ABSTRACT
This research is to find the relationship between USD/IDR Exchange Rate volatility and four macroeconomic factors (Interest Rates, Borrowing, Treasury Bill and Money Supply). The data are taken form Indonesian Reserve Bank period July 2005 until October 2015. The first testing are stationary testing with Augmented Dickey-Fuller (ADF) to test a stationarity nature of data. Furthermore, An initialisation equation is testing with Johansen testing to test his cointegrating properties. Stationary at level stage and Cointegration are absolute requirement for a equation could be formed with VECM method. From this model it can find correlation between Exchange Rate and Trasury Bill. That VECM equation can be used to do simulation that shown an impact of the macroeconomic on Exchange Rate at economic shock condition using the Impulse Response test.
