Macroeconomic Indicators as A Signal of The Currency Crisis in The Indonesian Economy

Hadi Sutrisno, Dyah Wulansari, Rossanto Dwi Handoyo

Research output: Contribution to journalArticlepeer-review


This study aims to determine the best model for a currency crisis in Indonesia (1991-2019) influenced by Fundamental and Contagion Effects. Fundamental factors consist of many macroeconomic indicators, while contagion is the impact of the crisis in other countries (Philippines, Korea, Thailand, Malaysia). The determination of a crisis period is based on the critical value of the EMPI (Exchange Market Pressure Index); the signal analysis approach ascertains the signal source of the vulnerability of macroeconomic indicators. The Fundamental and Contagion Effects in EMPI are modeled as the Polynomial Distributed-Lag. Apart from being better than cross-section data modeling, this model was also used to determine when the initial shock crisis happened. It complements Minsky's approach, which analyzed the crisis from the initial causes. Modeling using macroeconomic indicators shows that Fundamental and Contagion Effects are crucial in EMPI. Conversely, modeling only involving Leading Indicators shows that Contagion Effects are insignificant in EMPI. This means that Leading Indicators dominantly determine EMPI behavior, denying the role Contagion Effect.

Original languageEnglish
Pages (from-to)1-20
Number of pages20
JournalInternational Journal of Economics and Management
Issue number1
Publication statusPublished - 2022


  • Contagion Effect
  • Distributed-Lag Polynomial Model
  • Exchange Market
  • Fundamental
  • Pressure Index
  • Signal Analysis


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