011, pp. 314-318, doi: 10.1016/j.proeng.2011.04.663.

A. N. Soraya, Firdaniza and K. Parmikanti, "Comparison of Fuzzy Grey Markov Model (1,1) and Fuzzy Grey Markov Model (2,1) in Forecasting Gold Price in Indonesia," Jambura Journal of Mathematics, vol. 6, no. 2, pp. 236-242, 2024, doi: https://doi.org/10.37905/jjom.v6i2.26679.

L. Latipah, S. Wahyuningsih and S. Syaripuddin, "Peramalan Pendapatan Asli Daerah Provinsi Kalimantan Timur Menggunakan Model Grey-Markov (1,1)," Jambura Journal of Mathematics, vol. 1, no. 2, pp. 89-103, 2019, doi: https://doi.org/10.34312/jjom.v1i2.2347.

B. Zeng, H. Li and X. Ma, "A Novel Multi-Variable Grey Forecasting Model and its Application in Forecasting the Grain Production in China," Computers and Industrial Engineering, vol. 150, p. 106915, 2020, doi: https://doi.org/10.1016/j.cie.2020.106915.

S. Ding and R. Lin, "Forecasting the Sales and Stock of Electric Vehicles using a Novel Self-Adaptive Optimized Grey Model," Engineering Applications of Artificial Intelligence, vol. 100, p. 104148, 2021, doi: https://doi.org/10.1016/j.engappai.2020.104148.

H. WU and F. CHEN, "The Application of Grey System Theory to Exchange Rate Prediction in the Post-Crisis Era," International Journal of Innovative Management, Information dan Production, vol. 2, no. 2, p. 2, 2011, doi: http://www.ismeip.org/ijimip/contents/imip1122/10.pdf.

L. Zeng, C. Liu and W.-Z. Wu, "A Novel Discrete GM(2,1) Model with a Polynomial Term for Forecasting Electricity Consumption," Electric Power Systems Research , vol. 214, p. 108926, January 2023, doi: 10.1016/j.epsr.2022.108926.

H.-T. Paoa, H.-C. Fub and C.-L. Tseng, "Forecasting of CO2 Emissions, Energy Consumption and Economic Growth in China using an Improved Grey Model," Energy, vol. 40, no. 8, pp. 400-409, 2012, doi: https://doi.org/10.1016/j.energy.2012.01.037.

C.-I. Chen, H. L. Chen and S.-P. Chen, "Forecasting of foreign exchange rates of Taiwan’s major trading partners by novel nonlinear Grey Bernoulli model NGBM(1, 1)," Communications in Nonlinear Science and Numerical Simulation, vol. 13, no. 6, pp. 1194-1204, 2008, doi: 10.1016/j.cnsns.2006.08.008.

M. Cheng, J. Li, Y. Liu and B. Liu, "Forecasting Clean Energy Consumption in China by 2025: Using Improved Grey Model GM (1, N)," Sustainability, MDPI, vol. 12, no. 2, pp. 1-20, January 2020, doi: 10.1016/j.energy.2018.01.169.

Z.-q. Jia, Z.-f. Zhou, H.-j. Zhang, B. Li and Y.-x. Zhang, "Forecast of Coal Consumption in Gansu Province Based on Grey-Markov Chain Model," Energy, vol. 199, p. 1177444, May 2020, doi: https://doi.org/10.1016/j.energy.2020.117444.

C. Hamzaçebi and H. A. Es, "Forecasting the Annual Electricity Consumption of Turkey using an Optimized Grey Model," Energy, Elsevier, vol. 70C, pp. 165-171, June 2014, doi: https://doi.org/10.1016/j.energy.2014.03.105.

S. Liu and Y. Lin, Grey Information:Theory and Practical Applications, London: Springer-Verlag, 2006.

S. Ding, Z. Tao and J. Hu, "Forecasting the Economic Indices of the High-tech Industries in China using the Grey Multivariable Convolution Model," Applied Soft Computing, vol. 126, no. 6, p. 109301, 2022, doi: https://doi.org/10.1016/j.asoc.2022.109301.

C. Wang and Y. Cao, "Forecasting Chinese Economic Growth, Energy Consumption, and Urbanization using Two Novel Grey Multivariable Forecasting Models," Journal of Cleaner Production, vol. 299, no. 8, p. 126863, 2021, doi: https://doi.org/10.1016/j.jclepro.2021.126863.

K. D. Lawrence, R. K. Klimberg and S. M. Lawrence, Fundamentals of Forecasting Using Excel, America: Industrial Press Inc., 2009.

D. F. Syarifuddin, Konsep, Dinamika, dan Respon Kebijakan Nilai Tukar di Indonesia, Jakarta: BI Institute, 2016.




DOI: https://doi.org/10.37905/jjom.v7i1.27954

Bookmark and Share


Copyright (c) 2025 Dian Meilin Pratiwi, Firdaniza Firdaniza, Dianne Amor Kusuma

Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

Jambura Journal of Mathematics has been indexed by

>>>More Indexing<<<

Creative Commons License

Jambura Journal of Mathematics (e-ISSN: 2656-1344) by Department of Mathematics Universitas Negeri Gorontalo is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License. Powered by Public Knowledge Project OJS. 

Editorial Office

Department of Mathematics, Faculty of Mathematics and Natural Science, Universitas Negeri Gorontalo
Jl. Prof. Dr. Ing. B. J. Habibie, Moutong, Tilongkabila, Kabupaten Bone Bolango, Gorontalo, Indonesia
Email: info.jjom@ung.ac.id.